How and why are FPGAs used in trading?

[svquant]

lmog - perhaps rentec has been buying nVidia hardware etc to improve profitability or using FPGAs. I do know that when rentec moved from generation1 to generation2 of hardware in the Medallion fund the profitability improved significantly. Can't say what generation1 and generation2 of hardware was but let's just say they were very different and would require a software rethink/implementation.



As for FPGAs themselves - well a lot of the low latency infrastructure is built of FPGAs inside the network boxes so some of the algorithms used end-to-end are already in FPGAs for us. As for other parts of the end-to-end flow depends on what you are doing and how the data flow and inner loop looks to determine of FPGA, GPUs, or multicores uPs aor some combination of all the above are the best solution.



The last random point is for some solutions/algorithms the FPGA will offer the most power efficient solution vs uPs or GPUs. That can matter for some people.

[ntclark]

"FPGA will offer the most power efficient solution vs uPs or GPUs."



I've done a fair amount of hardware design, and I have never heard of a situation where that is true. The overhead of reconfigurability is really, really high, and eats up a lot of power.

[svquant]

Then you need to do more hardware design Confused Just look a boxes used to break encryption codes - best ones are all FPGAs since one cannot perform the algorithms in a suitable time frame nor power budget using DSPs, GPUs, or uPs.



Note I did say "some algorithms" not all and in general the rule of thumb for most algorithms and signal processing tasks in terms of performance per watt would be (going from highest performance per watt to lowest): ASIC/ASSP -> FPGA -> DSP -> uP. Now GPUs might be around DSPs or even better depending on the mapping into the PEs, arithmetic types, and memory architecture of the GPU. The above hierarchy is why many low latency shops have FPGA accelerators on their ticker plants since a lot of the processing maps really well into FPGAs giving them a performance boost over software implementations at a power savings.



Also don't get me wrong if you can do what you want in pure software running in a GPU or CPU more power to you since it is the most flexible solution.



Of course past performance per watt not a guarantee of future performance per watt.

[squeeze]

FPGA is being used for the most latency critical arbs and market making. It has benefits for parallel processing on thousands of symbols and very low and consistent latency that can't easily be acheived on standard PC hardware. It's something that is useful for certain niche opportunities.

[alipson]

The one aspect of FPGAs that no one has mentioned is the reconfigurability, which can be in general one easily and quickly. I am not quite sure whether this would benefit the finance side, unless you are hot-swapping algorithms, depending on the trading market, but it certainly is one of the real benefits to other applications.



A.

[derek]

It seems these guys implemented a matching engine using FPGAs.



http://www.automatedtrader.net/headlines/37740/algo-technologies-unveils-algo-m2-exchangemtf-matching-engine



Based on the roundtrip times of 16 microseconds they are reporting, I would expect the gateway + IP stack is also implemented using FPGAs.



Nice job.

[alipson]

This presentation also has a couple of comments + ideas on fpgas.



[url=/User%20Files/1490/fpga_qmf_20081217.pdf]Attached File: fpga_qmf_20081217.pdf[/url]

[WallStreetFPGA]

Check out this article on FPGAs: http://www.low-latency.com/article/101-introduction-fpgas



And our website http://www.wallstreetfpga.com/ where we have papers on FIX on an FPGA, Option Pricing, and QuantLib



Why FPGAs are fast? http://research.microsoft.com/apps/pubs/default.aspx?id=70636

[janne]

Could stock exchanges who disseminates the data feed decrease the latency if they used FPGA instead of serial processing? Would it make sense at all, advantages or disadvantages?

[WallStreetFPGA]

Do you mean for making many copies of data for distribution over multiple network paths? If so, then yes. FPGAs can benefit custom re-configurable network hardware.