Complete advanced trading system with FPGA vs GPU addressed with HFT and direct market access in mind using Matlab Simlunk

(Last Updated On: March 18, 2013)

Complete advanced trading system with FPGA vs GPU address with HFT and direct market access in mind using Matlab Simlunk

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Responses below followed –>

Hi Bryan,

I do not pretend that I understand everything you present. It is impressive.
And the speed in which you work is fenomenal. My compliments.

 

–> Thanks for the comments.

I hope I can attend the webinar later today or as I should say tomorrow (it is at 01.00 hour at night for me in the Netherlands).

 

–> More live webinars will be coming

I have a question:

Your emphasis is on the software , matlab etc.
I would like you to elaborate on the overall trading system.
– Can you do this ?

 

–> Mathworks addressed this through the latest 2 Matlab updates with the ability of Matlab allowing trades to be executed.  This could impact a lot of future trading systems and now you could potentially trade within Matlab but I am unsure of performance. I need to test once I can upgrade to the current version.

As I see it:

I need a server in a datacenter as close to the market makers as possible.
On this server the dedicated software will be running with the direct data feed input and order output.
From my place I have a fast internet link to access this server for monitoring, etc.
Now I have Mirus Futures as broker for futures trading on NinjaTrader platform and a local VPS.

 

–> You are looking at true Direct Market Access for this so you could go on to the exchanges. One such service for what you  are probably looking for is Lime Brokers but they are very pricey

But you go steps further.
This is for fast trading, perhaps high frequency trading.

– What kind of server do we need for this ?
I see 4 types with different possibilities:
1.  virtual private server (VPS)
2.  dedicated server
3.  dedicated server with a GPU (Tesla or Kepler type)
4.  dedicated server with FPGA and direct handling of I/O data feeds at 10 Gbit/s (optical interfaces)
–> dedicated server for sure with FPGA as you explain in #4
The first and second types I can use today for stocks, forex and futures trading
For example with a local server or one in the Aurora CME datacenter in Chicago when trading futures.

The 3 and 4 types are needed for fast trading with low latence etc.
HFT is done on FPGA.

 

–> I would agree with what you state above

My expertise is in optical fiber networks. I understand low latency. I am familiar with FPGA,
I have applied one FPGA in electronics, although it was not a Virtex but a Spartan from Xilinx.
(I can load the program into the Spartan 3.)

–> Xilinx is standard hardware manufacturer but too be honest you are way ahead on this

I have seen some cards with FPGA to integrate into a server.
– Where can I get or place such a server ?
– Which intermediate (broker or … ?) can I use ?

 

–> Lime Brokers may allow this above as they are geared towards HFT . For places to get FPGA, DINI Group comes up a lot http://www.dinigroup.com/new/index.php
Then there is the question GPU or FPGA.
– Which one is to be prefered ?

–> FPGA as it is direct as opposed to GPU needs time to transfer the data to the GPU. FPGA does not have this limitation

The FPGA is the fastest and has direct I/O high speed interfacing. I understand these solutions are run with relatively simple algoritmes.
You get the advantage from the low latency. Disadvantage is that the FPGA needs to be programmed with fixed program. It is reprogrammable hardware.
I have to look into it to see if the reprogramming can be done via the server interface from remote computer.

 

–> This is where Matlab’s Simulink come into play. Check out their webinar http://www.mathworks.com/company/events/webinars/series/fpga-design/

The server with a GPU card with GPUdirect can do high performance computing. This can run complex algoritmes which can be changed from a remote location.
If you make complex models with Matlab and Simulink then this might be the way to go.

 

–> I am unsure of this new capability with GPUdirect but I do think FPGA is the same cost. I guess you could say I would still stick with FPGA as there are more faster advancements in it i.e. wireless networks which is next generation

Please address these questions either tonight in the webinar or in an email.

I might be of assistance to use my expertise to get the hardware and the (fiber) network connections organized and running.

I am not a C# or C++ programmer. I support you because I think your ideas are very good. If possible I want to apply these for trading.

 

–> Give me some time to cover the basic analytics which I am currently doing. My next big venture will be Simulink but they it is a HUGE endeavor.

Greetings,

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About caustic

Hi i there My name is Bryan Downing. I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties: C++, Java, C#, Matlab, quant, models, strategies, technical analysis, linux, windows P.S. I have been known to be the worst typist. Do not be offended by it as I like to bang stuff out and put priorty of what I do over typing. Maybe one day I can get a full time copy editor to help out. Do note I prefer videos as they are much easier to produce so check out my many video at youtube.com/quantlabs