Parse data (effcienciently?) with a FPGA?

[daybyter]

https://www.euromoney.com/article/b12xygfs5959wx/fx-how-low-can-you-go-new-solution-cuts-tick-to-trade-latency-to-120ns

I'm actually working on verilog code for FIX parsing to generating. Would love to test one of these:

https://netfpga.org/site/#/systems/1netfpga-sume/details/

or these:

https://www.bittware.com/fpga/servers-systems/terabox/

 

[hans]

Incorrect. FPGA's are use plenty in high-speed stock trading. These guys play "the game" borderline cheating.

I don't think high speed trading is cheating, and of course they try to be as fast as they can. However, there's the next level where the cheating takes place. These guys see your orders before it hits the floor no matter how fast you are. You can see a bid sitting there for long time, but just the moment you decide to take it, the bid magically disappears in a matter of milliseconds. This could not have happened if they didn't see my order coming. I haven't traded for a long time, but I doubt it is now any different than it was back then.

I am not saying they are cheating (that is defined after all by the market who makes the technical rules), what I wanted to illustrate with that phrase and the TCP story is they will do whatever it takes to get the lowest latency over their competitors. They are competing at microsecond levels of latency. This where their bread is earned, aside from good trading algorithms of course.
This is perhaps one of the weird cases where speed is king above anything, even if it is at the cost of maintainability and readability of the code. They try to maintain a high quality through rigorous testing procedures and code reviews, while staying "agile" enough that they have a short deployment path to production.

I certainly do believe that their network connection for their trading box more or less runs straight into a FPGA. If you're not in the same building to trade or use a crap network stack, you've already lost so to speak. This is where FPGA's can offer high levels of granularity and parallelism that is very valuable.

[NorthGuy]

120 ns doesn't sound realistic. During this time, the signal can only travel 60 feet (assuming wires, not silicon) - you need to be very close. How many high speed traders can you possibly fit into such small space?

Would love to test one of these:

https://netfpga.org/site/#/systems/1netfpga-sume/details/

Just press the button:

https://store.digilentinc.com/netfpga-sume-virtex-7-fpga-development-board/

[daybyter]

As I understand, the 120ns are the time from getting into the trader's PC to the moment, when the PC sends the order. The signal remains in the fpga network card, so it doesn't have to travel very far. And there is no real trade logic involved. So no calculations, if the trade would be profitable.

I would buy the sume card in a second, if it was just a bit cheaper... ok...a lot cheaper...

[nctnico]

120 ns doesn't sound realistic. During this time, the signal can only travel 60 feet (assuming wires, not silicon) - you need to be very close. How many high speed traders can you possibly fit into such small space?

The trade orders are being timestamped as well so they don't need to be handled realtime.

[hamster_nz]

As I understand, the 120ns are the time from getting into the trader's PC to the moment, when the PC sends the order. The signal remains in the fpga network card, so it doesn't have to travel very far. And there is no real trade logic involved. So no calculations, if the trade would be profitable.

I would buy the sume card in a second, if it was just a bit cheaper... ok...a lot cheaper...

Have a look at some of the http://www.metamako.com hardware.... Still not cheap :-)

[daybyter]

I guess I have to continue playing with my de0 nano for a while...
;(

[NorthGuy]

The trade orders are being timestamped as well so they don't need to be handled realtime.

They don't handle orders. They place them. Say, they somehow detect that a big buyer wants to buy lots of Microsoft stock. So they quickly place bunch of orders to buy Microsoft, the price goes higher and then they sell their Microsoft to the big buyer at this higher price - the whole thing takes few seconds to accomplish. The big buyers can do very little to defend against this. But, if other fast trade guys detect it earlier than you do, they get cheap Microsoft and, in the best case, you're left with nothing, or the price may go too high, the big buyer may back off and there's no one to buy your Microsoft from you, so you're holding the bag.

[Marco]

HFT has also turned stop loss into even more of a mug's game.