Publication detail

Low Latency Book Handling in FPGA for High Frequency Trading

DVOŘÁK, M. KOŘENEK, J.

Original Title

Low Latency Book Handling in FPGA for High Frequency Trading

Type

conference paper

Language

English

Original Abstract

Recent growth in algorithmic trading has caused a demand for lowering the latency of systems for electronic trading. FPGA cards are widely used to reduce latency and accelerate market data processing. To create a low latency trading system, it is crucial to effectively build a  representation of the market state (book) in hardware. Thus, we have designed a new hardware architecture, which updates the book with the best bid/offer prices based on the incoming messages from the exchange. For each message a corresponding financial instrument needs to be looked up and its record needs to be updated. Proposed architecture is utilizing cuckoo hashing for the book handling, which enables low latency symbol lookup and high memory utilization. In this paper we discuss a trade-off between lookup latency and memory utilization. With average latency of 253 ns the proposed architecture is able to handle 119 275 instruments while using only 144 Mbit QDR SRAM.

Keywords

FPGA, Cuckoo hashing, HFT, High Frequency Trading,

Authors

DVOŘÁK, M.; KOŘENEK, J.

RIV year

2014

Released

23. 4. 2014

Publisher

IEEE Computer Society

Location

Warszawa

ISBN

978-1-4799-4558-0

Book

17th IEEE Symposium on Design and Diagnostics of Electronic Circuits and Systems

Pages from

175

Pages to

178

Pages count

4

URL

https://www.fit.vut.cz/research/publication/10622/

BibTex

@inproceedings{BUT111582,
  author="Milan {Dvořák} and Jan {Kořenek}",
  title="Low Latency Book Handling in FPGA for High Frequency Trading",
  booktitle="17th IEEE Symposium on Design and Diagnostics of Electronic Circuits and Systems",
  year="2014",
  pages="175--178",
  publisher="IEEE Computer Society",
  address="Warszawa",
  doi="10.1109/DDECS.2014.6868785",
  isbn="978-1-4799-4558-0",
  url="https://www.fit.vut.cz/research/publication/10622/"
}