HPC in Financial Services Terry Stratoudakis 22JUL2012


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Survey in High Performance Computing in Financial Services, given by Terry Stratoudakis of Wall Street FPGA on July 22, 2012 at The 4th Annual Modeling High Frequency Data in Finance Conference held at Stevens Institute of Technology

About Wall Street FPGA
Wall Street FPGA (www.WallStreetFPGA.com) is a New York City-based boutique financial technology firm that delivers hardware accelerated, low latency financial trading and analytics solutions. Wall Street FPGA combines knowledge of capital markets and disruptive technology. For more information and to schedule a demonstration, contact Terry Stratoudakis: terry@WallStreetFPGA.com or +1 (347) 228-7379. Wall Street FPGA is a member of the FIX Protocol Limited

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  • Great Slide! The powerful FPGA with its reconfigurability should be one of the best players for high speed, low latency computing.
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HPC in Financial Services Terry Stratoudakis 22JUL2012

  1. 1. HPC IN FINANCIAL SERVICES Terry Stratoudakis, Wall Street FPGA4th Annual Modeling High Frequency Data in Finance Conference Stevens Institute of Technology July 19-22, 2012
  2. 2. OVERVIEWHigh Performance ComputingField Programmable Gate Arrays (FPGAs)Graphics Processing Units (GPUs)Timing and SynchronizationHPC Applications in Financial ServicesIndustry Adoption Challenges www.WallStreetFPGA.com
  3. 3. High Performance ComputingLow LatencyHigh ThroughputBig DataSolutions Grid/cluster/multi-core Hardware Acceleration Storage Timing and Latency Measurements www.WallStreetFPGA.com
  4. 4. FPGA OverviewField Programmable Gate ArrayCustomizable Integrated Circuit (IC) ‘Reconfigurable ASIC’ Millions of configurable gates on a single chipParallel Execution – 100, 1000, and more coresLow Power UsageNo Operating SystemHardware Description Language (HDL) www.WallStreetFPGA.com
  5. 5. FPGA – Implement Any Digital Logic www.WallStreetFPGA.com
  6. 6. FPGA ApplicationsAerospace and DefenseAutomotiveBroadcastConsumer ElectronicsData CentersHigh Performance ComputingIndustrialMedicalWireless and Wired Communications www.WallStreetFPGA.com
  7. 7. GPU OverviewGraphics Processing UnitSpecialized CPU for graphics and analytics100s of coresProgrammed using OpenCL and CUDAGeneral Purpose GPUs (GPGPUs) www.WallStreetFPGA.com
  8. 8. GPGPU ApplicationsScientific ComputingBioinformaticsFast Fourier Transforms (FFTs)Image AnalysisParallel ComputingMany others… www.WallStreetFPGA.com
  9. 9. Other Chips? Tilera Analog Devices Blackfin ARM Clearspeed And others…High barrier to entry for new chip companiesLook for hybrid (SoC) chips www.WallStreetFPGA.com
  10. 10. Timing and SynchronizationDriver is HFT on a Global ScaleLatency Measurements and MonitoringClock Strata (Stratum 0…)If you cannot measure it, you cannot improve itHeisenberg principle www.WallStreetFPGA.com
  11. 11. Timing and Synch ProtocolsNetwork Time Protocol (NTP) RFC 5905 (v4), RFC 1305 (v3)Precision Timing Protocol (PTP) IEEE-1588v2 (2008)Global Positioning System (GPS) www.WallStreetFPGA.com
  12. 12. Timing ChallengesSoftware is at its limits Cannot measure below microseconds Jitter is unpredictableProbes always add delay to system Hardware probe effects are easier to controlNetwork Time Protocol (NTP) is not accurate enough www.WallStreetFPGA.com
  13. 13. Latency Monitoring TechnologySoftware probes, OS/chip specific APIsHardware probes (e.g. FPGA), network card/switchPrecision Timing Protocol (PTP) IEEE-1588v2Synchronized to GPS Measurements can be correlated globally www.WallStreetFPGA.com
  14. 14. HPC Applications in Financial Services Market Data Handling and Inline Analytics Algorithmic Acceleration Option Pricing, Moving Averages, etc. Order Entry and OMS (e.g. FIX) Order Matching Structured News Analysis Timestamping, Latency Monitoring In-memory databases Regulatory (e.g. SEC/CFTC mandated or suggested) Pre-Trade Risk Checks (SECs 15c-3 Market Access Rule) “Kill Switch” www.WallStreetFPGA.com
  15. 15. FINANCIAL SERVICES www.WallStreetFPGA.com
  16. 16. HPC ApproachesBuy vs. BuildNetwork Cards and HardwareAccelerator CardsRAM BanksSpecialized AppliancesDevelopment Platforms – Build www.WallStreetFPGA.com
  17. 17. Technology Closing RemarksNot all cores or clock cycles are equalHybrid Computing – why only optimize the softwarewhen you can optimize both (hardware and software)Seek Contextual & Traceable Latency MeasurementsExplore HPC tools/solutions outside of Finance www.WallStreetFPGA.com
  18. 18. HPC Adoption ChallengesCost-BenefitSoftware-centricBuy vs. BuildLevel of AbstractionDevelopment TimeFinding people who know both HPC and FinanceEveryone is ‘the fastest’… www.WallStreetFPGA.com
  19. 19. CONTACT INFOterry@WallStreetFPGA.comWallStreetFPGA.comTwitter: @WallStreetFPGALinkedIn Group “Wall Street FPGA” (over 500 members) www.WallStreetFPGA.com