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Quantitative Finance · Glossário

O que é Simple binary encoding?

Definition 16.6 Low-Latency Software · Capítulo 16 — Protocols II: Binary Exchange Protocols

Simple binary encoding (SBE) is the FIX Trading Community’s standard for binary messages: fields of native binary types at fixed positions described by an XML message schema, each message preceded by a small header that gives the length of its fixed block, a template identifier, the schema’s identifier and its version; the byte order is a property of the schema, little-endian by default.

Decoding the order messages of 60 seconds of the simulator’s line A (about 32 000 messages), median of 21 passes: Book 1’s decoder (a copy and a std::function call per message), the generated flyweights in both byte orders, and, in the last two bars, every packet framed and every message dispatched. Measured on a laptop (Intel Core Ultra 7 155H) under WSL2, no isolated cores; GCC 11 at -O2, Rust 1.97 release. Data: bench_wire.py.
Figure 16.3. Decoding the order messages of 60 seconds of the simulator’s line A (about 32 000 messages), median of 21 passes: Book 1’s decoder (a copy and a std::function call per message), the generated flyweights in both byte orders, and, in the last two bars, every packet framed and every message dispatched. Measured on a laptop (Intel Core Ultra 7 155H) under WSL2, no isolated cores; GCC 11 at -O2, Rust 1.97 release. Data: bench_wire.py.
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