NovaSparks Adds FPGA Handlers for ICE, Eurex Feeds

Both feed handlers are currently deployed in production by clients at datacenters in Frankfurt and at 350 East Cermak Road in Chicago, where ICE hosts its datacenter, says NovaSparks chief operating officer Olivier Baetz, who says their latency profiles would be similar to its handlers for any order-based feed, placing latency at around 1.2 microseconds from wire to memory, which is the latency of the vendor's handler for Nasdaq OMX's TotalView ITCH feed.

Baetz says NovaSparks developed the new handlers partly to complete its futures data lineup, and partly in response to client demand. "It gives us the two missing pieces in our coverage of the futures markets in Europe and the US.... ICE is an important market, and it also now owns Liffe, which is moving to the ICE platform... while EOBI is an attractive feed because it provides all order depth... and is a faster, more deterministic feed," than Eurex's Enhanced Market Data Interface (EMDI) feed that provides more limited market depth, and which NovaSparks has supported since July 2011, he says.

The order book feeds are particularly suited to NovaSparks' FPGA capabilities, since they require more client-side processing, Baetz says.

"If a firm wants to be fast, they always want the "raw" feed from the exchange that is less processed, because they believe they can perform that processing faster using something like NovaSparks," he says. "The information on EOBI will be faster than EMDI most of the time because the exchange has done less to it─for example, it doesn't reconstruct the order book─so it reaches the consuming firm faster, and the time it takes us to build the book is faster."

When building a handler for any new feed, NovaSparks must first understand the nature of the feed itself, Baetz says. "It's not just about bits and bytes, but what purpose does a feed serve, what information it carries, and what fields it contains.... Often in any development, the component that changes most from one feed handler to the next is the decoder that takes raw market data from the exchange and decodes it." To test each handler, the vendor builds a software-only version of the same handler to compare the accuracy of the output of each on a packet-by-packet basis, and stress tests them by replaying market data at 50 times normal rates.

The vendor currently covers more than 30 equities and futures market feeds, and Baetz says the next big step for the vendor will be to expand into other asset classes, such as equity options, based on client demand. "Customers value coverage enormously. A client doesn't want a vendor with only a few feeds─they want to partner for a long time with someone who has coverage of multiple asset classes," he says.