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Enabling Financial Service Firms to Compute
Heterogeneously with Gateware Defined
Networking (GDN)
John W. Lockwood, CEO
Algo-Logic Systems, Inc.
#OpenPOWERSummit
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Motivation
 Stock Exchanges, market makers, hedge funds, and
traders need to track the best bid and ask (BBO) prices
•
•
With least possible latency (sub-microsecond)
Without jitter even during microbursts of activity
 Algo-Logic’s CAPI-enabled order book
•
•
•
Receives live, level 3 market data feeds
Builds order books in FPGA logic on CORSA card
Sends level 2 snapshots to processor threads
 Advantages
•
Provides immediate and actionable BBO for trading
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Order Book as a part of a
complete
Trading Systems
CLIENT
Trading
Logic
Risk
Checks
TCP
API
ORDER BOOK
Algo-Logic Confidential
Direct Feed:
Multicast
UDP/IP
Market Data
Processor
EXCHANGE
Hardware + Gateware + Software
FPGA
Hardware to enable Coherent Acceleration
AFU
IBM Supplied
PSL
Operating System Enablement
Ubuntu 14.10 (LE)
libcxl function calls
Customer Application and Accelerator
PCIe
CAPP
• Application sets up data and calls
Accelerator Functional Unit (AFU)
Memory (Coherent)
Power
PC
Core
OS
App
Power Processor
• AFU reads/writes coherent data
to trading applications
CAPI Order Book Overview
Algo-Logic
Register
Full Order Book Interface
POWER Service Layer
Algo-Logic Confidential
Output of CAPI Order Book
128B Order Book L2 Snapshot
Byte Range
Field
[127:120]
Symbol
[119:112]
Buy-Side
[111:104]
Buy-Level 1
[103:96]
Buy-Level 2
[95:88]
Buy-Level 3
[87:80]
Buy-Level 4
[79:72]
Buy-Level 5
[71:64]
Buy-Level 6
[63:56]
Symbol
[55:48]
Sell-Side
[47:40]
Sell-Level 1
[39:32]
Sell-Level 2
[31:24]
Sell-Level 3
[23:16]
Sell-Level 4
[15:8]
Sell-Level 5
[7:0]
Sell-Level 6
CAPI Order : Trading Dashboard
Algo-Logic Confidential
Operation of CAPI Order Book
App
1
2
Connect to
Order Book AFU
OS
Open Device
Set up data in
architected structure.
Start at base address
and use defined offsets
for L2 data
3
Start accelerator
4
App performs MMIO
read/write from/to
Order Book AFU registers
5
App has access to latest
L2 snapshots in coherent
shared memory
Order Book
AFU
PSL
Reset AFU
Control IF
1
2
Attach Device
Base
effective
address
Control IF
3
MMIO IF
4
Command IF
5
Buffer IF
Response IF
6
App knows AFU is
finished (mechanism is
user defined)
App can start again
from top or free AFU
6
Control IF
Order Book AFU is reset and
ready for work
Knows the structure
i.e. knows the offsets,
needs to know only
the base address
Order Book AFU starts with
received base effective address,
and begins operation
Writing configuration registers,
reading status registers at start of
day, and throughout the day
Order Book AFU receives market
data, builds the order book, and
continuously writes L2
snapshots to coherent shared
memory
Order Book AFU finishes
(mechanism is user defined)
De-assert RUNNING
Assert DONE
Demonstration of CAPI Order Book
Latency of CAPI Enabled Order Book
UDP/IP packet with
market data (tick)
on wire
PSL write request for 128B
(cache line aligned) Order
Book L2 snapshot
128B Order Book L2
snapshot available in
coherent shared memory
Thank you
 Algo-Logic Systems, Inc.
 Corporate Headquarters:
•
•
2255-D Martin Ave
Santa Clara, CA 95050
 Phone: (408) 707-3740
 Web: http://Algo-Logic.com
 Email: [email protected]
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