Best practice to implement a low latency live financial data feed using WCF?

Question

I have a .NET service which need to feed live financial data to its clients. The output rate for this feed might get intense and I am looking for the best architecture to implement this type of service with low latency and high performance.

I was thinking of using some kind of a stream data provider, one that is used for audio or video, but send feed updates instead.

Would appreciate any thought on this subject, or any real world examples

Update:

I don't have to use WCF, that was only my first approach since it is the current technology. Any other implementation in C# is welcome.

Answer 1

Full Disclosure: I work for Informatica (formerly 29West) and am on the engineering team responsible for their messaging products. I am biased. I do, however, have a pretty good grasp of low-latency messaging in the financial market.

If you message rates are about 60 messages/sec. (as stated in a comment on Will Dean's answer), and they're being delivered to a GUI with a human sitting in front of it and reacting to the market at human-speed, it honestly doesn't matter a whole lot what software you use from a latency perspective. You might even be able to get away with using WCF (though I'd still recommend against it; we considered supporting it once and prototyped an adapter for it and it bloated latencies up by an order of magnitude - we decided not to bother with it at the time).

Now, Informatica's messaging software can pass messages between processes on the same machine in well under a microsecond, and if you want to buy some nice 10 gig-E NICs with kernel bypass or InfiniBand gear, you can pass millions of messages per second between machines with single-digit microseconds of latency. We'll also soon be releasing a new data serialization library that's supported in C/C++, Java, and .NET as part of the messaging product that in some cases is actually faster than Protocol Buffers (although Protocol Buffers are widely used and also a very good choice). Our .NET and Java APIs both have a feature called "ZOD" for "Zero Object Delivery", which is a kinda funny way of saying they generate no new objects during message delivery, meaning no garbage collection pauses & associated latency spikes/outliers. We've got another product called UMDS that's specifically designed to fan out high-speed backbone traffic to slower desktop apps without slowing down the backbone or other clients.

I could go on and on about how great Informatica's messaging software is and I do think it's worth checking out, but this already looks like a straight-up ad, and I'm an engineer, not a sales person. So here's a few pieces of more general advice:

• If you have a lot of clients receiving the same data, you'll want some flavor of UDP multicast. You'll often want a reliable multicast transport of some kind - the well-known (and free) reliable multicast protocol is PGM. Windows includes an implementation of PGM that's usable in C#; I'll refer you to Mike Rettig's excellent blog post on how to use it if you want to try it out. (I happen to know Mike - he's a smart guy.) Protocol choice is an area in which you get what you pay for; Informatica's messaging includes a reliable multicast protocol loosely based off of PGM (our architect who designed it co-wrote the PGM RFC a long while back), but with a lot of major improvements. Plain PGM might be fine for what you need, though.

• You want to go with a brokerless/serverless architecture. Have the apps communicate peer-to-peer with nothing in the middle. Avoid extra hops in the message path (which usually means avoid most JMS implementations, avoid almost anything with "queue" in the name somewhere, etc.).

• Be mindful of how your system behaves when one individual client misbehaves. Can one slow consumer slow down everyone else?

• There are a lot of OS tuning and BIOS tuning options that can benefit any sort of low-latency messaging, homegrown or bought - things like interrupt coalescing, tying NIC interrupts to a particular CPU core, receive-side scaling (which has historically been terrible when used with UDP on Windows, but should be getting much better in the future), disabling certain CPU power states, etc.

• Resist the temptation to use built-in object serialization in .NET to send whole objects over the wire - it is orders of magnitude slower than using a simple binary format (like Protocol Buffers, or Informatica's serialization library, or your own binary format, etc.).

If you have more specific questions or need more detail on any of my advice, just let me know!

Answer 2

How low is 'low latency' and how busy is 'intense'? You need to have some idea of what you're aiming for to choose the right approach.

I could supply you some hardware which would respond to 100% of all requests within, say, 20us upto the full capacity of your network hardware, but it would not use WCF much at all.

To a very broad approximation, I would say that things like WCF are very high-level and trade-off ease-of-use and abstraction-for-the-benefit-of-the-programmer against performance (latency/throughput). Whether they trade it off too much for your application needs real numbers.

The lowest-latency, lowest-overhead IP-based protocol in widespread use is UDP - that's why it's used for things like DNS and NTP. It's very scalable at the server, because the server doesn't need to keep any state, and it's very simple to implement on almost any platform. But you do need to be thinking in terms of network packets rather than .NET objects. Do you get to supply the client-end software too?