Survey in High Performance Computing in Financial Services, given by Terry Stratoudakis of Wall Street FPGA on July 22, 2012 at The 4th Annual Modeling High Frequency Data in Finance Conference held at Stevens Institute of Technology About Wall Street FPGA Wall Street FPGA (www.WallStreetFPGA.com) is a New York City-based boutique financial technology firm that delivers hardware accelerated, low latency financial trading and analytics solutions. Wall Street FPGA combines knowledge of capital markets and disruptive technology. For more information and to schedule a demonstration, contact Terry Stratoudakis: terry@WallStreetFPGA.com or +1 (347) 228-7379. Wall Street FPGA is a member of the FIX Protocol Limited

1. HPC IN FINANCIAL SERVICES
Terry Stratoudakis, Wall Street FPGA
4th Annual Modeling High Frequency Data in Finance Conference
Stevens Institute of Technology
July 19-22, 2012

2. OVERVIEW
High Performance Computing
Field Programmable Gate Arrays (FPGAs)
Graphics Processing Units (GPUs)
Timing and Synchronization
HPC Applications in Financial Services
Industry Adoption Challenges
www.WallStreetFPGA.com

3. High Performance Computing
Low Latency
High Throughput
Big Data
Solutions
Grid/cluster/multi-core
Hardware Acceleration
Storage
Timing and Latency Measurements
www.WallStreetFPGA.com

4. FPGA Overview
Field Programmable Gate Array
Customizable Integrated Circuit (IC)
‘Reconfigurable ASIC’
Millions of configurable gates on a single chip
Parallel Execution – 100, 1000, and more cores
Low Power Usage
No Operating System
Hardware Description Language (HDL)
www.WallStreetFPGA.com

5. FPGA – Implement Any Digital Logic
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6. FPGA Applications
Aerospace and Defense
Automotive
Broadcast
Consumer Electronics
Data Centers
High Performance Computing
Industrial
Medical
Wireless and Wired Communications
www.WallStreetFPGA.com

7. GPU Overview
Graphics Processing Unit
Specialized CPU for graphics and analytics
100s of cores
Programmed using OpenCL and CUDA
General Purpose GPUs (GPGPUs)
www.WallStreetFPGA.com

8. GPGPU Applications
Scientific Computing
Bioinformatics
Fast Fourier Transforms (FFTs)
Image Analysis
Parallel Computing
Many others…
www.WallStreetFPGA.com

9. Other Chips?
Tilera
Analog Devices Blackfin
ARM
Clearspeed
And others…
High barrier to entry for new chip companies
Look for hybrid (SoC) chips
www.WallStreetFPGA.com

10. Timing and Synchronization
Driver is HFT on a Global Scale
Latency Measurements and Monitoring
Clock Strata (Stratum 0…)
If you cannot measure it, you cannot improve it
Heisenberg principle
www.WallStreetFPGA.com

11. Timing and Synch Protocols
Network Time Protocol (NTP)
RFC 5905 (v4), RFC 1305 (v3)
Precision Timing Protocol (PTP)
IEEE-1588v2 (2008)
Global Positioning System (GPS)
www.WallStreetFPGA.com

12. Timing Challenges
Software is at its limits
Cannot measure below microseconds
Jitter is unpredictable
Probes always add delay to system
Hardware probe effects are easier to control
Network Time Protocol (NTP) is not accurate enough
www.WallStreetFPGA.com

13. Latency Monitoring Technology
Software probes, OS/chip specific APIs
Hardware probes (e.g. FPGA), network card/switch
Precision Timing Protocol (PTP) IEEE-1588v2
Synchronized to GPS
Measurements can be correlated globally
www.WallStreetFPGA.com

14. HPC Applications in Financial Services
Market Data Handling and Inline Analytics
Algorithmic Acceleration
Option Pricing, Moving Averages, etc.
Order Entry and OMS (e.g. FIX)
Order Matching
Structured News Analysis
Timestamping, Latency Monitoring
In-memory databases
Regulatory (e.g. SEC/CFTC mandated or suggested)
Pre-Trade Risk Checks (SEC's 15c-3 Market Access Rule)
“Kill Switch”
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15. FINANCIAL SERVICES
www.WallStreetFPGA.com

16. HPC Approaches
Buy vs. Build
Network Cards and Hardware
Accelerator Cards
RAM Banks
Specialized Appliances
Development Platforms – Build
www.WallStreetFPGA.com

17. Technology Closing Remarks
Not all cores or clock cycles are equal
Hybrid Computing – why only optimize the software
when you can optimize both (hardware and software)
Seek Contextual & Traceable Latency Measurements
Explore HPC tools/solutions outside of Finance
www.WallStreetFPGA.com

18. HPC Adoption Challenges
Cost-Benefit
Software-centric
Buy vs. Build
Level of Abstraction
Development Time
Finding people who know both HPC and Finance
Everyone is ‘the fastest’…
www.WallStreetFPGA.com

19. CONTACT INFO
terry@WallStreetFPGA.com
WallStreetFPGA.com
Twitter: @WallStreetFPGA
LinkedIn Group “Wall Street FPGA” (over 500 members)
www.WallStreetFPGA.com