In a press release today Argon Design from Cambridge in the UK have announced what they describe as:

A high performance trading system using a heterogeneous mix of technologies to minimize trading latency.

The mix of technologies is provided by their use of the Arista Networks 7124FX application switch which:

Includes an Altera FPGA with hardware-level access to 8 of its 24 10Gb Ethernet ports and an x86 domain based on Intel’s Xeon processors.

According to project's "case study" on the Argon web site, they have:

Developed a prototype system where market data feed analysis and fast-path trade execution is performed directly on the switch under rules determined in parallel on “traditional” processors. Direct FPGA access allows data feeds to be parsed and analysed as close as possible to the feed handlers. Similarly the heterogeneous processor mix in the switch enables other related functions to be undertaken and orders executed back onto the wire. Deployed in CoLo at the trading venues as part of the day to day mix of technology found in the racks today – this technology can take the design and performance of trading functionality to a higher level of performance.

Argon have quantified this "higher level of performance" by:

Using the test harness developed for the Finteligent Trading Community program, the latency measured was reduced by a factor of 25 over pure x86 designs tested by the program. For the measured leg in the test harness, latency was reduced from a previous best of 4,600ns to 176ns for algorithmically generated trades executed to the simulated market. The enhancement in performance was achieved by providing a fast-path where trades are executed directly by the FPGA under the control of trigger rules processed by the x86 based functions . The latency is reduced further by two additional techniques in the FPGA – inline parsing and pre-emption. As market data enters the switch, the Ethernet frame is parsed serially as bits arrive allowing partial information to be extracted and matched before the whole frame has been received. Then, instead of waiting until the end of a potential triggering input packet, pre-emption is used to start sending the overhead part of a response which contains the Ethernet, IP, TCP and FIX headers. This allows completion of an outgoing order almost immediately after the end of the triggering market feed packet. The overall effect is a dramatic reduction in latency to close to the minimum that is theoretically possible.

Here's a video Argon have produced showing their prototype system's performance being assessed using the Finteligent test harness:

If you listen carefully you will note that Argon are claiming that:

The switch makes market orders based on market information with end of packet to end of packet response times of about 170 ns.

According to that press release once again, Arista's Regional Director for Financial Services Paul Goodridge commented that:

This is exactly the kind of practical application we are looking to see from the market with our 7124FX product and we are delighted and impressed with Argon Design’s commitment and approach. This joint venture exemplifies Arista’s innovation and further highlights the real value of Arista’s EOS (Extensible Operating System) and its ability to take programmability to the Ethernet switching market.

I've now managed to speak to Paul, and I asked him about that programmability. As suggested by the 7124FX datasheet, EOS is essentially off the shelf x86 Fedora 14 Linux, but a good knowledge of Verilog will come in handy if you find you need to program the FPGA itself. When I asked about development systems Paul suggested a good first step would be to get hold of an Altera Stratix III or IV Development Kit, which are more readily available and also an awful lot cheaper than a 7124FX! In conclusion I asked Paul if there was anything he'd like to add to what he'd said in the Argon press release. He stressed:

Arista's focus on the empowerment of our customers, and the deterministic performance of our switches.

It seems that with a modicum of additional programming Arista's customers will soon be empowered to start deterministic high frequency trading at close to the speed of light! The only drawback is, of course, that the price of this sort of kit is fairly astronomical too.

[Update – Argon Design have kindly provided us with this white paper for you to read at your leisure]