[zeromq-dev] high frequency trading

Laurent Alebarde l.alebarde at free.fr
Fri Jan 12 22:46:28 CET 2018


Thanks very much John. I will meet soon people with a powerfull and
innovative solution on top or underneath tcp that reducies significantly
latencies. Tests looks awesome. If you are interested, I will come back
to you.

Back to my primary question, I understand the benefits of 0MQ for
scalability. I understand that for reliability, it guarranties that
messages are delivered fully or not at all, but it does not guarranty
delivery itself. So the application has to take care of it.

But I don't understand its benefits for performances. And if it actually
improves performances, which ones precisely (latency ?) and how does it
works ?

Laurent

Le 12/01/2018 à 12:56, John Muehlhausen a écrit :
> Proximity is most important because milliseconds can be eliminated in
> network hops.
>
> On the hardware side you want to use something like Solarflare or
> Myricom ("kernel bypass") network cards.  In the former case at least,
> you (or a lib like 0mq) can use the same sockets API via LD_PRELOAD of
> OpenOnload.
>
> In order for OpenOnload to acclerate 0mq's internal signaling system,
> you need to hack it to use pipe(), which is a fairly trivial change. 
> The goal is to turn all kernel signaled waits into polling waits.
>  (Look at what it means to bypass the scheduler and affinitize threads
> to cores... thread to core mapping becomes 1:1.)
>
> All of that said, I have abandoned 0mq for this purpose, because it is
> too heavyweight to chase the last microseconds of delay out of a
> system.  The ideas in the "multithreading magic" paper are spot on,
> but a more efficient implentation is needed, and I'm not aware of an
> open source communications layer at this point.  (Shops in this line
> of work do have proprietary solutions.)
>
> -John
>
> On Fri, Jan 12, 2018 at 1:31 AM Laurent Alebarde <l.alebarde at free.fr
> <mailto:l.alebarde at free.fr>> wrote:
>
>     Hi,
>     I read in some places that in its infancy, 0MQ was aimed at high
>     frequency trading. From what I can read, this field first
>     requirement is on hardware, short links (proximity) and algorithm.
>     I would like to understand more please what makes 0MQ good for
>     robust and rapid transactions ?
>     Regards,
>     Laurent
>
>
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