Hardware Algos Made Easy: Deploy your trading strategies on FPGAs - PowerPoint PPT Presentation

Hardware Algos Made Easy: Deploy your trading strategies on FPGAs with the nxAccess HLS Framework May 2019 1

nxAccess HLS Framework Increasing volumes & tough competition The challenges of leveraging FPGA technology

nxAccess HLS Framework What is nxAccess? The Enyx end-to-end market access solution • Full featured, full hardware FPGA feed handler: • Hardware order management & book building • A/B arbitration (supports wireless & fiber feeds) • Filtering per symbol, message type, and book depth • Full featured, FPGA-enabled execution gateway: • Pre-load up to 16 384 orders or groups of orders in FPGA • Full hardware TCP stack • In-FPGA kill switch & Full audit-trail • Easy integration: • Interface with trading application via lean C++ API • Standard network connectivity • Hardware trading logic: • Sub 800ns latency • Normalized interfaces

nxAccess HLS Framework What if I don’t have hardware expertise? An innovative approach to FPGA trading strategies • Framework based on Xilinx Vivado HLS: • C++ based language • Enyx HLS libraries: • Enyx market data API • Enyx execution API • Basic functions • Enyx C++ software libraries • Feed handler configuration and monitoring • Execution engine configuration and monitoring • Hardware/software bi-directional communication • Enyx development tools: • Software simulation models • Packaging and building scripts • Graphical debugging tools

nxAccess HLS Framework How does it work? A step by step workflow for best efficiency Enyx Firmware Netlist HLS Software Hardware Hardware Firmware Production Development Unit Tests Synthesis Co-simulation Generation Deployment Seconds Minutes Hour Hours

nxAccess HLS Framework What is the performance? Tick-to-cancel & tick-to-trade running @250MHz  24 ns Latency Interval 24 ns 1 clk

nxAccess HLS Framework What is the performance? CME Globex tick-to-trade, Wire-to-wire, SOP-to-SOP, 1x replay, 300 Bytes orders Test Duration Sample Count Minimum Average 90% Maximum 1 hour 4391 750 ns 776 ns 765 ns 1 773 ns * * Maximums are due to the 10Gbs throughput limit causing queuing of orders when several orders are sent at once

nxAccess HLS Framework What exchanges are supported? nxAccess is designed to scale across venues • Market data coverage: 60+ venues • Equities, Futures, Treasuries, Options • USA, Europe, Asia • Native execution coverage: 3 venues • CME • ICE • Eurex • Pass-through deployment: 60+ venues • Enyx exchange-agnostic OE API allows for support of most venues using a pass-through deployment • Interactions with the exchange and building of messages and orders is left to a third party library

nxAccess HLS Framework How can you try the nxAccess HLS framework Code examples, documentation, and tutorials are available on our website

nxAccess HLS Framework How can you try the nxAccess HLS framework Code examples, documentation, and tutorials are available on our website

nxAccess HLS Framework How can you try the nxAccess HLS framework Code examples, documentation, and tutorials are available on our website

nxAccess HLS Framework nxAccess HLS framework in summary Leveraging FPGA technology efficiently

nxAccess HLS Framework Any Questions? Learn more about the nxAccess HLS framework: http://info.enyx.com/nxAccess-HLS

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