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Don't know if you're describing the original FIX itself with the TCP connection. On FAST FIX they got rid of the TCP connection and market data was sent over UD
by mtrovo 5y ago
Don't know if you're describing the original FIX itself with the TCP connection. On FAST FIX they got rid of the TCP connection and market data was sent over UDP using several parallel connections, data was reordered on the client side at consumption time and it only used a TCP connection to recover data when a sequence gap was found.
- hliyan 5y agoActually, even FAST was too slow for us. This was a proprietary messaging middleware library. And this particular market data feed was the direct one into the matching engine itself. For the rest of the system, we used a sort of reliable multicast using UDP for the first transmission and TCP for missed messages. We initially tried out a Gossip/Epidemic protocol but that didn't work out too well.