BTS's Ultra Low Latency Quoter
Blue Trading Systems is proud of the work we are doing to provide the lowest latency platform available. This week we take a look at the performance of our newest CME Quoting Engine.
Our Numbers
In order to obtain meaningful predictors of real-world performance we setup an instance of our Quoter as we expect it to be used in production: we used commodity hardware and production market data and configured the Quoter to maintain quotes on high delta options on the CME ES Future.
Using a high-performance logging facility our Quoter recorded arrival times for the ES future and departure times for the corresponding mass quote update messages. These two data points were captured during a 20 minute window.
From the resulting data we were able to extract a distribution of about 100 tick to quote times. To understand how the number of configured quotes affects the Quoter performance we repeated the experiment for different quote quantities, starting at 20 quotes and ending at 1280.
The table below summarizes our findings.
| Number Of Quotes | Median Tick To Quote (µs) | Stdev (µs) |
|---|---|---|
| 20 | l3µs | 10µs |
| 40 | 17µs | 10µs |
| 80 | 22µs | 9µs |
| 160 | 21µs | 9µs |
| 320 | 25µs | 15µs |
| 640 | 32µs | 11µs |
| 1280 | 48µs | 13µs |
We were pleased with these initial results. Quoting latency seems to scale fairly well with the number of quotes and the latency distribution is relatively tight, something that our more technically inclined readers will know is hard to achieve with mainstream Hardware/Software platforms.
Though the customers we have shared this data with have been excited by what we can do today, we believe there is still room for improvement and we are working hard to further optimize our latencies.
More to come!
We are in the process of gathering data for a much more detailed report on our Quoter performance, including: the exact hardware and Operating System configurations used, the impact of spreading the quoting workload across multiple CPUs and an analysis of the benefits of kernel bypass technology.
If you would like to receive a copy of our report send us a note at This email address is being protected from spambots. You need JavaScript enabled to view it. and we will keep you in the loop.
We also encourage you to reach out to us if you are interested in learning more about what we do to accelerate your trading times.