Last october they effectively doubled the trade-ticks they transmit. They unbundled ticks that were previously aggregated into single transactions. See: http://www.cmegroup.com/globex/files/EquityFuturesEnhancements.pdf CME speaks about 20% increase in bandwith utilization, but it was more likle 50%. I can see how software, that is already on the edge performance-wise, can run into problems.
This has always bothered me: "Equity futures now send milliseconds in iLink timestamps, as options and FX futures do today. FIX/FAST timestamps will always default to â000â milliseconds and should not be relied upon by customers" Basically they say they are able to process order messages in 1/100 of a second. But they purposely omit milliseconds from their time stamps... Message Response time from 2008 to 2009 ES From 16.95ms to 9.45ms 6E From 11.73 to 3.90 ms Page 49: http://www.cmegroup.com/globex/files/CustForum_2009_Q4_ChicagoNY.PDF
That 14 milliseconds for Globex has to be outdated. As far as I know the Globex data update rate is faster than the Globex trade matching rate. From the Globex Fact Sheet (September, 2009): "We execute customer trades in under 7 milliseconds on average, with some markets trading in 2.5 milliseconds" What are all the platform developers going to do when the Globex trade time (and data update rate) goes under 1 millisecond?
CME Autocert only requires a platform to process 10 transactions per second. CME's Autocert Performance testing has a limit of 70 TPS. This was where the 14ms limit came from. Price feeds are multicast, capable of delivering quotes substantially faster than your platform can process and execute orders.
Pocket I am curious. You said the price is output at almost max rate for a message pump.. Obviously you are talking about UI. My question - what are you going to display with rate of 700 messages / sec? What user can possibly need at that speed? What is the point to display it if no human brain can process it? Dont you think that beyound 25-50ms threshold there is nothing to explore in terms of UI? The other question - 700 messages/sec - is it limit of one pump or as a total for all pumps in Windows? I mean - you can start another window with separate pump. Will it duplicate the limit?
That was kind of my point. The message pump limits were from a ms document: http://msdn.microsoft.com/en-us/library/aa140060(office.10).aspx
are you reffering to this? "The number of times that a single topic can be updated seems to be limited by the number of times that Excel checks for Microsoft Windows® messages, which is at most 700 times per second. Since some of the messages have higher priority than RTD does, Excel effectively gets about 200 updates per second."
Yes... Old dated document but the principles apply to Windows GUI and Real Time event based processing.