Advanced Computing in the Age of AI | Tuesday, November 29, 2022

Speed Fix for Wall Street: Tick-to-Trade Half-life Cut in Half 

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Wall Street speed addicts just got another fix. A triumvirate of companies, combining advanced NICs and algorithms powered by FPGAs, has announced it has cut the “tick-to-trade” life cycle half-life in half, from 250 to 120 nanoseconds.

The joint electronic trading solution consists of Solarflare Communications’ software-defined network interface controllers (NIC) managing multiple Xilinx Kintex UltraScale FPGAs running LDA Technologies Lightspeed TCP core. The solution is available today with Solarflare XtremeScale NICs.

The goal of the combined technologies, of course, is to reduce tick-to-trade latency and thus improve the “queue position” of trades, increasing the probability that trades will be executed.

“With any first-in, first-out matching engine there’s an obvious advantage to being at the top of the queue,” said Rob D’Arco, CEO of Rival Systems, a technology solutions company for the electronic trading industry. “Traders can get to the top by being faster and smarter than the competition. Any time our clients possess a 2x faster tick-to-trade time, they’re trading with a significant competitive advantage.”

For some years, systems in the financial services industry accelerated trading by using NICs with operating system kernel bypass to connect trading application servers to Ethernet networks. According to Solarflare and LDA, they have achieved higher performance by adding to the processing power of NICs, and by implementing an efficient TCP stack in an FPGA. Additional processing power is added with Xilinx FPGAs, while a technique called “Delegated TCP send” lowers latency by using several parallel TCP connections.

Earlier this year, Solarflare announced it had cut the network connectivity portion of the tick-to-trade life cycle down to roughly 22 nanoseconds (see “Answered Prayers for High Frequency Traders? Latency Cut to 20 Nanoseconds,” Jan. 20, 2017).

The second portion of the trading life cycle is making the trade itself when the stock tick, or price, comes up on the trading wire. In electronic trading systems, this is controlled by an algorithm, and making that algorithm execute as fast as possible, using Xilinx FPGAs, is LDA’s part of this three-company partnership.

“What we’re talking about today is the complete time,” Ahmet Houssein, Solarflare vice president of marketing told EnterpriseTech, “from the moment you receive the tick, how quickly can you run the algorithm, how quickly can get the trade out to the wire.”

Solarflare's Ahmet Houssein

“The mission of electronic trading operations is to seize opportunities lasting only fractions of seconds,” Houssein said. “Who wins and who loses is determined by how fast a trader can digest a market feed and place orders. Our benchmark for network performance is tick-to-trade latency, which is the time interval between receiving a market tick showing an opportunity to an algorithm, and sending the buy/sell order.”

Founded in 2001, Solarflare has more than 1,400 customers, including most of the major stock exchanges, and sells its technology through distributors and VARs.

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