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I'm using shared (between few clients of a vendor) 10GB cross-connect in exchange data center. We receive few multicast data streams (each stream delivers data on some group of "stocks"/derivatives).

In total all the streams do not exceed 10GB line rate (never).

Some exchange representatives telling me that dedicated (not shared) cross-connect should deliver better latency profile because then you can select only multicast streams you want so the line is less busy.

But could it be true given the line is never saturated / no congestion? Network equipment on our side of cross connect can easily deal with 10GB line rate also, there are no buffering / queueing ever.

If there is some advantage in keeping network traffic low can the delay in delivery exceed 10GB ethernet interpacket gap (~9.6ns)?

ewwhite
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dundeclared
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  • What is the current feed bandwidth requirement? What type of switches are you using for ingest? Is your trading application Linux-based? What type of NICs are you using on your servers? How many servers are receiving the feed? I'm assuming you have a dedicated unicast connection for orders. – ewwhite Oct 11 '15 at 11:52
  • All the feeds together consume I'd say about 1-1.5GB out of 10GB line bandwidth i.e. about 10% of cross connect capacity is utilized. But still exchange representatives claim it could be a bottleneck somehow. We use high-end Arista. Yes Linux, kernel bypass, hardware filtering, etc. 2-3 servers. For orders we have to use TCP, unicast isn't allowed there. – dundeclared Oct 11 '15 at 17:04
  • (sorry, I meant TCP) – ewwhite Oct 11 '15 at 17:15

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In general, I'd request dedicated cross-connects for exchange feeds unless the cost is too high. I don't think I've ever had a shared market data cross-connect... But that's a business decision for your organization. What's the cost difference?

And yes, you'd be able to do more filtering on both sides with a dedicated cross-connect.

Although, these days, there are many other places to optimize your trading infrastructure and filter before hitting the servers:

ewwhite
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  • Cost difference is ~$10-16k/month. Thanks a lot for other suggestions, we do use pretty much all the above already. Do you know the physical / theoretical difference why dedicated cross-connect provides advantage given the line is far from saturation? – dundeclared Oct 11 '15 at 16:58
  • @dundeclared Let me check. I'm not in HFT anymore, but I can see. Which exchange is this? – ewwhite Oct 11 '15 at 17:13
  • It's the CME Group – dundeclared Oct 11 '15 at 17:15
  • Okay, that's easier for me to answer. In Aurora, right? – ewwhite Oct 11 '15 at 17:16
  • If this is something like Pico or 7ticks, you're probably fine... Maybe? Do you own the switch on the receiving end of the cross connect? – ewwhite Oct 11 '15 at 18:03