We are at the stage of selecting the most approprate API for handling Elektron real time market data.
our systems are primarily C# based, so we tend to use C# to process the elektron market data.
Basically we need to consume Full Tick (Market by order) market data for cash equities.
1. RFA NET could be a choice yet it will not be supported in the future.
2. EMA API only has c++ version, we have to build additional wrapper transporting data received from C++ to C#.
3. We could adopt WebSocket.
May I know, in terms of performance, which option will be better? We are still fine with RFA NET if it gives the best performance among all options.
Thanks very much.
Refer to the API Performance Comparison table in the ETA Developers Guide, the performance of EMA API and RFA C++ are equivalent.
To get the best performance, the option is building .NET wrapper around ETA C.
Moreover, the API packages contain the performance tools which provide an overview of the basic concepts of writing performant applications. You can also use these tools to measure the performance of APIs in your environment.