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

How low is 'low latency' and how busy is 'intense'? You need to have some idea of what you're aiming for to choose the right approach.

I could supply you some hardware which would respond to 100% of all requests within, say, 20us upto the full capacity of your network hardware, but it would not use WCF much at all.

To a very broad approximation, I would say that things like WCF are very high-level and trade-off ease-of-use and abstraction-for-the-benefit-of-the-programmer against performance (latency/throughput). Whether they trade it off too much for your application needs real numbers.

The lowest-latency, lowest-overhead IP-based protocol in widespread use is UDP - that's why it's used for things like DNS and NTP. It's very scalable at the server, because the server doesn't need to keep any state, and it's very simple to implement on almost any platform. But you do need to be thinking in terms of network packets rather than .NET objects. Do you get to supply the client-end software too?