What's the most efficient way to parse FIX Protocol messages in .NET?

Question

I came across this very similar question but that question is tagged QuickFIX (which is not relevant to my question) and most of the answers are QuickFIX-related.

My que

Answer 1

You are probably better off using QuickFix in all honesty and building a Managed C++ wrapper for it. If you are at all concerned with latency then you cannot perform allocations as part of the parsing since that can cause the GC to run which pauses your FIX engine. When paused you cannot send or receive messages which as I am sure you know is very very bad.

There was one company who Microsoft had highlighted a couple years ago as building a FIX engine entirely in c#. They would build a pool of objects to use over the course of the trading day and perform no allocations during the day.

I don't know what your latency requirements are but for what I am doing we have used codegen, different types of multithreaded heaps to get perf and reduce latency. We use a mixture of c++ and haskell.

Depending on your requirements maybe implement your parser as kernel mode driver to allow messages to be constructed as they are received off the wire.

@Hans: 10 microseconds is a very long time. NASDAQ matches orders in 98 microseconds and SGX has announced that it will take 90 microseconds to cross when they roll their new platform this year.