Evaluation of a trading application using a high performance messaging framework

Trading Applications are multi component systems that require high speed communication between modules in order to deliver microsecond latencies for order responses. At the same time, the requirements for order throughput have to also be met which may range from a few thousand to a million orders per second. To achieve this, the messaging framework which provides the communication layer for external and internal communication needs to ensure the delivery of messages in a few microseconds between components at the desired message rate. Complexities increase when the application spans multiple physical systems and needs to support multiple simultaneous users while still delivering order responses in microseconds. This paper describes how a custom built, lock free, message queue framework was adapted to support multiple simultaneous users and employ Remote Direct Memory Access (RDMA) over InfiniBand for remote communication to provide a fifty fold improvement in an in-house trading application.