Ing. Jan Kořenek, Ph.D.

DVOŘÁK Milan and KOŘENEK Jan. Low Latency Book Handling in FPGA for High Frequency Trading. In: 17th IEEE Symposium on Design and Diagnostics of Electronic Circuits and Systems. Warszawa: IEEE Computer Society, 2014, pp. 175-178. ISBN 978-1-4799-4558-0.
Publication language:english
Original title:Low Latency Book Handling in FPGA for High Frequency Trading
Title (cs):Nízkolatenční správa knihy v FPGA pro rychlé obchodování na burze
Pages:175-178
Proceedings:17th IEEE Symposium on Design and Diagnostics of Electronic Circuits and Systems
Conference:IEEE International Symposium on Design and Diagnostics of Electronic Circuits and Systems 2014
Place:Warszawa, PL
Year:2014
ISBN:978-1-4799-4558-0
Publisher:IEEE Computer Society
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Keywords
FPGA, Cuckoo hashing, HFT, High Frequency Trading,
Annotation
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.
BibTeX:
@INPROCEEDINGS{
   author = {Milan Dvo{\v{r}}{\'{a}}k and Jan Ko{\v{r}}enek},
   title = {Low Latency Book Handling in FPGA for High Frequency Trading},
   pages = {175--178},
   booktitle = {17th IEEE Symposium on Design and Diagnostics of Electronic
	Circuits and Systems},
   year = {2014},
   location = {Warszawa, PL},
   publisher = {IEEE Computer Society},
   ISBN = {978-1-4799-4558-0},
   language = {english},
   url = {http://www.fit.vutbr.cz/research/view_pub.php?id=10622}
}

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