Best practice to implement a low latency live financial data feed using WCF?

Question

I have a .NET service which need to feed live financial data to its clients. The output rate for this feed might get intense and I am looking for the best architecture to implem

Answer 1

Live financial data? Never rely on WCF on that. Instead, go with what other industries use. i.e. NASDAQ uses Real-Time Innovations - Data Distribution Service to deliver live stock ticks to users. They provide C/C++/C# api for their communications libraries, which is extremely easy to setup and use (compared to WCF).

In general, this sort of real-time data feeds use publish/subscribe paradigm which helps to make sure that the communication happens with minimal overhead. This sort of an approach is the main idea in message-oriented middle ware and it is exactly what financial services use for real-time stuff.

On a side node, you can deliver real-time audio-video packets using RTI-DDS library, as far as I know, unmanned aerial vehicles like MQ-9 uses again this library to deliver live video & geo-location information to the ground control stations.

There are also free data distribution service libraries but I've no experience in them. You just need to google for it.

Edit: I'm currently prototyping some HMI (human machine interface) software which uses aforementioned RTI-DDS libraries along with two other libraries which have such message oriented architectures, which did work a thread up to now for all my real-time communication needs. Here is a demo: http://epics.codeplex.com/ (It will be used in remotely controlling the equipment in our brand new nuclear research facility)