EXTENT-2017: Techniques for Trading on FPGA Enabled Switches

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Simplifying networks Reducing latency in Electronic Trading Opening up network packet visibility Increasing ﬂexibility Techniques for trading on FPGA enabled switches Dr David Snowdon CTO

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www.metamako.com 2 Basics

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www.metamako.com Basics — Who are Metamako? 3 The leading vendor of high performance network devices for trading Based in Australia, Global ofﬁces

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www.metamako.com Basics — Who are Metamako? 4 • Build a ﬁrst class platform to host FPGA apps • Hardware (x86 + L1 + FPGA) • Network operating system • IP Cores • Containers • Build our own FPGA apps to produce best-in-class devices • MetaWatch — Timestamping and packet capture • MetaMux — High performance exchange access

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www.metamako.com Basics — Who are Metamako? 5 • MetaWatch • Cost effective network monitoring • 1 ns precision timing • Robust deep buffering (8GB) Ideal for MIFID II RTS 25 Compliance

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www.metamako.com Basics — Layer 1 Switch 6

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www.metamako.com Basics — Software Trading Systems 7 Response Engine Logging Parameters Modelling Network

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www.metamako.com Basics — FPGA Trading Systems 8 Response Engine Logging Parameters Modelling Network

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www.metamako.com Basics — The advantages of FPGA 9 •Low latency •Predictability/Determinism •Performance

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www.metamako.com 10 FPGA Platforms

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www.metamako.com FPGA Development Platforms 11 MetaApp 32 MetaMux 48 MetaConnect 96

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www.metamako.com K-Series Devices Virtex 7 C-Series Devices Arria 10 FPGA Development Platforms 12 MetaMux 48K MetaMux 48 MetaApp 32 MetaApp 32C MetaConnect 96K MetaConnect 96C

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www.metamako.com FPGA Development Platforms • Development kit, example designs, tips and tricks: www.metamako.com/support 13

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www.metamako.com 14 E-Series

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www.metamako.com E-Series • Ultrascale and Ultrascale+ FPGA • MetaApp 32E, MetaMux 48E and MetaConnect 96E • All include “MetaConnect” 15

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www.metamako.com E-Series 16 FPGA 56 MetaConnect Fabric

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www.metamako.com E-Series 17 Central FPGA Leaf FPGA Leaf FPGA 14 14 56 MetaConnect Fabric

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www.metamako.com E-Series 18 Central FPGA Leaf FPGA Leaf FPGA 14 14 56 MetaConnect Fabric 130 IO 130 IO

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www.metamako.com E-Series 19 RX MAC Logic TX MAC One FPGA L1 Switch Minimum ~60 ns

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www.metamako.com E-Series 20 RX MAC Logic TX MAC One FPGA L1 Switch Minimum ~60 ns L1 Switch RX MAC Logic TX MAC Cable RX MAC Logic TX MAC Two FPGAs Minimum ~60 ns Minimum ~60 ns

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www.metamako.com E-Series 21 RX MAC Logic TX MAC One FPGA L1 Switch Minimum ~60 ns L1 Switch RX MAC Logic TX MAC Cable RX MAC Logic TX MAC Two FPGAs L1 Switch RX MAC Logic Logic TX MAC E-Series Minimum ~60 ns Minimum ~60 ns Minimum ~70 ns ~10 ns

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www.metamako.com E-Series 22 Central FPGA Leaf FPGA Leaf FPGA 14 14 56 MetaConnect Fabric 130 IO 130 IO

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www.metamako.com E-Series 23 K-Series (Virtex 7 415T) C-Series (Arria 10) E-Series (3x VU9P Variant) Flip Flops or Registers 515k 1,708k 7,092k Total On-Chip RAM 31.7 Mb 65Mb 1,037 Mb

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www.metamako.com 24 Architectures

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www.metamako.com Architecting for the switch 25 Response Engine Logging Parameters Modelling Network

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www.metamako.com Architecting for the switch 26 Logging Parameters Modelling Network Response Engine

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www.metamako.com A few quick thoughts… • Ditch PCI Express — leverage the network • Physical distance matters • Memory is king 27

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www.metamako.com Architecting for the switch 28 Traditional FPGA Solution x86 FPGA PCIE

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www.metamako.com Architecting for the switch 29 Traditional FPGA Solution x86 FPGA PCIE Modern FPGA Solution x86 FPGA 10GbE

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www.metamako.com Architecting for the switch 30 Traditional FPGA Solution x86 FPGA PCIE Modern FPGA Solution x86 FPGA 10GbE Metamako FPGA Solution x86 FPGA 10GbE x86 x86

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www.metamako.com E-Series 31 MetaMux 48E

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Simplifying networks Reducing latency in Electronic Trading Opening up network packet visibility Increasing ﬂexibility For development kits, see: www.metamako.com/support