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

The more assumptions you make and features you cut out the faster you can make your system. The more robust and flexible you attempt to make things, the more your performance will suffer. I would suggest a few basic must haves:

1. A binary data serialization format. Don't use XML or any other human readable method of passing your data.
2. A robust enough data serialization format that it can support cross-architecture, cross-language endpoints. BER comes to mind - C# seems to have support
3. A transport protocol that has guaranteed delivery and data integrity. If any type of financial algorithm will be using this data, even missing one tick could mean the difference between and order being triggered or missing out on a price. Even if you are going to aggregate ticks in your server you still want control over how the information is presented to your clients. TCP works for distributed systems. However there are much faster alternatives if your clients are on the same machine as your server. UDP won't even garauntee order, which can be problematic (though not insurmountable).

With regard to internal processing:

1. Avoid strings and other classes that add significant overhead to simple tasks. Use basic character arrays instead. I'm not sure what options you have in C# or if you even have lightweight alternatives. If so, use them. This applies to data-structures as well.
2. Be aware of double/float comparison errors. Use comparisons that only check for the necessary level of precision. If possible convert everything to integers internally and provide enough metadata to convert back on the other end.
3. Use something similar to pooled allocators in C++. My lack of knowledge of C# prevents me from being more specific. Again C# probably isn't your best choice here. Bottom line is that you are going to be creating and destroying a lot of tick objects and there is no reason to ask the OS for the memory every time.
4. Only send out deltas, don't send information that your clients already have. This assumes you are using a transport with guaranteed delivery. If not you could end up displaying stale data for a long time.