Manual Chapter :
Implementing Low-Latency Electronic Trading with FIX load balancing
Applies To:
Show Versions
BIG-IP AAM
- 14.1.5, 14.1.4, 14.1.3, 14.1.2, 14.1.0, 14.0.1, 14.0.0
BIG-IP APM
- 14.1.5, 14.1.4, 14.1.3, 14.1.2, 14.1.0, 14.0.1, 14.0.0
BIG-IP Analytics
- 14.1.5, 14.1.4, 14.1.3, 14.1.2, 14.1.0, 14.0.1, 14.0.0
BIG-IP Link Controller
- 14.1.5, 14.1.4, 14.1.3, 14.1.2, 14.1.0, 14.0.1, 14.0.0
BIG-IP LTM
- 14.1.5, 14.1.4, 14.1.3, 14.1.2, 14.1.0, 14.0.1, 14.0.0
BIG-IP PEM
- 14.1.5, 14.1.4, 14.1.3, 14.1.2, 14.1.0, 14.0.1, 14.0.0
BIG-IP AFM
- 14.1.5, 14.1.4, 14.1.3, 14.1.2, 14.1.0, 14.0.1, 14.0.0
BIG-IP DNS
- 14.1.5, 14.1.4, 14.1.3, 14.1.2, 14.1.0, 14.0.1, 14.0.0
BIG-IP ASM
- 14.1.5, 14.1.4, 14.1.3, 14.1.2, 14.1.0, 14.0.1, 14.0.0
Implementing Low-Latency Electronic Trading with FIX load balancing
Overview: Configuring low-latency electronic trading with FIX load balancing
You can configure the BIG-IP® system to manage electronic trading traffic
for both low-latency and intelligent load balancing. The BIG-IP system supports Financial
Information eXchange (FIX) protocol connections for electronic trading between financial
institutions. When you acquire a special license, you can use the FastL4 profile to optimize the
FIX connections, and use the embedded Packet Velocity® ASIC (ePVA) to
minimize the latency. You can then use an iRule to implement intelligent load balancing: you do
this by enabling the Late Binding feature in the FastL4 profile, then creating an iRule that
parses each FIX header to choose a back-end server pool.
About Late Binding
With the Late Binding feature enabled, an iRule can examine the FIX logon packet, the one that
establishes the connection, and choose a server pool based on the packet's contents. The iRule
finishes by sending the connection down to the ePVA hardware, which processes the stream at high
speed.
The only TCP options available to the client and server are MSS, accept Selective ACK, and
Time Stamp. The BIG-IP system ignores all other options because it must enable SYN cookies on
the client-side interface, and because the ePVA hardware does not slow down for any of those
options. For example, the BIG-IP system ignores the Window Scaling option as soon as the flow
has been released to the ePVA hardware.
Secure Sockets Layer (SSL) is not supported by a virtual server that uses Late
Binding.
About FIX features with low latency
After the iRule selects a server, the ePVA hardware manages the FIX stream for the rest of its
existence. The ePVA does not examine the individual FIX packets that pass through it, so
FIX-profile features such as tag substitution are not supported.
About induced latency for FIX connections
Induced latency
, which is the latency realized after a FIX connection is
established, typically has a duration of approximately 10 µsecs or less.About using TCP protocol for FIX clients and servers
The ePVA only supports the TCP protocol, which requires FIX clients and servers to establish
TCP connections. When creating a virtual server to manage the traffic for low-latency electronic
trading, you must specify the TCP protocol setting.
Task summary
for low latency electronic trading with fix
There are several tasks you perform to implement low-latency electronic trading.
Licensing low-latency electronic trading functionality
In order to use a BIG-IP system to manage low-latency
electronic trading functionality, you must first acquire a specific license. The license
must enable both of the following features:
- Advanced LTM Protocols
- FIX Low Latency
Please contact your F5 Networks support representative to
acquire the necessary license.
Creating a pool
Ensure that at least one virtual server exists in the configuration before you start to create a load balancing pool.
Create a pool to which the system can load balance global traffic.
- On the Main tab, click.The Pools list screen opens.
- ClickCreate.The New Pool screen opens.
- In the General Properties area, in theNamefield, type a name for the pool.Names must begin with a letter, and can contain only letters, numbers, and the underscore (_) character.The pool name is limited to 63 characters.
- From theTypelist, depending on the type of the system (IPv4 or IPv6), select either anAorAAAApool type.
- In the Configuration area, for theHealth Monitorssetting, in theAvailablelist, select a monitor type, and move the monitor to theSelectedlist.Hold the Shift or Ctrl key to select more than one monitor at a time.
- In the Members area, for theMember Listsetting, add virtual servers as members of this load balancing pool.The system evaluates the virtual servers (pool members) in the order in which they are listed. A virtual server can belong to more than one pool.
- Select a virtual server from theVirtual Serverlist.
- ClickAdd.
- ClickFinished.
Creating a virtual server for low-latency electronic trading
After you create a server pool, profile(s), and (optionally) iRule, you need to
create a virtual server that references those components.
- On the Main tab, click.The Virtual Server List screen opens.
- ClickCreate.The New Virtual Server screen opens.
- In theNamefield, type a unique name for the virtual server.
- From theTypelist, selectPerformance (Layer 4).
- In theDestination Address/Maskfield, type the IP address in CIDR format. This is the address to which the FIX clients send their FIX transmissions.The supported format is address/prefix, where the prefix length is in bits. For example, an IPv4 address/prefix is10.0.0.1or10.0.0.0/24, and an IPv6 address/prefix isffe1::0020/64or2001:ed8:77b5:2:10:10:100:42/64. When you use an IPv4 address without specifying a prefix, the BIG-IP system automatically uses a/32prefix.The IP address you type must be available and not in the loopback network.
- From theConfigurationlist, selectAdvanced.
- From theProtocollist, selectTCP.
- From theProtocol Profile (Client)list, select the custom Fast L4 profile you defined for low-latency FIX trading.
- Go to theFIX Profilelist and select the custom FIX profile you defined for low-latency trading.
- For theAddress Translationsetting, clear theEnabledcheck box to implement direct server return (DSR) functionality.
- For thePort Translationsetting, clear theEnabledcheck box.Clearing theEnabledcheck box disables network address translation (NAT) functionality. If you require NAT, you must select theEnabledcheck box.
- In the Resources area of the screen, from theDefault Poollist, select the pool name for FIX streams.This pool is for streams that do not match your iRule(s).
- For theiRulessetting, from theAvailablelist, select the name of the iRule that you created for the Late Binding feature and move it to theEnabledlist.The iRule enables load balancing based on the Layer-7 (FIX) fields at the head of each stream.
- ClickFinished.
The virtual server is configured to use the specified Fast L4 profile and pool. If a
client initiates a FIX connection with this virtual server, the connection uses the Fast
L4 (ePVA) hardware.
Implementation result
This implementation configures a BIG-IP® system to manage low-latency
electronic trading functionality, optimizing the system for predictable latency and jitter.
Clients who send FIX streams to the virtual server's Destination address all receive this
low-latency service. The virtual server intelligently distributes the streams to different server
pools based on information in each stream's FIX logon packet.