NovaSparks Launches OPRA FPGA Feed Handler

The new feed handler extracts and normalizes the last sale price as well as the OPRA-computed National Best Bid and Offer (NBBO) price, and is able to process up to 150 million messages per second with a single 2U-size (two units of rack space) appliance. This equates to over 10 times the current message peak rate of the consolidated OPRA feed, which reached peak message rates of 7.9 million messages per second in the second quarter of 2014, according to data from the OPRA website.

“This is the first feed handler we have released where latency is not the driver. This is all about message rates,” says Olivier Baetz, chief operating officer of Novasparks. “The OPRA feed has been a headache for market data managers for as long as I can remember—the peak message rates have doubled in the last two years, and are predicted to triple in the next two years—so this is where an FPGA has value, as it can handle a lot of data with minimal footprint in datacenters.”

As such, the feed handler is aimed at trading firms and investment banks dealing in cash equity options who are seeking to reduce their IT footprints, Baetz says. “People are still trying to beat what they can do in software and reduce their footprint, and there is huge demand from OPRA users for a solution to deal with the huge message rates on the feed.”

Compared to traditional CPU-based feed handlers, Novasparks' FPGA feed handler leverages pipelining, which enables data processing instructions to operate concurrently, as well as parallelization, which allows multiple processors to be used simultaneously. “On an FPGA you can do multiple things during the same clock cycle, which you can do on multiple core CPUs using multiple sockets, but on FPGA it's a hundred times better. In addition, you can use FPGAs to pipeline the processing of data, so you don’t generate huge piles and bottlenecks,” Baetz says.

The release of the OPRA feed handler is the first time Novasparks has launched a product for options markets, and is part of an ongoing strategy at the vendor to build out its coverage. For example, in June, NovaSparks rounded out its futures data offering with the addition of feed handlers for IntercontinentalExchange's iMpact feed and Eurex's Enhanced Order Book Interface (EOBI) feed.

“This is the first time we have launched a feed handler for options…the main challenge was adapting the feed handler to be able to handle the large number of options instruments that are carried on the OPRA feed. There are a hundred times more instruments than in cash equities, for example,” Baetz says. The feed handler is available now and can be deployed “as quick as customers can sign the order,” he adds.