Filters Normalized Market Data Messages using a 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.