High Frequency Trading Development Kit
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High Frequency Trading Development Kit
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Re: High Frequency Trading Development Kit
#2I wonder what exactly the FPGA does, and how they can make it practical and flexible. Of course they could always just test with C and then compile that to HDL.
Re: High Frequency Trading Development Kit
#3Anyone knows how much something like this costs? My guess is around 20K.
Re: High Frequency Trading Development Kit
#4Why is this interesting?
Re: High Frequency Trading Development Kit
#5I wonder what exactly the FPGA does, and how they can make it practical and flexible. Of course they could always just test with C and then compile that to HDL.
A month or two ago I spoke to someone working in these shops. Apparently, they're using the FPGAs to run many of the high-bandwidth algorithms, because going from NIC to motherboard to CPU and back again added too much latency. So they program the algorithms into the FPGA (which has its own Ethernet port) so it can receive, process, and send the data without ever hitting circuitry not dedicated to the task.
Re: High Frequency Trading Development Kit
#6Why is this interesting?
See this article for an explanation of HFT: http://arstechnica.com/tech-policy/news/2010/08/the-sorcerer...
Re: High Frequency Trading Development Kit
#7I wonder what exactly the FPGA does, and how they can make it practical and flexible. Of course they could always just test with C and then compile that to HDL.
A month or two ago I spoke to someone working in these shops. Apparently, they're using the FPGAs to run many of the high-bandwidth algorithms, because going from NIC to motherboard to CPU and back again added too much latency. So they program the algorithms into the FPGA (which has its own Ethernet port) so it can receive, process, and send the data without ever hitting circuitry not dedicated to the task.
This seems a bit surprising: what is the latency coming from the NIC to the motherboard ? I somehow doubt the latency due to distance within one piece of hardware matters (current CPU cannot do much more than a few 1000s cycles for the electricity to go around a few times in a motherboard, which is nothing to do any kind of advanced processing).
Re: High Frequency Trading Development Kit
#8I am waiting for one of these shops to open up the opportunity to hobbyists/devs. I would love to try and create my own decision/trade algorithms but dont have the kind of money it would take to mitigate the cost effect of the trade volume (ie, at $8 per trade and making 1000 trades per day with an average return of 2% per day you would need to be working with more than 400K to even cover your tx cost).
Strikes me that it would be a great research incubator for them to understand/learn new ideas and techniques and hunt for talent.
Re: High Frequency Trading Development Kit
#9Earlier quoted context omitted.
A month or two ago I spoke to someone working in these shops. Apparently, they're using the FPGAs to run many of the high-bandwidth algorithms, because going from NIC to motherboard to CPU and back again added too much latency. So they program the algorithms into the FPGA (which has its own Ethernet port) so it can receive, process, and send the data without ever hitting circuitry not dedicated to the task.
This seems a bit surprising: what is the latency coming from the NIC to the motherboard ? I somehow doubt the latency due to distance within one piece of hardware matters (current CPU cannot do much more than a few 1000s cycles for the electricity to go around a few times in a motherboard, which is nothing to do any kind of advanced processing).
The problem is that a high-bandwidth link overruns the CPU with thousands of interrupts per second. It can paralyse the system, where the CPU is so busy handling I/O that it doesn't get around to actually scheduling processes.
Disclaimer: I sometimes consult for HFTs but we don't use FPGAs (yet).
Re: High Frequency Trading Development Kit
#10I am waiting for one of these shops to open up the opportunity to hobbyists/devs. I would love to try and create my own decision/trade algorithms but dont have the kind of money it would take to mitigate the cost effect of the trade volume (ie, at $8 per trade and making 1000 trades per day with an average return of 2% per day you would need to be working with more than 400K to even cover your tx cost). Strikes me th…
There are plenty of prop shops that would let you trade with a very modest (low 5-figure or even 4-figure) dollar amount. Some will leverage your money, some will flat-out stake you in addition to your input. These places have the benefit of offering you relatively low costs -- minuscule compared to the cost of a retail trade at your average discount broker -- but they do not necessarily have the sort of investment in supercharged hardware.
It is a good thing that your actual trading costs are not anywhere near those at the retail brokers you have in mind. 2%/day is an outrageously huge return. $1,000 at 2% compounded 250 times (approximate number of trading days in a earth year) is over $140k; you would return 14,000% annually.
The bottom line is that it is harder than it looks.