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FPGA Applications in Finance

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This presentation given at Imperial College London focused on the myriad of applications of Field Programmable Gate Arrays in Finance. On how FPGAs work, why there has been an increased interest, and why it is important to adopt this technology.

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FPGA Applications in Finance

  1. 1. Field Programmable Gate Arrays in Finance 14/Oct/2014Antonio Roldao, Ph.D.
  2. 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. 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. 4. How do FPGAs work? Antonio Roldao, Ph.D. 4
  5. 5. How do FPGAs work: Look-Up-Tables - 1/2 Antonio Roldao, Ph.D. 5
  6. 6. How do FPGAs work: Look-Up-Tables - 2/2 Antonio Roldao, Ph.D. 6
  7. 7. How do FPGAs work: Routing Fabric Antonio Roldao, Ph.D. 7
  8. 8. How do FPGAs work: Embedded Cores Antonio Roldao, Ph.D. 8
  9. 9. Why are FPGAs in-hype? Antonio Roldao, Ph.D. 9
  10. 10. Why are FPGA in-hype: CPU’s Trends Antonio Roldao, Ph.D. 10
  11. 11. Why are FPGA in-hype: FPGA’s Density Antonio Roldao, Ph.D. 11
  12. 12. Why are FPGA in-hype: FPGA’s FP Capability Antonio Roldao, Ph.D. 12
  13. 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. 14. Why are FPGA in-hype: Gartner Hype Cycle Antonio Roldao, Ph.D. 14
  15. 15. Where are FPGAs being used? Antonio Roldao, Ph.D. 15
  16. 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. 17. FPGAs in Finance Antonio Roldao, Ph.D. 17
  18. 18. Why is speed so important? • Winner eventually takes it all due to: Positive Network Effects Antonio Roldao, Ph.D. 18
  19. 19. Simplified Client-side HFT Platform Antonio Roldao, Ph.D. 19
  20. 20. Simplified Exchange-side Platform Antonio Roldao, Ph.D. 20
  21. 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. 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. 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. 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. 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. 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
  27. 27. Future Vision Trading-System-on-a-Chip Antonio Roldao, Ph.D. 27
  28. 28. Thank You http://anton.io @roldao

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