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EXTENT-2016: Achieving High Quality and Performance of FPGA-based Trading Solutions

EXTENT-2016: Achieving High Quality and Performance of FPGA-based Trading Solutions

EXTENT-2016: Software Testing & Trading Technology Trends
22 June, 2016, 10 Paternoster Square, London

Achieving High Quality and Performance of FPGA-based Trading Solutions
Milan Dvorak, Director, Netcope Technologies

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June 27, 2016

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  1. Milan Dvorak Director Netcope Technologies Achieving High Quality and Performance

    of FPGA-based Trade Solutions
  2. Milan Dvorak Achieving High Performance and Quality of FPGA-based Trading

    Solutions dvorak@netcope.com
  3. • Company introduction • Testing & verification • Black box

    vs. White box approach • Unit tests • Functional models • Automated testing (Nightly builds) • Performance tests Overview
  4. • European vendor of FPGA-based network solutions • Formerly FPGA

    department of Invea-Tech • First to introduce 100GE NIC (PCI-E form factor)  Vast experience with FPGA technology since 2002  Xilinx Alliance program partner  PCI-SIG® member company • Primary focus  Low-latency electronic trading  High-speed packet capture  Smart traffic filtering  FPGA firmware development kit Company introduction
  5. • FPGA based low latency trading solution  Pre-built blocks

    for communication with an exchange  FIX/FAST and binary market data protocols  Full order book, aggregated level book  Order sessions management (FIX, ArcaDirect, OUCH, …)  User trading strategy in C/C++ (optional)  Latency optimized API Tradecope
  6. • Requirements for HW solutions  Reliability  Time-to-market •

    Design vs. Verification (testing) = 30% vs. 70% • Black box approach  Setting inputs, checking outputs  Error gets propagated to outputs • White box approach  Mechanisms for checking internal state  Automatic check and reporting of defined properties Testing of HW systems
  7. • Simplest white box approach in HW design • Statements,

    that are always true  Reading from empty FIFO  Multiple 1 bits in one-hot-encoding  “Things that won’t ever happen” • Asserts get triggered during simulations • Helps localizing the bug • Does not affect hardware performance  Assert is only checked in simulation  In HW – interrupts (report & log the problem) Assertions
  8. • Testbenches for each unit • UVM/OVM methodology • SystemVerilog

    verification • Pseudo-random generator of inputs • Checking of outputs  Functional model in SystemVerilog  Object based programming, high-level description • Simulation can run for days  Basic test has 10,000 transactions • Monitoring of coverage  Did we cover all input combinations? Unit tests
  9. • HW pipeline implemented in SW (C++)  Same functionality

     Verification or SW simulation • Separate output for each stage • Same data capture passed to both HW and SW • Outputs compared for each stage • Over 20 Mbps testing speed Functional model
  10. • How to test a change didn’t break anything? 

    Too many configurations to test (exchanges, protocols) • Automated testing using Cdash  Nightly builds, SW model, live exchange access • GIT branching model (master vs. devel) Automated testing
  11. • Ensure performance parameters of the design  Low tick-to-trade

    latency  High throughput, zero packet loss • Online latency reporting  Internal latency of each order reported to SW  Online analysis of results, statistics over time • Black box measurements  Optical TAPs on input and output wire  Precise timestamps for market data & outgoing order  Independent latency measurement Performance testing
  12. • Most of the time-to-market spent in verification  Automate

    the process as much as possible  Functional models for your cores • Simplify localizing and fixing bugs  Assertions and checks in the logic  Outputs from each stage • Don’t forget about performance!  Automatic latency measurements and reporting  Sustainable throughput without packet loss Conclusions
  13. Netcope Technologies a.s. U Vodárny 2965/2 616 00 Brno, Czech

    Republic www.netcope.com Contacts Milan Dvorak dvorak@netcope.com +420 511 205 378