CrossFIX 1.2 low latency FIX engine adds support for FAST protocol

1. Migrate from QuickFIXJ to CrossFIX – the fastest Java
ultra-low latency FIX Engine
CrossFIX Engine has been designed for lowest possible latency in Java on Linux as well as to
simplify migrating existing projects from QuickFIXJ Engine.
- Absolute zero object allocation/garbage collection in steady state and absence of protocol errors
- Lock free, zero copy, small CPU cache footprint.
- Minimum queuing - TCP send/receive is done on a user thread (preferably affinitised to an
isolated CPU core).
- Ultra-low latency at mean and tail percentiles – 400ns latency for a typical FIX
ExecutionReport message from client code to the network stack at 50th percentile and sub-500ns
for 99.9 percentile; 550ns latency from the network stack to client code at 50th percentile and
700ns for 99.9 percentile.
- High performance - maximum sustainable send throughput 2,669,000 messages/sec for a typical
FIX ExecutionReport; receive throughput 2,213,000 messages/sec.
- Message, session API/session configuration optimized for migration from QuickFIXJ with
few API exceptions in latency-sensitive areas.
- Sequence numbers and FIX message persistence using memory-mapped files.
- Custom network library optimized for Kernel-bypass, tested with latest SolarFlare/OpenOnload.
- Supports all FIX versions from 4.0 to 5.0sp2 as well as custom FIX dictionaries.
- Fault tolerance with support for sequence number and FIX message replication between CrossFIX
engines within the same fault-tolerant group as well as a support for electing the primary initiator.
- Full Fast Protocol support
Latency benchmarks
All latency tests have been conducted on Linux 3.16.7 kernel, Oracle Java 1.7.0_72, Intel Core i7-
4790K CPU. CrossFIX makes latency stamps available for querying in key areas thus simplifying
the analysis of latency profiles of the applications. JMH was used to run all latency benchmarks.
The test environment has been carefully tuned to remove noise coming from the operating system.
This is to make sure that CrossFIX latencies in higher percentiles are completely transparent during
latency benchmarking, unlike other commercial engines that either do not quote latencies in high
percentiles or blame it on the operating system. Latency in high percentiles is extremely important,
especially during major events when the market is moving very quickly and FIX Engine has to
processes a lot of messages at lowest latency possible.
1) ExecutionReport serialization latency at 1000 messages/sec

2. 2) ExecutionReport send/receive latency excluding network stack latency at 1000 messages/sec
It is important to note here that all fields are serialized or parsed in session code, thus avoiding
hidden latency of second-pass parsing. This is unlike some of the existing popular commercial low
latency FIX engines that quote latency numbers that exclude field parsing.
Seamless migration from QuickFIXJ
CrossFIX API is is very similar to that of QuickFIXJ. You won't need to rewrite your Application,
Session or Message handling code, most of the public methods are the same with the few
exceptions in latency sensitive areas e.g. String handling. Also in order to achieve lowest latency
possible it is preferred not to use generic methods of the Message interface – e.g. instead of
getDouble(LastPx.FIELD) you should use getLastPx().
CrossFIX configuration closely follows that of QuickFIXJ. Almost all QuickFIXJ configuration
parameters including those most frequently used in real-life applications are supported and have
exactly the same meaning in CrossFIX. There are also new configuration parameters introduced to
support features not present in QuickFIXJ, e.g. session uptime schedule and asynchronous message
logging.
CrossFIX has been successfully tested against the QuickFIXJ acceptance testing suite comprising
more than 60 individual tests for each FIX protocol version and covering different aspects of FIX
session management and state transitions as well as message validation. This ensures that the
behaviour of applications that use QuickFIXJ will be exactly the same when migrated to use
CrossFIX.
Testing
CrossFIX has passed conformance testing on a select number of Exchanges without any issues and
has been accepted for trading.
The supported platforms are Linux and Windows.
What's next
The following features are planned in the future versions:
- ITCH/OUCH protocol support
- Load balancing over various network protocols.

3. Licensing
CrossFIX is available under a commercial license. There is also a 30-day trial license available that
also gives access to a rich set of documentation including Quick Start guide, User guide covering
API and Configuration parameters as well as crossfix-examples project source code.
Please contact sales@crossfixlib.com to obtain a quote, receive a 30-day trial version or any further
information
Conclusion
If your business is loosing money because of the latencies/GC pauses introduced by QuickFIXJ but
do not have time to rewrite your FIX session/message handling code or if you are simply looking
for the fastest ultra-low latency Java FIX Engine - CrossFIX should be your first choice.
Keywords: CrossFIX, QuickFIXJ, FIX, Low Latency Java FIX Engine
About the author: Konstantin Dmitriev, owner and developer of CrossFIX library