Title :
Run-Time Reconfiguration for a Reconfigurable Algorithmic Trading Engine
Author :
Wray, Stephen ; Luk, Wayne ; Pietzuch, Peter
Author_Institution :
Dept. of Comput., Imperial Coll. London, London, UK
fDate :
Aug. 31 2010-Sept. 2 2010
Abstract :
In this paper we present an analysis of using run-time reconfiguration of reconfigurable hardware to modify trading algorithms during use. This provides flexibility in algorithm design, enabling the implementation to be reactive to changes in market conditions, increasing in performance. We study what can be achieved to reduce performance loss in algorithms while reconfiguration takes place, such as buffering information during this time. Our results show our average partial reconfiguration time is 0.002091 seconds, using historic highest market data rates would result in about 5,000 messages being missed or require buffering. This is the worst case scenario, normally the system would only require a fraction of messages. The reconfiguration time is acceptable if it is under the required limit by the user to prevent business performance suffering.
Keywords :
algorithm theory; field programmable gate arrays; reconfigurable architectures; stock markets; algorithmic trading engine; buffering information; market data; reconfigurable hardware; run time reconfiguration; Algorithm Trading; Run-Time Reconfiguration;
Conference_Titel :
Field Programmable Logic and Applications (FPL), 2010 International Conference on
Conference_Location :
Milano
Print_ISBN :
978-1-4244-7842-2
DOI :
10.1109/FPL.2010.39