Friday, March 8, 2013

Hey HFT, 4.9 Microsecond TCP Latency on Windows!

To all those High Frequency Trading (HFT) shops out there that believe you need Linux to secure the lowest latency, well that's no longer the case. Myricom & Emulex now bring you FastStack DBL for Windows Version 2.2 which boasts an impressive 4.9 microseconds for a half round trip. That's a round trip divided by two which represents a send plus a receive. Oh, and that's out of the box using a simple transparent mode wrapper (dblrun). If you want you can also code to the DBL API which now works for both UDP and TCP channels.

In April of 2011 at the HPC Linux for Wall Street show Myricom announced DBL 2.0 which included TCP, and Windows support. Since then we've learned a few tricks and have further reduced the latency in transparent mode to 4.9us. Initially to achieve out of the box transparent mode we leveraged a technique called Layered Service Provider (LSP). We realized though that this trick cost us 500ns, and after considerably more research and coding have developed a non-LSP solution that saves the 500ns and has some additional performance improvements.

If you need additional flexibility, or require that DBL be in your code path along with other 3rd party modules, then DBL also offers a rich Application Programming Interface (API).

Furthermore FastStack DBL now supports both UDP and TCP in transparent mode on both 32 bit and 64 bit run time environments in both transparent & API mode. So if you're an HFT shop that uses Windows in production, or has been considering using it, now you've no longer got an excuse not to give it a try. All you've got to loose is latency.

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