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Exchange Implementation Drives Fast
FIX-based market data protocol catches on, but standardization issues arise
November 19, 2007
After a sluggish start, the Fast protocol for high-speed delivery of market data is finding increased usage among securities exchanges, a sign that it may soon reach critical mass with major distributors of data.
The Fast, or FIX adopted for streaming, message-compression technology was introduced in 2005 and is designed to reduce the time that it takes market data to travel to users' trading systems, as well as bandwidth requirements. But it wasn't until the 1.1 upgrade, released in December 2006, that the standard began to gather steam.
NYSE Arca was the first exchange to implement Fast, early this year, followed in July by the BATS Trading electronic communications network. The Chicago Mercantile Exchange in October began using Fast with the 5.0 version of FIX, a combination that the International Securities Exchange and OMX are also planning to implement. The Deutsche Borse is expected to adopt the technology this month, and the American Stock Exchange in the near future.
When Fast was released, FIX Protocol Ltd. (FPL) had "a briefcase full of numbers to show the industry that Fast had a lot of potential and was something that could be used effectively on market data bandwidth while doing a nice job on latency as well," said Matt Simpson, associate director of enterprise architecture at CME Group and co-chair of the FPL global technical committee, at the FPL Americas conference this month. "What we've seen since then are a number of exchanges that have picked up Fast and put it into use, either as a production feed now or later this year."
"Some of our clients started out looking to use Fast internally," said Hanno Klein, senior project manager for Deutsche Borse and co-chair of the FPL Americas global exchange market committee. "The amount of data you have to handle for a large street-side firm is gigabytes if not terabytes per week."
Capacity Boost
"We know there are technical benefits from a market data standard based on FIX and Fast," said Simpson. "We are seeing lower latency and lower bandwidth, which means less data on internal networks--and that our servers distributing the data should be running less hot" and "should have room for greater capacity."
CME distributes a standard data decoder to its customers. "From a customer tech standpoint, there's minimal impact when it comes to decoding the data," Simpson said. "The business benefits are related to reduced cost--not just bandwidth usage but hardware. At the CME we've seen messaging rates cut in half," and customers could see "their boxes run less hot also. The bandwidth benefits will result in smaller circuits and they'll pay less."
Deutsche Borse's Klein suggested that Fast implementations used for a FIX interface are easier to get right because Fast leaves less room for interpretation than FIX. "For FIX, you have to look beyond the syntax level and get the concepts right to avoid incompatible dialects that make implementations difficult," he said. "The syntax of two FIX interfaces could be the same but with very different semantics. In the case of market data, the FIX concept foresees snapshots as a basis and incremental updates that represent instructions on how market data has changed. The FIX syntax allows you to send all prices above a price level that has been deleted whereas the FIX concept is to just send the deletion instruction, implicitly requiring the user to shift down higher price levels."
