FIX, Binary SBE, UMDF, and Feeds: Demystifying High Performance in Financial Markets
In a financial world where milliseconds matter and decisions are made in fractions of a second, system-to-system communication must be precise, fast, and reliable. Protocols like FIX, Binary SBE, Feeds, and UMDF are the backbone of stock exchanges and high-frequency trading (HFT) strategies. This article is a journey from the basics to advanced levels of these essential components in modern electronic markets.
A Brief History
FIX (Financial Information eXchange)
Created in the 1990s by Wall Street banks and brokerages, the FIX protocol was designed to standardize and speed up the exchange of buy/sell orders between systems. It has since become the global messaging standard in finance.
UMDF (UDP Multicast Data Feed)
Developed by Nasdaq, UMDF was created to disseminate real-time market data with low latency, using multicast via UDP. Its latest version (UMDF 5.0) supports compressed and SBE-encoded messages for greater performance.
SBE (Simple Binary Encoding)
SBE is a binary serialization specification developed by the FIX Trading Community to replace plain-text FIX messages. Its goal is to maximize performance with compact messages and efficient parsing.
Market Feeds
Feeds are real-time market data distribution channels used by exchanges, brokers, and trading platforms. They are essential for receiving quotes, orders, volumes, and trade updates in real time.
🧠 Architecture, Networks, and Key Concepts
FIX Protocol
Tag-value message format
Human-readable, ideal for debugging and logging
Widely used for order placement, allocation, confirmation, and cancellation
Uses TCP for reliable communication
Binary SBE
Requires less bandwidth than textual FIX
Ultra-fast serialization/deserialization
Ideal for low/ultra-low latency environments
Used in market data feeds and proprietary messaging
UMDF
Based on UDP multicast, reducing network load
Multiple feed "channels" (e.g., trades, book, imbalance)
Version 5 uses SBE for encoding
Used in exchanges like Nasdaq, B3, and others
Market Data Feeds
Can be Direct Feeds (e.g., ITCH, OUCH) or consolidated (e.g., SIP)
Carry messages like Add Order, Modify, Trade, Cancel, Snapshot
Latency in receiving can impact trading decisions in microseconds
Network Architecture and Specialized Hardware
In ultra-low latency environments, network infrastructure is critical. Low-latency switches like the Exablaze ExaLINK Fusion, ExaLINK Orion, and ExaNIC X25/X100, as well as Cisco Nexus 3550-T and 3550-F, enable deterministic forwarding and timestamping with sub-nanosecond precision.
Market data arrives via UDP multicast, typically distributed by programmable switches and FPGA NICs (such as ExaNIC or Solarflare) directly to C++ applications or hardware-accelerated engines.
Order entry is performed via FIX or proprietary binaries over TCP/UDP with the highest priority, often routed by local FIX gateways installed in the same racks.
End-to-end latency, including parsing, networking, and order response, can be under 5 microseconds.
Usability and Real-World Cases
Trading Floor / HFT
Arbitrage, market-making, and momentum strategies depend on rapid feed reception and interpretation
Binary SBE enables ultra-fast message parsing and generation
FIX remains widely used for order entry due to its robustness and global standardization
Order Routers and Gateways
FIX engines handle parsing, logging, and routing between OMS and brokers
DMA (Direct Market Access) gateways receive FIX messages and convert them to proprietary formats (e.g., binary)
Ultra-Low Latency Environments
Co-located hosting in exchange data centers
Parsing in FPGA or C++
Real-time analysis of multicast feeds
Cisco S3550 switches and Exablaze NICs with hardware filtering accelerated by FPGA
Practical Examples
FIX
8=FIX.4.2|9=176|35=D|49=CLIENT1|56=BROKER1|11=ORD123|21=1|55=AAPL|54=1|60=20240419-10:00:00|40=2|44=185.00|38=100|
New order to buy 100 shares of AAPL at $185.00.
Binary SBE
Represented in binary format (e.g., 0x01 0xAF 0x03...), using less than 25% of the size of an equivalent FIX message and processed in microseconds. Used in co-located environments for maximum performance.
UMDF
{
"MsgType": "Trade",
"Symbol": "MSFT",
"Price": 305.75,
"Volume": 1500,
"Timestamp": "20240419-10:01:25.123456"
}Readable JSON version of a trade message. In production, it would be transmitted via SBE + UDP Multicast.
Market Feed (ITCH)
Message Type: 'A' (Add Order)
Order Ref: 123456789
Stock: TSLA
Price: 198.50
Volume: 500
Add order message from a Nasdaq ITCH feed. Used to build the real-time order book.
ExaLINK Fusion / Cisco S3550 Example
In a 5ns deterministic path:
Fusion receives the multicast market data
Applies real-time filtering at the port level (e.g., filter TSLA only)
Distributes only matching packets to ExaNIC
FPGA parses SBE message and forwards to the strategy engine
The strategy sends an order via FIX over TCP through a 3550-T low-latency path
Conclusion
Understanding FIX, UMDF, Feeds, and Binary SBE is essential for any architect or specialist working in critical financial environments. These protocols are the rails on which orders, quotes, and billion-dollar decisions travel.
The real competitive edge comes from combining technical expertise, purpose, and agile execution. In an environment where every microsecond matters, the right architecture makes all the difference.
Let's connect! If you're looking to implement high-performance strategies, optimize your infrastructure, or modernize your trading environment, I'm here to help.
—
Josimar Caitano / Josinfo
Specialist in Financial Environments, Trading Floors, Ultralow Latency
HFT Architecture • DMA • SBE • FIX • Feeds • Colocation
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