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FPGA Applications in Finance
- 1. Field Programmable Gate Arrays in Finance 14/Oct/2014Antonio Roldao, Ph.D.
- 2. Presentation Overview • What are FPGAs • How do FPGAs work • Why are FPGAs in-hype • Where are FPGAs being used • FPGAs in Finance • Summary • Future Vision Antonio Roldao, Ph.D. 2
- 3. What are FPGAs? • Invented in 1985 by Ross Freeman • Re-programmable Digital Device • Equivalent to employing millions of logic gates • Can be configured in the outside in the “field” • Able to implement • very simple logic; or • fully featured systems like multi-core- microprocessors w/ RAM, video, and sound, neural networks, trading systems, … Antonio Roldao, Ph.D. 3
- 4. How do FPGAs work? Antonio Roldao, Ph.D. 4
- 5. How do FPGAs work: Look-Up-Tables - 1/2 Antonio Roldao, Ph.D. 5
- 6. How do FPGAs work: Look-Up-Tables - 2/2 Antonio Roldao, Ph.D. 6
- 7. How do FPGAs work: Routing Fabric Antonio Roldao, Ph.D. 7
- 8. How do FPGAs work: Embedded Cores Antonio Roldao, Ph.D. 8
- 9. Why are FPGAs in-hype? Antonio Roldao, Ph.D. 9
- 10. Why are FPGA in-hype: CPU’s Trends Antonio Roldao, Ph.D. 10
- 11. Why are FPGA in-hype: FPGA’s Density Antonio Roldao, Ph.D. 11
- 12. Why are FPGA in-hype: FPGA’s FP Capability Antonio Roldao, Ph.D. 12
- 13. Why are FPGA in-hype: Better Tools • Better Integrated Development Environments that detect and flag most common mistakes • Integrated simulation including embeddable probes that can read live FPGA signals • Faster synthesis and bitstream generation that can infer standard embedded blocks (e.g. RAMs/Multipliers) • Comprehensive libs of commonly used logic blocks with highly optimized designs targeting the specific FPGA • Hybrid software and hardware methodologies using embedded microprocessors (e.g. ARM) Antonio Roldao, Ph.D. 13
- 14. Why are FPGA in-hype: Gartner Hype Cycle Antonio Roldao, Ph.D. 14
- 15. Where are FPGAs being used? Antonio Roldao, Ph.D. 15
- 16. • Spatial Parallelizable - Monte Carlo, Map-Reduce, Neural Nets • Temporal Parallelizable - Monte Carlo, Streaming, Encryption • Deterministic - Precise Measurements and Actuators • Low Power - Space Probes, Cameras, Hard-disks • High Integration - Satellite Systems, F1 Steering Wheel • High Throughput - Video Encoding/Decoding, Filtering • Customizable - Data-paths, Number Systems, ISAs • Wire-Speed / Low-Latency - Software Defined Networks, HFTs • Architecture Independence General FPGA Applications Antonio Roldao, Ph.D. 16
- 17. FPGAs in Finance Antonio Roldao, Ph.D. 17
- 18. Why is speed so important? • Winner eventually takes it all due to: Positive Network Effects Antonio Roldao, Ph.D. 18
- 19. Simplified Client-side HFT Platform Antonio Roldao, Ph.D. 19
- 20. Simplified Exchange-side Platform Antonio Roldao, Ph.D. 20
- 21. 1/5 - FPGA Applications in Finance • Off-loading Network Computations • Checksum calculations • ARP Requests/Replies • UDP packet crafting • TCP packet crafting, sliding window, re-request, throttling • Protocol Normalization / Transliteration / Tagging / Stamping • Time stamping • Tagging with Unique Identifier • Transliteration from {b}FIX/ProtoBuffers/SBE/ASCII into binary and vice-versa • Façade for different protocols Antonio Roldao, Ph.D. 21
- 22. • Wire Speed Logging • Capture traffic in real-time • Non-intrusive logging • Reactive alerts • Network traffic replay and compare • Market Data Processing • Manage connections to various data sources • Transliterate and compact data • A/B arbitration • Aggregate multiple feeds into a unified stream • Filter non-subscribed names Antonio Roldao, Ph.D. 22 2/5 - FPGA Applications in Finance
- 23. • Rules and Limit Checks • Verify an order is within market ranges • Track and limit exposure in real-time • Verify order complies with regulatory requirements • Smart Order Routing • Route by lowest latency • Route by best price • Route by increased liquidity • Route by lowest transaction fees • Route by highest historical success rate • Route by a combination of above or any other factor Antonio Roldao, Ph.D. 23 3/5 - FPGA Applications in Finance
- 24. • Risk Calculation • Instrument pricing • Scenario building and evaluation • Monte-Carlo simulations • Real-time portfolio / PnL calculations • Risk Mitigation and Hedging Strategies • Generate alerts for certain risky conditions • React to certain risky conditions • Generate alerts when opportunities for hedging arise • Automatically rebalance portfolios to minimize exposure Antonio Roldao, Ph.D. 24 4/5 - FPGA Applications in Finance
- 25. • Matching and Crossing Engines • Sort orders in parallel • Match many and rank trades in parallel • Preemptively calculate crossing results • Generate market data feeds • Reply to both sides of the trade in parallel • Money Making Engines • Arbitrage strategies • Momentum strategies • Market making strategies • Statistical and pattern-based strategies Antonio Roldao, Ph.D. 25 5/5 - FPGA Applications in Finance
- 26. Summary BASIC INTERMEDIATE COMPLEX Packet Filtering Various Checks Real-time PnL Protocol Transliteration Market Data Consolidation Trading Strategies A/B Arbitration Order Routing Matching Engines UDP/TCP Off-Loading Risk Calculation • There are a wide range of applications • Winner eventually takes it all due to: Positive Network Effects Antonio Roldao, Ph.D. 26