Education - Understanding FIX and FAST Trading

Measuring FIX performance

FIX engines perform differently. This is a product of how these components are written. When selecting a FIX engine it is important to understand your desired performance characteristics, and test the FIX engines to ensure you use a product that meets your requirements. Alternatively you can use benchmarks supplied by trusted third parties. Rapid Addition benchmarks its engines in the Intel Low Latency labs and publishes the results.

What is a FPGA?

FPGA Overview

The field-programmable gate array (FPGA) is a semiconductor device that can be programmed after manufacturing. Instead of being restricted to any predetermined hardware function, an FPGA allows you to program product features and functions, adapt to new standards, and reconfigure hardware for specific applications even after the product has been installed in the field—hence the name "field-programmable". You can use an FPGA to implement any logical function that an application-specific integrated circuit (ASIC) could perform, but the ability to update the functionality after shipping offers advantages for many applications.

Unlike previous generation FPGAs using I/Os with programmable logic and interconnects, today's FPGAs consist of various mixes of configurable embedded SRAM, high-speed transceivers, high-speed I/Os, logic blocks, and routing. Specifically, an FPGA contains programmable logic components called logic elements (LEs) and a hierarchy of reconfigurable interconnects that allow the LEs to be physically connected. You can configure LEs to perform complex combinational functions, or merely simple logic gates like AND and XOR. In most FPGAs, the logic blocks also include memory elements, which may be simple flipflops or more complete blocks of memory.

As FPGAs continue to evolve, the devices have become more integrated. Hard intellectual property (IP) blocks built into the FPGA fabric provide rich functions while lowering power and cost and freeing up logic resources for product differentiation. Newer FPGA families are being developed with hard embedded processors, transforming the devices into systems on a chip (SoC).

Source, Altera corporation (NASDAQ: ALTR)
http://www.altera.com/products/fpga.html

Financial Markets and FPGA

Over recent years, electronic financial trading has seen explosive growth in terms of volume and speed in order to meet market requirements. The Rapid Addition development team has responded to demanding financial markets and changing client requirements by utilising the known technology of FPGA to provide greater performance to their product range and further enhance the RA low latency FIX engine.

Why move to FPGA for Trading?

Round trip Latency reduced from 11µs to 5 µs

Upto 1.7 million messages a second throughput

Cheetah FIX ™ engine with FPGA accelerator technology

Give your FIX software solutions a boost with near dedicated hardware performance

Same Cheetah FIX ™ engine API, no FPGA knowledge required

Fewer cache misses for faster algo execution and deterministic trading sessions

Simply put, it's faster. Up to 20 times faster. It takes Rapid Addition's current latency in software from 11 µs to 5 µs, in a more deterministic solution that allows clients to do more with less. Utilising a software API provides the performance of FPGAs with the speed to market of Software APIs and coding in JAVA. In addition, Rapid Addition's GenZero libraries ensure you do not invoke Garbage collection in the trading day.

FIX and FPGA

Rapid Addition produce some of the world's fastest FIX Engines in .NET and JAVA. In the next step of our product development evolution, we have combined our industry leading Cheetah FIX engine with a PLDA Xpress GX5LP board running an Altera Stratix 5 FPGA. A key requirement in our design has been to enable all versions of the FIX protocol, from FIX 4.0 to FIX 5.0 SP2, ensuring service pack two compliance, thereby allowing clients to deploy across all asset classes. This flexibility empowers business lines to use this new performance effortlessly across all assets classes that support FIX protocol, in turn providing a faster to market trade with less slippage than competitors.

This development has typically driven down latency even further from 11µs Microseconds on software to 5 Microseconds using RA- FPGA accelerated software.

Learn more about how Rapid Addition's FIX accelerated FPGA can improve performance and competitiveness.

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