Multi-agent pre-trade analysis acceleration in FPGA

Gerlein, E; McGinnity, TM; Belatreche, A; Coleman, SA; Li, Y

Abstract

Electronic trading in global markets and exchanges requires sophisticated communication and data management systems. Novel computational infrastructures and trading strategies are required to support the massive amount of incoming streaming data, where the main problem is in latency management. Multi-agent Systems have been recognized as a promising solution to address complex problems in many areas such as biology, social sciences and financial markets and may provide powerful and flexible solutions for implementing trading engines. In addition, reconfigurable hardware based on Field Programmable Gate Arrays (FPGAs) offers many important performance benefits over software implementations,such as reducing decision making latency and high-throughput data processing. Robust and scalable trading engines can be developed by leveraging the benefits of reconfigurable FPGA platforms. This paper presents a multi-agent architecture in reconfigurable hardware for financial applications and the implementation of a trading engine for pre-trade analysis as a validation scenario. Performance results show that calculation of technical indicators and trading strategy evaluation to generate trading signals with a latency of 550 ns is achievable.

Citation

Gerlein, E., McGinnity, T., Belatreche, A., Coleman, S., & Li, Y. (2014, March). Multi-agent pre-trade analysis acceleration in FPGA. Presented at The Institute of Electrical and Electronics Engineers (IEEE) : Computational Intelligence for Financial Engineering and Economics Conference, London

• Presentation Conference Type: Other
• Conference Name: The Institute of Electrical and Electronics Engineers (IEEE) : Computational Intelligence for Financial Engineering and Economics Conference
• Conference Location: London
• Start Date: Mar 27, 2014
• End Date: Mar 28, 2014
• Publication Date: Mar 27, 2014
• Deposit Date: Jun 19, 2015
• Publisher: Institute of Electrical and Electronics Engineers
• Publisher URL: http://dx.doi.org/10.1109/CIFEr.2014.6924082
• Related Public URLs: http://ieeexplore.ieee.org/xpl/mostRecentIssue.jsp?punumber=6901616
• Additional Information: Event Type : Conference