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Im an undergrad student trying to become more familiar with how HFT works. In specific, I was wondering what kind of hardware they use and how each piece contributes to the system. I've been led to believe FPGAs play a big role in the architecture and was wondering what exactly they are used for in the system.

Thanks!

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  • $\begingroup$ What kind of undergrad are you? It may be better to understand the strategies first to better reason why such high performance hardware is required. $\endgroup$ – BAR Jun 8 '15 at 19:02
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In trading you need to make a lot of simple computation of a very large flow of data. FPGA are perfect that for. It is typically FPGA that will host

  • marketfeed handler (see NOVASPARKS website, or ACCELLIZE) ;
  • analytics computations ;
  • risk computation (see ULLINK solution for instance).

For more, this generic article is not that bad: Introducing FPGA-Based Acceleration for High-Frequency Trading.

But the best is to read Market Microstructure in Practice ;{)}

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FPGA's are used to run the latency sensitive HFT strategies.

They can also be used solely for parsing whatever protocol is in use (FIX, ITCH, etc..) and routing the decoded objects to a CPU for number crunching.

They can of course be used for anything else but these two uses are what is most common now.

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