MOM+threading ] low latency apps

Piroz told me that trading IT job interviews tend to emphasize multi-threading and MOM. Some use SQL too. I now feel all of these are unwelcome in low latency trading.

A) MOM – The HSBC interviewer was the first to point out to me that MOM adds latency. Their goal is to get the (market) data from producer to consumer as quickly as possible, with minimum stops in between.

Then I found that the ICE/IDC systems has no middleware between feed parser and order book engine (named Rebus). 29West documentation echos “Instead of implementing special messaging servers and daemons to receive and re-transmit messages, Ultra Messaging routes messages primarily with the network infrastructure at wire speed. Placing little or nothing in between the sender and receiver is an important and unique design principle of Ultra Messaging.

B) threading – ST is generally the fastest in theory and in practice. (I only have a small sample size) I feel the fastest trading engines are ST. No shared mutable.

MT is OK if they don’t compete for resources like CPU, I/O or locks. Compared to ST, most lockfree systems introduce latency like retries.

C) SQL – as stated elsewhere, flat files are much faster than relational DB. How about in-memory relational DB?

Rebus, the order book engine, is in-memory.

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