Exploring Algorithmic Tradingin Reconfigurable Hardware探索算法交易 在可重构硬件中

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1、DepartmentofComputingImperialCollegeLondonExploringAlgorithmicTradinginRecongurableHardwareMEngFinalYearProjectAuthor:Supervisor:StephenWrayProf.WayneLuksjw06@doc.ic.ac.ukwl@doc.ic.ac.ukSecondMarker:Dr.PeterPietzuchprp@doc.ic.ac.ukJune2010AbstractThisreportdescribesanalgorithmictradingengineba

2、sedonrecongurablehardware,derivedfromasoftwareimplementation.Myapproachexploitsparallelismandrecongurabilityofeld-programmablegatearray(FPGA)technology.FPGAsoermanybenetsoversoftwaresolutions,includingreductioninlatencyfordecisionmakingandincreasedinformationprocessing.Bothimportantattribu

3、tesofasuccessfulalgorithmictradingengine.Experimentsshowthatthepeakperformanceofourhardwarearchitectureforalgorithmictradingis377timesfasterthanthecorrespondingsoftwareimplementation,withareductionofminimumdecisionlatencyof6.25times.UptosixalgorithmscansimultaneouslyoperateonaXilinxVertex5xc5vl

4、x30FPGAtofurtherincreaseperformance.Usingpartialrun-timere-congurationtoprovideextensive exibilityandallowreactiontochangesinmarketconditions,tailoringperformanceofthesystemtotheworkload.Ipresentanalysisoftherecongurationabilityandwhatcanbedonetoreducepriceperformancelossinalgorithmswhilereco

5、ngurationtakesplace,suchasbueringinformation.Frommyresultswecanshowthatanaveragepartialrecongurationtimeof0.002seconds,whichgiventhehistorichighestmarketdatarateswouldresultinaworstcasescenarioof5,000messagesbeingmissed.AdditionallyIwilldescribethetechnicalchallengesthataroseinimplementation

6、ofthetestsystemandthenovelsolutionsthatIfoundforthem.Includingoptimisedarrayaveragingusingtreesummation,abstractprocessdesignpatternsandarchitecturestodecreasedevelopmenttimeandprovidebasefunctionalitytotradingalgorithms.1AcknowledgementsIwouldliketothankProf.WayneLukasthesupervisorofthisprojec

7、tforhishelpandsupportduringtheproject.Hiscommentsandsuggestionshavebeeninvaluableinincreasingthequalityandscopeoftheproject.Additionallyforhissuggestionofsubmittingtworesearchpaperstointernationalconferencesbaseduponmywork,bothofw