Orderbook

High-Frequency Trading Order Book with FPGA Acceleration

Overview

This project implements a high-frequency trading (HFT) order book system utilizing FPGA acceleration to achieve low latency and high throughput. The order book is designed to handle real-time market data and execute trades efficiently. The FPGA processes latency-sensitive tasks such as market data handling and initial order validation, while the CPU handles complex order matching, risk checks, and trade execution.

Features

• High Performance: Leveraging FPGA for real-time data processing.
• Low Latency: Optimized for high-frequency trading.
• Scalable Architecture: Efficient handling of high volume of orders and updates.
• Risk Management: Built-in risk checks and validations.
• Real-time Analytics: Monitoring system performance and market conditions.
• Resilient Design: State persistence and recovery mechanisms.

Architecture

Components

1. Market Data Handler (FPGA)

   • Parses and normalizes incoming market data.
   • Handles initial data filtering and preprocessing.

2. Order Entry Handler (FPGA)

   • Receives and pre-processes incoming orders.
   • Performs basic validation checks.

3. Order Management System (CPU - C++)

   • Maintains the state of the order book.
   • Processes and matches orders.
   • Executes trades and handles risk management.

4. FPGA Communication Layer (CPU - C++)

   • Manages data exchange between the CPU and FPGA via PCIe/DMA interface.

5. Trade Execution and Reporting (CPU - C++)

   • Executes matched trades and generates reports.

6. Monitoring and Logging (CPU - C++)

   • Monitors system performance.
   • Logs significant events and transactions.

Data Flow Diagram

References

1. Endrias Project Final Report. Retrieved from MIT.
2. HFT Book Builder. Retrieved from Columbia University.
3. Virtual FPGA Lab. Retrieved from GitHub.