By 2010, the global options and equity markets will average over 128 billion
messages per day, amounting to trillions of dollars in trades. Trading systems, the backbone
of the low-latency high-frequency business, need fundamental research and innovation to
overcome their current processing bottlenecks. With market data rates rapidly growing, the
financial community is demanding solutions that are extremely fast, flexible, adaptive, and
easy to manage. This paper explores multiple avenues to deal with the decoding and normalization
of Option Price Reporting Authority (OPRA) stock market data feeds encoded with
FIX Adapted for Streaming (FAST) representation, on commodity multicore platforms, and
describes a novel solution that encodes the OPRA protocol with a high-level description
language. Our algorithm achieves a processing rate of 15 million messages per second in
the fastest single socket configuration on an Intel Xeon E5472, which is an order of magnitude
higher than the current needs of the financial systems. We also present an in-depth
performance evaluation that exposes important properties of our OPRA parsing algorithm
on a collection of multicore processors.
