TMPA-2015: FPGA-Based Low Latency Sponsored Access
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Transcript of TMPA-2015: FPGA-Based Low Latency Sponsored Access
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Спонсорский доступ с малой Спонсорский доступ с малой задержкой посредством FPGAзадержкой посредством FPGA
Quality Assurance & Related Software Development for Innovative Trading SystemsTel: +7 495 640 2460, +1 415 830 38 49www.exactpro.com
Флоров ВалерийФлоров Валерий12.11.201512.11.2015
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• Трейдинг заключение торговых сделок покупки/продажи активов на бирже• Биржа электронная площадка, где участники торгов совершают сделки• Брокер торговый посредник между биржей и ее клиентами• Трейдер клиент биржи• High Frequency Trading, HFT высокоскоростная торговля• Активы валюты, металлы, нефть, производные инструменты
Основные определения
Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com
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...действительно что угодно...
Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com
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Множество участников рынка
4 Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com
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Упрощенная структура рынка
Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com
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Предлагаемое решение
Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com
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Цели
Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com
• Целевая задержка – 200 нс• Подключение – Ethernet 10G• Протокол заявок – LSE Native• Протокол Market Data – MITCH LSE
Проверять нарушение следующих условий:• Нулевой объем сделки; • цена, выходящая за статический диапазон; • цена, выходящая за динамический диапазон от цены последней сделки;• превышение лимитов торговли как по отдельным инструментам, так и по
сумме портфеля в целом.
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Общая блок-схема устройства
8 Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com
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Структура одного канала
9 Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com
5. Positions holder, risk manager
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Тестирование
10 Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com
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Замер задержки
11 Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com
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Использованные ресурсы
12 Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com
+----------------------------+-------+-------+-----------+-------+| Site Type | Used | Fixed | Available | Util% |+----------------------------+-------+-------+-----------+-------+| Slice LUTs |107146 | 0 | 203800 | 52.57 || LUT as Logic |102662 | 0 | 203800 | 50.37 || LUT as Memory | 4484 | 0 | 64000 | 7.00 || LUT as Distributed RAM | 2900 | 0 | | || LUT as Shift Register | 1584 | 0 | | || Slice Registers | 76176 | 3 | 407600 | 18.68 || Register as Flip Flop | 76154 | 3 | 407600 | 18.68 || Register as Latch | 4 | 0 | 407600 | <0.01 || Register as AND/OR | 18 | 0 | 407600 | <0.01 || F7 Muxes | 1203 | 0 | 101900 | 1.18 || F8 Muxes | 134 | 0 | 50950 | 0.26 |+----------------------------+-------+-------+-----------+-------+
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Заключение
• Предложенное решение работоспособно• Есть пути дальнейшего улучшения• Тестирование необходимо продолжать
13 Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com
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Спасибо
14 Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com
Вопросы?