Analyst Loring Wirbel covers programmable logic from an application perspective, providing a sneak peek at the vertical applications that help drive FPGA complexity, performance, and density. The blog will feature videos allowing engineers to spotlight their latest designs, along with news of products and corporate trends at FPGA vendors and the developers of third-party tools for programmable logic.
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Blog
Friday, November 13, 2009
Two make a trend
Nov 13 2009 1:16PM | Permalink |Comments (7) |
Remember last summer, when we pointed out the role Stratix FPGAs were playing in a new Xtreme Data platform intended for high-frequency trading? Don’t look now, but Chip Design magazine has just found another example of FPGAs in near-real-time financial analysis. Pico Computing and ET International are claiming a 100x speed-up in Value-at-Risk computations, through parallelizing the algorithms in FPGAs. (While the story does not identify the FPGA, most Pico PCI Express cards are based on Virtex family members.)
In this case, ETi and Pico Computing claim they are lessening risk by using more accurate risk assessment than those based on Black-Scholes equations. Perhaps, but I seem to recall the SEC was going to implement a wholesale ban on hardware-assisted real-time trading in all its instantiations. Looks like the horse has left that barn.
Related entries in: Computers, boards, buses | FPGA Gurus | Programmable Logic |
Reader Comments
at 11/14/2009 9:04:48 AM, Rishi Khan said:
Hi Loring, thanks for the the blog mention. The FPGAs used in this demonstration are Xilinx Spartan-3 devices installed on Pico Computing EX-300 cards. There are 16 FPGAs on each EX-300 card. However, the system is easily portable to other FPGAs such as the newer Xilinx's Spartan6 or Virtex6, or even Altera chips.
Regarding the need for risk analysis: the applications for this are not simply to enable greater levels of automated trading. In fact, risk analytics using stochastic methods are important tools for predicting failures and maintaining the stability of the financial system. Risk analytics also cross over into other domains including the safety and reliability of complex systems that we rely on every day, insurance pricing, manufacturing fault tolerance, business process risk, etc.
Regarding the problem of hardware-assisted real-time trading on Wall Street: As stated in the comments on your linked blog post on XtremeData's dbx machine, the problem is not real-time trading: the problem is "flash orders" where certain people in the loop get to see people's orders 30ms before it hits the market. This allows them to manipulate the market in such a way as to profit from that inside information. The SEC and brokerage firms are working to eliminate the flash order (www.sec.gov/news/press/2009/2009-201.htm).
Best regards, Rishi Khan, ET International.
at 11/15/2009 11:54:24 PM, Andy T said:
I remember not being "allowed" to trade company stock, a decade and ago, within three DAYS after earnings were announced to allow public traders a chance to see the news.
Nowadays, three microseconds is allowed....wasn't the idea behind the framing of the SEC rules for the stock market the same as NASCAR - everyone gets the same engine and the best 'MAN wins the race?
at 11/15/2009 11:55:17 PM, Andy T said:
"decade and a half ago"
at 11/16/2009 12:01:18 PM, Loring said:
@ Rishi, thanks for the elucidation - I agree, the new system sounds like a way to mitigate risk vs. the flash trade system.
@ Andy, just keep repeating to yourself, the REAL story is never bet against the house, the story for public conception is "All have won, and all must have prizes." Um, yeah.
at 11/16/2009 2:42:11 PM, Geno Valente said:
Happy to be showing up on EDN again. If anyone is interested in more detials, we published a white paper on Black-Scholes in April of 2008 (concurrent with our BS demo at Intel IDF in China). To date, it has been downloaded almost 3000 times, and was republished at Automated Trader. I was told a while ago it was the most popular white paper they had.
(old.xtremedatainc.com/index.php?option=com_docman&task=doc_download&gid=31&Itemid=129)
For anyone is looking for more information on FPGAs and Wall Street Applications, Pete Harris runs a good show in NYC that you can attend called High Performane on Wall Street, he also is the lead guy for www.a-teamgroup.com/site/low-latency-com/
at 11/17/2009 4:59:07 AM, forex robot said:
Great read, you can always learn something new about forex!
at 11/19/2009 8:46:10 AM, Loring said:
Geno, just checked out the paper and the info on Pete's conference, thanks for the resources! Interesting.
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