FPGA Applications in Finance

Field Programmable Gate Arrays in Finance

14/Oct/2014Antonio Roldao, Ph.D.

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

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, …


How do FPGAs work?


How do FPGAs work: Look-Up-Tables - 1/2


How do FPGAs work: Look-Up-Tables - 2/2

LUT

FF Synchronous

Asynchronous

Clock

A

B


How do FPGAs work: Routing Fabric

LogicBlock

LogicBlock

LogicBlock


How do FPGAs work: Embedded Cores


Why are FPGAs in-hype?


Why are FPGA in-hype: CPU’s Trends


Why are FPGA in-hype: FPGA’s Density


Why are FPGA in-hype: FPGA’s FP Capability


Why are FPGA in-hype: Better Tools

• Better Integrated Development Environmentsthat detect and flag most common mistakes

• Integrated simulationincluding embeddable probes that can read live FPGA signals

• Faster synthesis and bitstream generationthat can infer standard embedded blocks (e.g.

RAMs/Multipliers)

• Comprehensive libs of commonly used logic blockswith highly optimized designs targeting the specific FPGA

• Hybrid software and hardware methodologiesusing embedded microprocessors (e.g. ARM)Antonio Roldao, Ph.D. 1

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Why are FPGA in-hype: Gartner Hype Cycle


Where are FPGAs being used?


• 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


FPGAs in Finance


Why is speed so important?

• Winner eventually takes it all due to: Positive Network EffectsAntonio Roldao, Ph.D. 1

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Simplified Client-side HFT Platform


Simplified Exchange-side Platform


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


• 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



• 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



• 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



• 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



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 EffectsAntonio Roldao, Ph.D. 2

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Future Vision

Trading-System-on-a-Chip


Thank You

http://anton.io @roldao

Technology

FPGA Applications in Finance