NovaSparks Bows NovaLink to Connect Ticker Plant to Client FPGA Systems

NovaLink can connect with FPGA cards from Altera and Xilinx with an average latency of one microsecond for order-based feeds like Nasdaq TotalView ITCH, and 750 nanoseconds for "level-based feeds" like CME Group's MDP3, "measured from the wire on the market side to the trading firm's FPGA," according to figures from the vendor.

Until now, NovaSparks has offered two ways for customers to consume market data from its NovaTick ticker plants into their algorithms and trading execution platforms: PCI (Peripheral Component Interconnect) Express, and regular Ethernet.

These two delivery mechanisms are typically used by firms who want to consume data via a CPU. The new NovaLink is a FPGA-to-FPGA link that enables firms to consume data from NovaTick into other FPGA-accelerated applications without having to cross the CPU.

NovaSparks chief operating officer Olivier Baetz says previous connectivity options allowed customers to deploy FPGA-accelerated market data without having FPGA expertise in-house. However, NovaLink is aimed at firms that have made an investment in a pure FPGA play, whose trading execution and algorithms are already written on FPGAs, or who have sophisticated trading strategies on software that they want to move to FPGAs.

"If you want everything on FPGA from tick-to-trade, you need three components: the market data, the algorithms and the trade execution. It's not unheard of for people to do this now and put everything on one chip, but the issue is that FPGAs are small chips, and if you contain yourself to one chip, you might not have enough room to consume all the market data you want, or you might have to constrain the complexity of your strategies," Baetz says.

NovaLink addresses this problem by allowing firms to offload their market data on a NovaTick FPGA. Users can consume normalized data from the vendor's ticker plant into their own FPGA through an API provided to customers as an IP core (a block of logic used to connect to an FPGA).

"Traders want to have everything on FPGA because it's faster to not go through a CPU because you save time by not moving from the wire to a CPU, and also because there is a level of non-determinism that comes with a CPU," Baetz says. "Firms who have FPGA systems could build a new FPGA for market data [themselves], but by buying a solution like NovaLink, they can focus on their strategy and have access to a wider market data universe, rather than maintaining the feed handler."

Though NovaLink is designed for firms who are interested in a pure FPGA play, the tool also allows users to re-route tasks that are not latency-sensitive-such as refreshing and retransmission of market data-to the CPU.