Network-Level Fpga Acceleration Of Low Latency Market Data Feed Arbitration

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 NAS-DAQ 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 Virtex5 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.