I know it's unfashionable to say this... if company A & B both wrote a trading platform, to the same requirements and with the same underlying software you can bet your boots that one would still be much faster than the either. The point being that the implementation language isn't as important as how the system was designed, architected and implemented. People are proclaiming that Linux is faster than
.NET when its more accurate to say MilleniumIT is faster than TradElect, or so they say.
Why this should be is not at all clear, but .NET is probably not the root cause. Chances are in fact that any Linux/Solaris solution would be mostly coded in Java anyway which suffers similar runtime overheads. The hardware it runs on, the network topology, how messages are passed around, dedicated switches, the database, the scalability or lack thereof in the code and countless other factors are far more significant than the underlying language.
One clear advantage of going the Linux / Unix route is that licencing is a lot cheaper and there are probably a lot more hardware options to consider too.