Components

Software

C and C++ software components allow for rapid, low latency prototyping. When limited to pure software, tick-to-trade latency is bound by the latency of CPU to nic connection via the pcie bus.
Each component is a separate process communicating with each other by message passing. This tames complexity while optimising cache.

Market Data Converter

  • Certified CME MDP3 orderbook
  • Trade Summaries
  • Multiple Channels
  • A/B Arbitration

Order Adapter

  • Certified iLink3 order messages and responses
  • Multiple simultaneous MSGW segment connections
  • Capability to send orders on demand or prime orders to be released when signal thresholds are met

Example Order Book and Trade Signal Generation

  • Example basic orderbook signals e.g. rvwap
  • Trade signals

Low Latency IPC

  • Optimized library for low inter-thread latency between CPU cores

FPGA Acceleration

Market Data

  • Orderbook and trade summaries matching software
  • UDP multicast
  • HLS friendly output for further FPGA processing

Orderbook and Trade Signals

  • Retain total control over production
  • HLS friendly interface from orderbook and Trade Summary

Order Release

  • Pure FPGA Tick to Trade
  • When signal threshold met

Multiple Instruments, Multiple Channels, Multiple Segments

  • Retain total control over production
  • HLS friendly interface from orderbook and Trade Summary