Re:The Low Latency Live Streaming Landscape in 2019
by GeneticGenesis on Thursday February 07, 2019 @06:22AM
(#19104506)
I've always found the HFT space interesting, but don't really have any desire to move into the financial sector.
How large are the payloads in general for HFT?
Re:The Low Latency Live Streaming Landscape in 2019
by wardbradt on Thursday February 07, 2019 @08:59AM
(#19105228)
It depends on the application/ use case, but typically they are small. For a strategy my team is currently developing, each message contains 2-4 dynamic data points. Messages also include a minimal header[1] and "trailer" (checksum). The header includes data about body length, message type, etc. Messages in my use case are about 64 bytes, but my use case is on the lesser end in terms of payload size. I'd say a typical payload is ~64 to 128 bytes.
It is probably important to mention that some firms communicate with exchanges/ brokers via a direct connection rather than the internet.
[1] https://btobits.com/fixopaedia/fixdic44/block_Standard_Messa...
One standard in HFT is the FAST Protocol[1], an adaptation of the FIX Protocol. One of FIX's newer developments is Simple Binary Encoding[2], which is designed for minimal latency. There's many differences between FIX and "normal" protocols that are really interesting when you realize how much thought went into shaving off as much latency as possible with FIX. Unfortunately, FIX is one of the few solutions in HFT that is publicly available as many firms make money from being the fastest in a particular area.
I doubt many HFT developments could be adapted for use in video streaming, as bandwidth is rarely an issue and hardware can cost much more. However, I would not be surprised if at some point in the future an HFT firm creates a general solution applicable for video.
[1] https://www.fixtrading.org/standards/fast/
[2] https://en.wikipedia.org/wiki/Financial_Information_eXchange...
Edit: Grammar