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As the world of HFT and algorithmic trading continues to up its game, Mercury Minerva’s release of Gunslinger-HFT 2.0 Achieves 750ns Event-Detection-to-Trade Latency using Solarflare AOE with Altera Stratix FPGA
As regulatory authorities in many jurisdictions which are home to major FX market participants continue to bear down on high frequency trading (HFT) and automated trading via algorithms, the development of systems which are solely aimed at providing traders who engage in this practice an advantage in reducing latency to a negligable level is continuing in full swing.
Yesterday, North American HFT systems development company Mercury Minerva released its Gunslinger-HFT version two, which, according to the company, is 25% faster than the previous version, with a performance of 750 nanoseconds event-detection-to-trade latency, using Solarflare AOE with Altera Stratix field programmable gate array (FPGA) circuitry.
In this particular circumstance, latency is measured from the time a market data event “of interest” arrives at the Solarflare network interface card, until the first byte of the order appears on the wire. In the competitive world of high frequency algorithmic trading, a 25% increase in performance is significant indeed.
With American regulatory authorities having invoked the Volcker rule during the latter part of last year, which set forward a series of restrictions on the use of algorithms and HFT among banks, it was clearly accepted that FX would be exempt from this ruling, therefore giving trading desks in North America peace of mind that they would be able to continue to make use of the highly developed infrastructure and proximity to major trading venues in order to carry out HFT and automated trading.
The European Commission has taken a different stance, with HFT and algorithmic trading having been on the agenda, therefore MiFID II contains many rulings intending to stem the practice continent-wide.
In terms of functionality, Mercury-Minerva’s systems are designed in order to provide a solid high-frequency platform for trading, compliance, and security approaches with simple configuration and minimal application engineering.
The components which comprise the system are built on COTS (commercial off the shelf) parts including a Dell 4U chassis, a Solarflare Application Offload Engine PCIe board, Altera Stratix V FPGAs, Impulse Accelerated Technologies C to FPGA compilation and Altera Quartus. This strategy improves the system’s return on investment as networking and processing technologies continue to improve.
Building on the previous version, new features in Gunslinger HFT 2.0 which the company considers should make the system more flexible include multiple triggering strategies, which enable users to plug in multiple event detection modules at boot time and switch between them as needed at run-time, as well as order message refresh having been pared down to near wire speeds.
Mercury Minerva has stated that it takes only 2.3 microseconds to do a worst-case refresh of an FPGA order template with the typical 560-byte single-order only requiring 840 nanoseconds to refresh. By using multiple trading sessions on alternating ports the system provides the ability to keep up to 16 order templates current even with multiple triggering events during a single market data message block.
OpenOnload Integration makes it unnecessary to integrate an expensive and latency-inducing TOE (TCP Offload Engine) into the FPGA logic as well as providing acceleration for the trading engines operations that are not offloaded to the FPGA.
Simple Application Integration is provided by the new Gunslinger-API. This particular API makes minutia of implementation of the FPGA transparent to the user. Additionally, the tight integration into OpenOnload minimizes the application customization needed.
In the run up to its launch, Beta client of the new Gunslinger API was able to hook Gunslinger into the existing trade engine in less than one working day. For many competing solutions this is a multi-month activity.
Mike Barna, President of Trading System Lab, a leading Financial Technology company commented, “It is interesting to see the advances in low-latency trading show up on simple, user accessible systems like this when a few years ago it was the province of very expensive systems providers only. It kind of equalizes things.”
As the world of HFT globalizes further, Singapore, Asia’s largest institutional FX center, has not imposed any restrictions nor announced plans to do so, Australia’s ASIC regulatory authority has welcomed the use of dark liquidity (which often goes hand in hand with HFT) as part of the financial landscape, and trading venues in emerging markets such as Russia joining large scale dedicated connectivity networks such as that provided by TMX Atrium, diversification of product and target market is certainly in the midst.