Enabling Financial Service Firms to Compute Heterogeneously with Gateware Defined Networking (GDN) John W. Lockwood, CEO Algo-Logic Systems, Inc. #OpenPOWERSummit Join the conversation at #OpenPOWERSummit 1
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 Join the conversation at #OpenPOWERSummit 2
Order Book as a part of a complete Trading Systems CLIENT EXCHANGE Trading Risk TCP Logic Checks API Direct Feed: Multicast UDP/IP Market Data ORDER BOOK Processor Algo-Logic Confidential
Gateware + FPGA + Circuit Board + CPU + Software FPGA Hardware to enable Coherent Acceleration AFU Operating System Enablement IBM Supplied Ubuntu 14.10 (LE) PSL libcxl function calls Customer Application and Accelerator PCIe • Application sets up data and calls CAPP Accelerator Functional Unit (AFU) Memory (Coherent) Power • AFU reads/writes coherent data PC Core to trading applications OS App Power Processor
CAPI Order Book Overview Algo-Logic Register Full Order Book 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 Order Book App OS PSL AFU Control IF Order Book AFU is reset and 1 Connect to 1 Open Device Reset AFU ready for work Order Book AFU Set up data in Knows the structure 2 2 architected structure. i.e. knows the offsets, Start at base address needs to know only and use defined offsets the base address for L2 data Base Order Book AFU starts with Control IF 3 3 Start accelerator Attach Device effective received base effective address, address and begins operation App performs MMIO Writing configuration registers, 4 4 MMIO IF read/write from/to reading status registers at start of Order Book AFU registers day, and throughout the day Order Book AFU receives market App has access to latest Command IF 5 data, builds the order book, and 5 L2 snapshots in coherent Buffer IF continuously writes L2 shared memory snapshots to coherent shared Response IF memory 6 App knows AFU is Order Book AFU finishes 6 finished (mechanism is (mechanism is user defined) Control IF user defined) De-assert RUNNING Assert DONE App can start again from top or free AFU
Demonstration of CAPI Order Book
Latency of CAPI Enabled Order Book UDP/IP packet with market data (tick) on wire PSL write request for 128B (cache line aligned) Order Book L2 snapshot 128B Order Book L2 snapshot available in coherent shared memory
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 Join the conversation at #OpenPOWERSummit 11
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