Impetus

A state-of-the-art low latency System-on-Chip

Impetus System-on-Chip is a complete trading solution implemented on FPGA for low latency execution of trading strategies, customizable for any exchange. It meets algorithmic trading system’s goals of requiring both complexity and speed with highest tick-to-trade performance, and arbitrage opportunity discovery within nanoseconds latency. It has a Sub-Microsecond expected Tick-to-Trade latency

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Impetus key Components

Feed Handler
Our Feed Handler is a Multicast Channel Filter and Packet Loss Detector for the incoming market data stream. It handles UDP network operations, market data packets and delivers payload to the host system. It initiates recovery using TCP-based recovery mechanism for lost packets. It has an inbuilt Security Filter to process only the required tokens, which are configurable by the client.

Order Book
Order Book is an FPGA hardware accelerator with the entire feed processing module which integrates with Feed Handler to provide functions including Feed Arbitration, UDP Parsing, and MBO Order Book building. Celerix’s single-FPGA platform architecture achieves deterministic, ultra low latency without jitter regardless of the number of tracked instruments at data rates of up to 10 Gbps.

Order Book supports:

        • Top-n price levels of Order Book building for instruments that have real-time orders
        • Multiple depth book with price level consolidation
        • Processing of Market Data messages
        • Updating books in normal operation throughout the trading day
        • Start-of-day book initialization
        • Refresh recovery mechanism

Strategy Processor

Strategy Processor IP maintains trigger conditions based on Security-related Statistics & Order Book updates and corresponding actions of order requests that can be applied at run time. Strategy Controller can be configured dynamically with a software API interface. It has an in built Risk compliance checker, Rules Storage and Order Decision Maker which decides if an order is qualified for placement, applies strategy-related rules and nnomenclatures, and forwards to Order Handler for further processing and order placement.

Order Handler
Order Handler interacts with the exchange for order placement and manages their respective order, and trade response updates. It handles TCP network operations through interactive communication with exchange and the client system.

Risk Management System
RMS ensures the risk compliance for the order to be routed to, by interaction with exchange for communication related to the orders, which resides within Order Handler.

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