QuickFAST is an open source C++ implementation of the FAST protocol.
The FAST (Fix Adapted for STreaming) protocol was developed by FIX Protocol Limited [FPL](http://www.fixprotocol.org/fast/) as a way to reduce the bandwidth and network-latency required to distribute market data without incurring excessive CPU costs. QuickFAST is widely used by trading companies as the baseline for a multi-exchange trading architecture to commoditize market data and lower costs.
Although FAST was initially designed for the financial industry, FAST may be used in any other domain that requires data transfers with high throughput and low latency.
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- Choice of message processing threading strategies.
- Communication transports for TCP sockets and VM pipes.
- Metadata-driven parsing and validation.
- Support for protocol customizations (new messages, fields, constraints).
- Failover and High Availability.
- Scheduling of session connections.
- Many automated unit and acceptance tests.
- QuickFAST is currently supported on Linux and Windows. Our use of platform abstraction techniques will enable us to add other platforms should you wish.
- QuickFAST is also available in Java (“OpenFAST”) and .NET (“OpenFAST.NET”).
- The licensing model for QuickFAST is "Berkeley," also known as BSD, and is also non-viral.
Benefits of Using QuickFAST
QuickFAST is free open source software (FOSS), which means no vendor lock-in and maximum user control. There are no license fees whatsoever, and the full source code is available at no cost.
QuickFAST is a mature product with full support for managing communications, and the ability to adapt to changing templates at runtime.
FAST as a common trading protocol offers a way to reduce the bandwidth and network-latency required to distribute market data without incurring excessive CPU costs.
The community development model ensures a robust implementation with a large number of users validating the product every day.
QuickFAST has the ability to scale commensurately with the assignment of more threads and/or increased CPU power of QuickFAST responds well to investments in CPU technology.
To obtain an even more cost and performance effective market data solution we have combined QuickFAST with OpenDDS. From feed to read, we achieved out-the-box latencies of 28 microseconds across racked (X86) systems just using TCP/IP. Inserting Infiniband in the OpenDDS transport framework would reduce that latency by factor of 10.
On a fairly old 3.2Ghz Xeon computer, we experienced around 29 thousand messages per second (K MPS). This translates to less than 34 microseconds latency added by the decoding process. Other clients have experienced over 120K MPS “out of the box” performance with faster/later hardware (8 core, 64 bits).
Because open source software enables code changes, another way to improve performance is to customize QuickFAST to more closely reflect your data models. In one case, by targeting a client’s use of ARCA, we improved the rate to 381K MPS. This gives an effective decoding latency of 3 microseconds.
|Commercial Support Available||Yes||Yes||Yes|
|Supports FAST v. 1.2||No||No||Yes|
|Mature, full-service solution||Yes||Yes||No|
|Built-in Modules for Session Management||Yes||No|
FIX/FAST Success Stories
OCI migrated clients from older exchange protocols and proprietary FIX engines to dramatically reduce trading costs, and improve throughput. OCI's architectural approach with a FIX Exchange Adaptor (FEA), and the use of exchange gateways, helps with the transition stage, subsequent migration, and by exploiting an "exchange strategy" offer easy accommodation of FIX extensions by the various exchanges.
OCI uses the "message builder" feature of QuickFAST to optimize FAST to match clients' normalized message model. This ensures lowest latency processing and skips the "generic message" intermediate step.
OCI has assisted clients in connecting to and certifying with the six (6) U.S. options exchanges: PCoast, Amex, Philadelphia, Boston, ISE, CBOE, plus CME, Currenex, ICE, HotSpot and Montreal. Following the recent CBOE/CME merger, we also performed Globex migrations and certifications.
OCI designed and implemented an Ouch engine for NASDAQ trading.
OCI has helped clients connect via providers such as Goldman, Onyx, and Morgan Stanley. We also used QuickFAST on the NYSE ARCA and were able to realize substantial performance gains.
If you're interested in learning more about how OCI can help you improve the performance of your exchange, or if you'd like to explain how you are using FIX and/or FAST, please contact us.