Entry-level HFT Event Detection & Response Platform "Trigger"
- Sub 200 Nanosecond data capture, analysis, event trigger IP or application
- Creates actionable knowledge in the theoretically minimum time window
- Available as an application or as intellectual property for your team to integrate into your own trading or packet inspection system.
Trigger is built on-top of the rock-solid Solarflare ApplicationOnload Engine (AOE). The AOE provides two 10Gb/S SFP+ ports, the network NIC/MAC functionality and, most importantly, the Altera Stratix FPGA that becomes your “bump in the wire”. It also makes use of the Solarflare OpenOnload kernel bypass technology to dramatically improve performance of the order execution part of the platform.
Let’s start by looking at the blue-gray upper portion of the diagram. This is a simplified view of what goes inside the FPGA. One SFP+ port comes into the FPGA and the Ethernet frame is copied. One copy is passed-through to the MAC and subsequently into the host computer’s TCP/IP Stack. The other copy is routed to the Trigger Logic Module. This pass through is entirely invisible to the host OS and requires no changes to any of your application code.
The Trigger Parameter Memory is fast-access memory embedded inside the FPGA. This memory is loaded with triggering conditions you establish. Depending on what market data feed you are subscribed to (CME, ICE, etc.) you will have a menu of actionable items within the data stream. You assign trigger values to as many of the actionable items as you want to use by way of the Trigger API. The Trigger API is concurrently accessible by both your FIX engine and any strategy engine you may be using.
As data streams through the FPGA the Trigger Logic is continually looking for matches between the on-line data and the user assigned triggering parameters. When a match is detected the Trigger logic notifies the Trigger API.
Now let’s look at the “blue” path through the illustration. Note that the Trigger API is directly connected to the Solarflare AOE driver in the Application Domain rather than the Kernel Domain. This allows the trigger signal to very quickly reach the Trigger API. Also note that the OpenOnload Kernel Bypass block directly connects your FIX Engine to the Solarflare AOE driver, again in the “Application Domain” completely bypassing the Kernel’s TCP/IP stack. This OpenOnload integration is transparent to your application and you do not need to modify your FIX engine (or strategy engine) application code to use it.
When the Trigger API is signaled by the FPGA of the trigger event it packages the information from the FPGA as an “event” that your FIX engine subscribes to. All you do to your FIX application is drop in another FIX event handler and you’re done.
You can update the Trigger Parameter Memory any time you want and as often as you want. The update takes about 30 milliseconds. We use Ping-Pong parameter memories so during the update the triggering logic is running off the “old” parameters until the update is complete, then the memory pointers are switched. Thus trading is never interrupted while you implementing strategy changes.
When your FIX engine processes the “onTrigger” event it can then send out the on-the-fly or pre-generated order message(s) using the OpenOnload kernel bypass infrastructure.
Installation could not be easier. Trigger is intended for end-user installation and requires no configuration beyond that needed to setup any new network interface in a Linux machine. Turn off your machine and install the Solarflare AOE included in the Trigger box. Connect the cables and put the machine back in the rack. After the machine reboots put the Trigger DVD in the drive, log-in as root, then run the installation program. It will ask network configuration questions, update the OS as required and then execute a reboot. The system is now fully installed and ready for you to use.
Using the Trigger API is also very easy. It is just a collection of library calls and a couple of new threads to add to your current FIX or strategy engines. The API is extensively documented including simple, easy to modify examples to accelerate integration into your existing systems. That’s it—your now trading in the domain of under two microsecond event-to-order HFT.
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