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
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6.
How do FPGAs work: Look-Up-Tables - 2/2
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7.
How do FPGAs work: Routing Fabric
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8.
How do FPGAs work: Embedded Cores
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9.
Why are FPGAs in-hype?
Antonio Roldao, Ph.D. 9

10.
Why are FPGA in-hype: CPU’s Trends
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11.
Why are FPGA in-hype: FPGA’s Density
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12.
Why are FPGA in-hype: FPGA’s FP Capability
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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)
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14.
Why are FPGA in-hype: Gartner Hype Cycle
Antonio Roldao, Ph.D. 14

15.
Where are FPGAs being used?
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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
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17.
FPGAs in Finance
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18.
Why is speed so important?
• Winner eventually takes it all due to:
Positive Network Effects
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19.
Simplified Client-side HFT Platform
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20.
Simplified Exchange-side Platform
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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
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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
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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
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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
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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
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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
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27.
Future Vision
Trading-System-on-a-Chip
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28.
Thank You
http://anton.io
@roldao