Low-Latency Architecture for Order Book Building

Informační technologie tvoří důležitou součást dnešního světa a algoritmické obchodování je mezi obchodníky již známým pojmem. Vysokofrekvenční obchodování, neboli High Frequency Trading (HFT), si žádá využití speciálních hardwarových akcelerátorů, které dokáží poskytnout odezvu na vstup s dostatečně nízkou latencí. Náplní této diplomové práce je návrh a implementace architektury pro rekonstrukci knihy objednávek, která je nezbytnou součástí HFT řešení určených pro finanční burzy. Cílem je využít technologii FPGA ke zpracování informací o stavu na burze s tak nízkým zpožděním, aby výsledné řešení bylo efektivně použitelné v praxi. Výsledná architektura kombinuje hardware a software ve spojení s rychlými vyhledávacími algoritmy tak, aby bylo dosaženo maximálního výkonu bez dopadů na funkci či úplnost vlastní knihy objednávek.Information technology forms an important part of the world and algorithmic trading has already become a common concept among traders. The High Frequency Trading (HFT) requires use of special hardware accelerators which are able to provide input response with sufficiently low latency. This master's thesis is focused on design and implementation of an architecture for order book building, which represents an essential part of HFT solutions targeted on financial exchanges. The goal is to use the FPGA technology to process information about an exchange's state with latency so low that the resulting solution is effectively usable in practice. The resulting architecture combines hardware and software in conjunction with fast lookup algorithms to achieve maximum performance without affecting the function or integrity of the order book.

Real-time human action recognition on an embedded, reconfigurable video processing architecture

Copyright @ 2008 Springer-Verlag.In recent years, automatic human motion recognition has been widely researched within the computer vision and image processing communities. Here we propose a real-time embedded vision solution for human motion recognition implemented on a ubiquitous device. There are three main contributions in this paper. Firstly, we have developed a fast human motion recognition system with simple motion features and a linear Support Vector Machine (SVM) classifier. The method has been tested on a large, public human action dataset and achieved competitive performance for the temporal template (eg. “motion history image”) class of approaches. Secondly, we have developed a reconfigurable, FPGA based video processing architecture. One advantage of this architecture is that the system processing performance can be reconfiured for a particular application, with the addition of new or replicated processing cores. Finally, we have successfully implemented a human motion recognition system on this reconfigurable architecture. With a small number of human actions (hand gestures), this stand-alone system is performing reliably, with an 80% average recognition rate using limited training data. This type of system has applications in security systems, man-machine communications and intelligent environments.DTI and Broadcom Ltd

FPGA implementation of real-time human motion recognition on a reconfigurable video processing architecture

In recent years, automatic human motion recognition has been widely researched within the computer vision and image processing communities. Here we propose a real-time embedded vision solution for human motion recognition implemented on a ubiquitous device. There are three main contributions in this paper. Firstly, we have developed a fast human motion recognition system with simple motion features and a linear Support Vector Machine(SVM) classifier. The method has been tested on a large, public human action dataset and achieved competitive performance for the temporal template (eg. ``motion history image") class of approaches. Secondly, we have developed a reconfigurable, FPGA based video processing architecture. One advantage of this architecture is that the system processing performance can be reconfigured for a particular application, with the addition of new or replicated processing cores. Finally, we have successfully implemented a human motion recognition system on this reconfigurable architecture. With a small number of human actions (hand gestures), this stand-alone system is performing reliably, with an 80% average recognition rate using limited training data. This type of system has applications in security systems, man-machine communications and intelligent environments

Improving low latency applications for reconfigurable devices

This thesis seeks to improve low latency application performance via architectural improvements in reconfigurable devices. This is achieved by improving resource utilisation and access, and by exploiting the different environments within which reconfigurable devices are deployed. Our first contribution leverages devices deployed at the network level to enable the low latency processing of financial market data feeds. Financial exchanges transmit messages via two identical data feeds to reduce the chance of message loss. We present an approach to arbitrate these redundant feeds at the network level using a Field-Programmable Gate Array (FPGA). With support for any messaging protocol, we evaluate our design using the NASDAQ TotalView-ITCH, OPRA, and ARCA data feed protocols, and provide two simultaneous outputs: one prioritising low latency, and one prioritising high reliability with three dynamically configurable windowing methods. Our second contribution is a new ring-based architecture for low latency, parallel access to FPGA memory. Traditional FPGA memory is formed by grouping block memories (BRAMs) together and accessing them as a single device. Our architecture accesses these BRAMs independently and in parallel. Targeting memory-based computing, which stores pre-computed function results in memory, we benefit low latency applications that rely on: highly-complex functions; iterative computation; or many parallel accesses to a shared resource. We assess square root, power, trigonometric, and hyperbolic functions within the FPGA, and provide a tool to convert Python functions to our new architecture. Our third contribution extends the ring-based architecture to support any FPGA processing element. We unify E heterogeneous processing elements within compute pools, with each element implementing the same function, and the pool serving D parallel function calls. Our implementation-agnostic approach supports processing elements with different latencies, implementations, and pipeline lengths, as well as non-deterministic latencies. Compute pools evenly balance access to processing elements across the entire application, and are evaluated by implementing eight different neural network activation functions within an FPGA.Open Acces

An FPGA-based network system with service-uninterrupted remote functional update

The recent emergence of 5G network enables mass wireless sensors deployment for internet-of-things (IoT) applications. In many cases, IoT sensors in monitoring and data collection applications are required to operate continuously and active at all time (24/7) to ensure all data are sampled without loss. Field-programmable gate array (FPGA)-based systems exhibit a balanced processing throughput and datapath flexibility. Specifically, datapath flexibility is acquired from the FPGA-based system architecture that supports dynamic partial reconfiguration feature. However, device functional update can cause interruption to the application servicing, especially in an FPGA-based system. This paper presents a standalone FPGA-based system architecture that allows remote functional update without causing service interruption by adopting a redundancy mechanism in the application datapath. By utilizing dynamic partial reconfiguration, only the updating datapath is temporarily inactive while the rest of the circuitry, including the redundant datapath, remain active. Hence, there is no service interruption and downtime when a remote functional update takes place due to the existence of redundant application datapath, which is critical for network and communication systems. The proposed architecture has a significant impact for application in FPGA-based systems that have little or no tolerance in service interruption

Proceedings of the First International Workshop on HyperTransport Research and Applications (WHTRA2009)(revised 08/2009)

Proceedings of the First International Workshop on HyperTransport Research and Applications (WHTRA2009) which was held Feb. 12th 2009 in Mannheim, Germany. The 1st International Workshop for Research on HyperTransport is an international high quality forum for scientists, researches and developers working in the area of HyperTransport. This includes not only developments and research in HyperTransport itself, but also work which is based on or enabled by HyperTransport. HyperTransport (HT) is an interconnection technology which is typically used as system interconnect in modern computer systems, connecting the CPUs among each other and with the I/O bridges. Primarily designed as interconnect between high performance CPUs it provides an extremely low latency, high bandwidth and excellent scalability. The definition of the HTX connector allows the use of HT even for add-in cards. In opposition to other peripheral interconnect technologies like PCI-Express no protocol conversion or intermediate bridging is necessary. HT is a direct connection between device and CPU with minimal latency. Another advantage is the possibility of cache coherent devices. Because of these properties HT is of high interest for high performance I/O like networking and storage, but also for co-processing and acceleration based on ASIC or FPGA technologies. In particular acceleration sees a resurgence of interest today. One reason is the possibility to reduce power consumption by the use of accelerators. In the area of parallel computing the low latency communication allows for fine grain communication schemes and is perfectly suited for scalable systems. Summing up, HT technology offers key advantages and great performance to any research aspect related to or based on interconnects. For more information please consult the workshop website (http://whtra.uni-hd.de)

Proceedings of the First International Workshop on HyperTransport Research and Applications (WHTRA2009)

Proceedings of the First International Workshop on HyperTransport Research and Applications (WHTRA2009) which was held Feb. 12th 2009 in Mannheim, Germany. The 1st International Workshop for Research on HyperTransport is an international high quality forum for scientists, researches and developers working in the area of HyperTransport. This includes not only developments and research in HyperTransport itself, but also work which is based on or enabled by HyperTransport. HyperTransport (HT) is an interconnection technology which is typically used as system interconnect in modern computer systems, connecting the CPUs among each other and with the I/O bridges. Primarily designed as interconnect between high performance CPUs it provides an extremely low latency, high bandwidth and excellent scalability. The definition of the HTX connector allows the use of HT even for add-in cards. In opposition to other peripheral interconnect technologies like PCI-Express no protocol conversion or intermediate bridging is necessary. HT is a direct connection between device and CPU with minimal latency. Another advantage is the possibility of cache coherent devices. Because of these properties HT is of high interest for high performance I/O like networking and storage, but also for co-processing and acceleration based on ASIC or FPGA technologies. In particular acceleration sees a resurgence of interest today. One reason is the possibility to reduce power consumption by the use of accelerators. In the area of parallel computing the low latency communication allows for fine grain communication schemes and is perfectly suited for scalable systems. Summing up, HT technology offers key advantages and great performance to any research aspect related to or based on interconnects. For more information please consult the workshop website (http://whtra.uni-hd.de)

Accelerated Financial Applications through Specialized Hardware, FPGA

This project will investigate Field Programmable Gate Array (FPGA) technology in financial applications. FPGA implementation in high performance computing is still in its infancy. Certain companies like XtremeData inc. advertized speed improvements of 50 to 1000 times for DNA sequencing using FPGAs, while using an FPGA as a coprocessor to handle specific tasks provides two to three times more processing power. FPGA technology increases performance by parallelizing calculations. This project will specifically address speed and accuracy improvements of both fundamental and transcendental functions when implemented using FPGA technology. The results of this project will lead to a series of recommendations for effective utilization of FPGA technology in financial applications