IEICE TRANSACTIONS on Information
Network-Level FPGA Acceleration of Low Latency Market Data Feed Arbitration
Summary :
Financial exchanges provide market data feeds to update their members about changes in the market. Feed messages are often used in time-critical automated trading applications, and two identical feeds (A and B feeds) are provided in order to reduce message loss. A key challenge is to support A/B line arbitration efficiently to compensate for missing packets, while offering flexibility for various operational modes such as prioritising for low latency or for high data reliability. This paper presents a reconfigurable acceleration approach for A/B arbitration operating at the network level, capable of supporting any messaging protocol. Two modes of operation are provided simultaneously: one prioritising low latency, and one prioritising high reliability with three dynamically configurable windowing methods. We also present a model for message feed processing latencies that is useful for evaluating scalability in future applications. We outline a new low latency, high throughput architecture and demonstrate a cycle-accurate testing framework to measure the actual latency of packets within the FPGA. We implement and compare the performance of the NASDAQ TotalView-ITCH, OPRA and ARCA market data feed protocols using a Xilinx Virtex-6 FPGA. For high reliability messages we achieve latencies of 42ns for TotalView-ITCH and 36.75ns for OPRA and ARCA. 6ns and 5.25ns are obtained for low latency messages. The most resource intensive protocol, TotalView-ITCH, is also implemented in a Xilinx Virtex-5 FPGA within a network interface card; it is used to validate our approach with real market data. We offer latencies 10 times lower than an FPGA-based commercial design and 4.1 times lower than the hardware-accelerated IBM PowerEN processor, with throughputs more than double the required 10Gbps line rate.
- Publication
- IEICE TRANSACTIONS on Information Vol.E98-D No.2 pp.288-297
- Publication Date
- 2015/02/01
- Publicized
- 2014/11/19
- Online ISSN
- 1745-1361
- DOI
- 10.1587/transinf.2014RCP0011
- Type of Manuscript
- Special Section PAPER (Special Section on Reconfigurable Systems)
- Category
- Application
Authors
Stewart DENHOLM
Imperial College London
Hiroaki INOUE
NEC Corporation
Takashi TAKENAKA
NEC Corporation
Tobias BECKER
Imperial College London
Wayne LUK
Imperial College London
Keyword
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Stewart DENHOLM, Hiroaki INOUE, Takashi TAKENAKA, Tobias BECKER, Wayne LUK, "Network-Level FPGA Acceleration of Low Latency Market Data Feed Arbitration" in IEICE TRANSACTIONS on Information,
vol. E98-D, no. 2, pp. 288-297, February 2015, doi: 10.1587/transinf.2014RCP0011.
Abstract: Financial exchanges provide market data feeds to update their members about changes in the market. Feed messages are often used in time-critical automated trading applications, and two identical feeds (A and B feeds) are provided in order to reduce message loss. A key challenge is to support A/B line arbitration efficiently to compensate for missing packets, while offering flexibility for various operational modes such as prioritising for low latency or for high data reliability. This paper presents a reconfigurable acceleration approach for A/B arbitration operating at the network level, capable of supporting any messaging protocol. Two modes of operation are provided simultaneously: one prioritising low latency, and one prioritising high reliability with three dynamically configurable windowing methods. We also present a model for message feed processing latencies that is useful for evaluating scalability in future applications. We outline a new low latency, high throughput architecture and demonstrate a cycle-accurate testing framework to measure the actual latency of packets within the FPGA. We implement and compare the performance of the NASDAQ TotalView-ITCH, OPRA and ARCA market data feed protocols using a Xilinx Virtex-6 FPGA. For high reliability messages we achieve latencies of 42ns for TotalView-ITCH and 36.75ns for OPRA and ARCA. 6ns and 5.25ns are obtained for low latency messages. The most resource intensive protocol, TotalView-ITCH, is also implemented in a Xilinx Virtex-5 FPGA within a network interface card; it is used to validate our approach with real market data. We offer latencies 10 times lower than an FPGA-based commercial design and 4.1 times lower than the hardware-accelerated IBM PowerEN processor, with throughputs more than double the required 10Gbps line rate.
URL: https://global.ieice.org/en_transactions/information/10.1587/transinf.2014RCP0011/_p
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@ARTICLE{e98-d_2_288,
author={Stewart DENHOLM, Hiroaki INOUE, Takashi TAKENAKA, Tobias BECKER, Wayne LUK, },
journal={IEICE TRANSACTIONS on Information},
title={Network-Level FPGA Acceleration of Low Latency Market Data Feed Arbitration},
year={2015},
volume={E98-D},
number={2},
pages={288-297},
abstract={Financial exchanges provide market data feeds to update their members about changes in the market. Feed messages are often used in time-critical automated trading applications, and two identical feeds (A and B feeds) are provided in order to reduce message loss. A key challenge is to support A/B line arbitration efficiently to compensate for missing packets, while offering flexibility for various operational modes such as prioritising for low latency or for high data reliability. This paper presents a reconfigurable acceleration approach for A/B arbitration operating at the network level, capable of supporting any messaging protocol. Two modes of operation are provided simultaneously: one prioritising low latency, and one prioritising high reliability with three dynamically configurable windowing methods. We also present a model for message feed processing latencies that is useful for evaluating scalability in future applications. We outline a new low latency, high throughput architecture and demonstrate a cycle-accurate testing framework to measure the actual latency of packets within the FPGA. We implement and compare the performance of the NASDAQ TotalView-ITCH, OPRA and ARCA market data feed protocols using a Xilinx Virtex-6 FPGA. For high reliability messages we achieve latencies of 42ns for TotalView-ITCH and 36.75ns for OPRA and ARCA. 6ns and 5.25ns are obtained for low latency messages. The most resource intensive protocol, TotalView-ITCH, is also implemented in a Xilinx Virtex-5 FPGA within a network interface card; it is used to validate our approach with real market data. We offer latencies 10 times lower than an FPGA-based commercial design and 4.1 times lower than the hardware-accelerated IBM PowerEN processor, with throughputs more than double the required 10Gbps line rate.},
keywords={},
doi={10.1587/transinf.2014RCP0011},
ISSN={1745-1361},
month={February},}
Copy
TY - JOUR
TI - Network-Level FPGA Acceleration of Low Latency Market Data Feed Arbitration
T2 - IEICE TRANSACTIONS on Information
SP - 288
EP - 297
AU - Stewart DENHOLM
AU - Hiroaki INOUE
AU - Takashi TAKENAKA
AU - Tobias BECKER
AU - Wayne LUK
PY - 2015
DO - 10.1587/transinf.2014RCP0011
JO - IEICE TRANSACTIONS on Information
SN - 1745-1361
VL - E98-D
IS - 2
JA - IEICE TRANSACTIONS on Information
Y1 - February 2015
AB - Financial exchanges provide market data feeds to update their members about changes in the market. Feed messages are often used in time-critical automated trading applications, and two identical feeds (A and B feeds) are provided in order to reduce message loss. A key challenge is to support A/B line arbitration efficiently to compensate for missing packets, while offering flexibility for various operational modes such as prioritising for low latency or for high data reliability. This paper presents a reconfigurable acceleration approach for A/B arbitration operating at the network level, capable of supporting any messaging protocol. Two modes of operation are provided simultaneously: one prioritising low latency, and one prioritising high reliability with three dynamically configurable windowing methods. We also present a model for message feed processing latencies that is useful for evaluating scalability in future applications. We outline a new low latency, high throughput architecture and demonstrate a cycle-accurate testing framework to measure the actual latency of packets within the FPGA. We implement and compare the performance of the NASDAQ TotalView-ITCH, OPRA and ARCA market data feed protocols using a Xilinx Virtex-6 FPGA. For high reliability messages we achieve latencies of 42ns for TotalView-ITCH and 36.75ns for OPRA and ARCA. 6ns and 5.25ns are obtained for low latency messages. The most resource intensive protocol, TotalView-ITCH, is also implemented in a Xilinx Virtex-5 FPGA within a network interface card; it is used to validate our approach with real market data. We offer latencies 10 times lower than an FPGA-based commercial design and 4.1 times lower than the hardware-accelerated IBM PowerEN processor, with throughputs more than double the required 10Gbps line rate.
ER -
English
