Market.Data.Filter

Filters Normalized Market Data Messages using a WatchList

Benchmark Description

• of Symbols we are filtering in (Size of watchlist)

• of existing order per item on WatchList

• Time it takes to filter out an Order
• Time it takes to filter in an Order for each security

2 types of messages of interest

• AddOrder which explicitly has the symbol/ticker embedded within itself
• Other messages which only contain the OrderId

We are expecting Orders to come in randomly

Results: For a watchlist of 5 symbols, and the following makeup of existing orders:

• Symbol_1 500 orders
• Symbol_2 250 orders
• Symbol_3 100 orders
• Symbol_4 150 orders
• Symbol_5 900 orders

It takes on average:

• x clock cycles to filter an AddOrder Message
  • AddOrder message whose Symbol is in the watchlist
  • AddOrder message whose Symbol is not in the watchlist
• y clock cycles to filter a non-AddOrder Message
  • OrderId whose corresponding Symbol is in the watchlist
  • OrderId whose corresponding Symbol is not in the watchlist

So now we want to generate the above condition(s), and run 4 tests to measure the expected latencies/times.