Feed Handler Processes Symbols in Under 1 Microsecond
January 27, 2012
An eight-man startup in Chicago is demonstrating a feed handler that can strip out symbols of desired stocks and place them into order book form for trading, in less than a millionth of a second.
The firm, xCelor LLC, said the code that is generated can then be run against NYSE Euronext, Nasdaq OMX Group, BATS Global Markets and Direct Edge exchanges with little or no modification.
The feeds get plugged into one of the firm’s Xylinx Virtex cards that use field programmable gate arrays to sort market data and in turn put the results into users’ trading applications.
The cards are placed in servers mounted in racks at the user’s data center.
The gate arrays take about 300 nanoseconds to sort symbols. Another 200 nanoseconds are consumed to commit to the desired “transaction” and another 250 nanoseconds are consumed by basic delay, before the data can be picked up by the computer’s central processing unit and acted on.
Which still puts the process under 1 microsecond, or millionth of a second.
The 300 nanoseconds figure is for packets the trading application is interested in, that is, packets with data on symbols of interest, company spokesman Robert Walker said. The hardware filters for symbols that are not in the interest list and discards them in roughly 60 nanoseconds, generally, so a card can move on to the next packet.
High-frequency trading firms can connect the results to their code for placing orders and making trades by using the card’s PCIexpress bus.
At the start, xCelor is offering a 1 Gigabit Ethernet card that provides access to a single stock exchange and a 10 Gigabit card that provides access to two exchanges.
The company said it demonstrated the cards at a Futures Industry Association show. At that show, the 1 Gigabit card worked through the equivalent of 15 minutes’ worth of NYSE Arca market data in about 35 seconds.
