Application-specific customisation of market data feed arbitration

Abstract

Messages are transmitted from financial exchanges to update their members about changes in the market. As UDP packets are used for message transmission, members subscribe to two identical message feeds from the exchange to lower the risk of message loss or delay. As financial trades can be time sensitive, low latency arbitration between these market data feeds is of particular importance. Members must either provide generic arbitration for all of their financial applications, increasing latency, or arbitrate within each application which wastes resources and scales poorly. We present a reconfigurable accelerated approach for market feed arbitration operating at the network level. Multiple arbitrators can operate within a single FPGA to output customised feeds to downstream financial applications. Application-specific customisations are supported by each core, allowing different market feed messaging protocols, windowing operations and message buffering parameters. We model multiple-core arbitration and explore the scalability and performance improvements within and between cores. We demonstrate our design within a Xilinx Virtex-6 FPGA using the NASDAQ TotalView-ITCH 4.1 messaging standard. Our implementation operates at 16Gbps throughput, and with resource sharing, supports 12 independent cores, 33% more than simple core replication. A 56ns (7 clock cycles) windowing latency is achieved, 2.6 times lower than a hardware-accelerated CPU approach.