Enabling Financial Service Firms to Compute Heterogeneously with - - PowerPoint PPT Presentation

Enabling Financial Service Firms to Compute Heterogeneously with Gateware Defined Networking (GDN) John W. Lockwood, CEO Algo-Logic Systems, Inc.

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Motivation

• Stock Exchanges, market makers, hedge funds, and

traders need to track the best bid and ask (BBO) prices

• With least possible latency (sub-microsecond)
• Without jitter even during microbursts of activity
• Algo-Logic’s CAPI-enabled order book
• Receives live, level 3 market data feeds
• Builds order books in FPGA logic on CORSA card
• Sends level 2 snapshots to processor threads
• Advantages
• Provides immediate and actionable BBO for trading

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Order Book as a part of a complete Trading Systems

EXCHANGE CLIENT

Direct Feed: Multicast UDP/IP Risk Checks

ORDER BOOK

Trading Logic

Market Data Processor

API TCP

Algo-Logic Confidential

Gateware + FPGA + Circuit Board + CPU + Software

Customer Application and Accelerator Operating System Enablement Ubuntu 14.10 (LE) libcxl function calls Hardware to enable Coherent Acceleration

FPGA

Power PC Core

CAPP PCIe

IBM Supplied PSL

Power Processor

• Application sets up data and calls

Accelerator Functional Unit (AFU)

• AFU reads/writes coherent data

to trading applications

AFU OS App Memory (Coherent)

CAPI Order Book Overview

Algo-Logic Full Order Book Register Interface POWER Service Layer

Algo-Logic Confidential

Output of CAPI Order Book

128B Order Book L2 Snapshot Byte Range Field [127:120] Symbol [119:112] Buy-Side [111:104] Buy-Level 1 [103:96] Buy-Level 2 [95:88] Buy-Level 3 [87:80] Buy-Level 4 [79:72] Buy-Level 5 [71:64] Buy-Level 6 [63:56] Symbol [55:48] Sell-Side [47:40] Sell-Level 1 [39:32] Sell-Level 2 [31:24] Sell-Level 3 [23:16] Sell-Level 4 [15:8] Sell-Level 5 [7:0] Sell-Level 6

CAPI Order : Trading Dashboard

Algo-Logic Confidential

Operation of CAPI Order Book

App

2 2 Set up data in architected structure. Start at base address and use defined offsets for L2 data Knows the structure i.e. knows the offsets, needs to know only the base address

OS PSL Order Book AFU

Response IF Command IF Buffer IF Order Book AFU receives market data, builds the order book, and continuously writes L2 snapshots to coherent shared memory 5 App has access to latest L2 snapshots in coherent shared memory 5 Control IF 1 Connect to Order Book AFU Open Device Reset AFU Order Book AFU is reset and ready for work 1 Base effective address Order Book AFU starts with received base effective address, and begins operation Control IF Start accelerator 3 Attach Device 3 App performs MMIO read/write from/to Order Book AFU registers 4 MMIO IF Writing configuration registers, reading status registers at start of day, and throughout the day 4 6 Order Book AFU finishes (mechanism is user defined) De-assert RUNNING Assert DONE App knows AFU is finished (mechanism is user defined) App can start again from top or free AFU Control IF 6

Demonstration of CAPI Order Book

UDP/IP packet with market data (tick)

• n wire

PSL write request for 128B (cache line aligned) Order Book L2 snapshot 128B Order Book L2 snapshot available in coherent shared memory

Latency of CAPI Enabled Order Book

Thank you

• Algo-Logic Systems, Inc.
• Corporate Headquarters:
• 2255-D Martin Ave
• Santa Clara, CA 95050
• Phone: (408) 707-3740
• Web: http://Algo-Logic.com
• Email: info@Algo-Logic.com

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