Ultra low latency market data feed on IBM PowerEN^TM

Abstract

Financial Market IT solutions increasingly depend on ultra low latency message processing and target microseconds latencies in order to provide traders with a competitive advantages over their peers. Some solutions are available on the market, ranging from general purpose systems with advanced network cards to specialized hardware solutions based on FPGA. The novel IBM PowerENTM "Edge of Network" processor integrates network interfaces with functional accelerators and multi-threaded cores. This paper describes the design, implementation and performance evaluation of a Market Data Feed solution based on the PowerEN processor. The paper details the SoC mechanism designed to reduce latency and increase throughput and shows how these can be used to build a Market Data Feed solutions that achieves performance figures usually obtainable only by special hardware. This prototype described achieves an average latency of 6.7 μs for an OPRA v2 feed and is able to process 1M updates per second on 2 hardware thread, achieving more than 16M updates per second on a single chip solution without consuming all the resources and thus being able to also run customer software. © Springer-Verlag 2011.