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.
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
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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, …
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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
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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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