What is HFT Antenna?
HFT Antenna is a library that is designed as a solution for low-latency FIX message routing. 'HFT' means high-frequency trading.
HFT Antenna incorporates the advantages of special Linux-specific features and best message routing practices.
HFT Antenna Features
HFT Antenna FIX Engine is optimized for stable deterministic latency for routing from multiple sessions to multiple sessions. This is achieved by:
- effective utilization of CPU cores: less number of physical cores is required to support more sessions;
- usage of a new socket dispatcher optimized for Solarflare OpenOnload;
- usage of new Memory Cached Message Storage which reduces latency jitter;
- usage of the FIX message object pool which reduces the number of memory allocations.
The main features of the HFT Antenna FIX Engine are:
|High throughput / low latency|
The highest performing FIX engine in existence aimed for the cases of routing from multiple sessions to multiple sessions. See FIX Antenna HFT Benchmarks for details.
|Supports standard FIX 4.X|
|Multiple session management|
|Highly customizable FIX session level|
|Reliability vs. performance|
|Monitoring and administration|
|Message composition API|
Is supplied as a shared object dynamic library(.so) for Linux
The package includes:
HFT Antenna Specifics and Limitations
The table below represents the main features in the context of a comparison of two products: FIX Antenna C++ and FIX Antenna HFT.
|Feature/Product||FIX Antenna C++||FIX Antenna HFT|
|Multiple FIX sessions||✓||✓|
|Standard FIX routing (OnBehalfOf + DeliverTo)||✓|
|FIX dialects support||✓||✓|
|All asset classes||✓||✓|
|Customizable message validation||✓|
|Recovery after failure||✓||✓|
|Later delivery when the connection is not established||✓||✓|
|Reject message when the connection is not established||✓|
|FIX integrated control center||✓||✓|
|Built-in support of command console (telnet and local)||✓|
|Async and parallel processing of incoming messages||✓|
|Reset the sequence number on each Logon (ICE mode)||✓|
|Ignore sequence number too low at Logon||✓|
|Username and password in Logon||✓||✓|
|Pre-configured to work with multiple exchanges||✓|
|CME Globex market data interface||✓|
|Out-of-band Drop Copy service||✓|
|Flexible cores binding out of the box||✓|
HFT FIX Antenna provides the following main APIs for trading applications:
- Create multiple FIX sessions (initiators and acceptors)
- Open and close the FIX session
- Form LiteFixMessage message
- Parse LiteFixMessage message
- Send and receive LiteFixMessage messages
- Set sequence numbers
- Read messages from FIX session logs
See the full list of HFT FIX Antenna APIs.
FIX Antenna HFT use cases
FIX Antenna HFT can be used as a FIX Engine in Order Routers, which main responsibility is to deliver the order from the end-user to Exchange as soon as possible with minimum latency.
By its nature, FIX Antenna HFT with its stable deterministic latency aims to serve routing from multiple sessions to multiple sessions and can be used in Order Router application in the most effective way.
FIX Antenna HFT can be used under the hood of the FIX Gateway designed to support hundreds of sessions with multiple users per session, to perform authentication and validation, and to transmit data from the source to the application and from the application to counterparties.
The most essential parts of such FIX Gateway should be a fast session-level and effective model of threads for processing incoming messages which can be fully achieved by using FIX Antenna HFT capabilities with its flexible and high-performance message processing mechanism, ability of handling spikes in load and effective utilization of CPU cores. In that way, relying on the FIX Antenna HFT FIX Engine, all the main efforts can be directed to the application level.
Pre-Trade Risk Check Module
FIX Antenna HFT is used as a FIX Engine in one of the B2BITS products - Pre-Trade Risk Check Module (RCM).
Risk Check Module performs pre-trade activities and calculates risk checks restricting actions of one or multiple traders at the same time. By their nature, these pre-trade activities become an additional step in order to reach the exchange or client, which can obviously affect the latency.
Using capabilities of the FIX Antenna HFT Pre-Trade Risk Check Module ensures low latency pre-trade risk checks and order routing.
In this way, Pre-Trade Risk Check Module can be used by the Exchanges in order to remove the load in terms of Risks and limits checks and focus on other high-priority activities like order matching, market data processing, etc. In its turn, buy-side firms can also use the Pre-Trade Risk Check Module making sure that all the pre-trade risk checks are performed with minimal latency impact.