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Message oriented middleware (MOM) is a key technology in financial market data delivery. In this context we study the advanced message queuing protocol (AMQP), an emerging open standard for MOM communication. We design a basic suite of benchmarks for AMQPpsilas Direct, Fanout, and Topic Exchange types. We then evaluate these benchmarks with Apache Qpid, an open source implementation of AMQP. In order to observe how AMQP performs in a real-life scenario, we also perform evaluations with a simulated stock exchange application. All our evaluations are performed over InfiniBand as well as 1 Gigabit Ethernet networks. Our results indicate that in order to achieve the high scalability requirements demanded by high performance computational finance applications, we need to use modern communication protocols, like RDMA, which place less processing load on the host. We also find that the centralized architecture of AMQP presents a considerable bottleneck as far as scalability is concerned.