| The Daily Show With Jon Stewart | Mon - Thurs 11p / 10c | |||
| Cash Cow - High-Frequency Trading | ||||
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Get some fun with the high frequency trading topic ...
Sunday, November 27, 2011
Cash Cow - High-Frequency Trading - The Daily Show With Jon Stewart
Get some fun with the high frequency trading topic ...
Wednesday, November 23, 2011
FastFlow - the new multithreading framework with Atomic Queues
For the solution of achieving high frequency trading, lock free queues can help to increase the message transfer speed between threads while reduce the performance jitter as well.
While we talks about so-called lock free mechanisms, Atomic Queue should be the first choice we considered.
However please note that Atomic operation is not really lock-free otherwise there is no data safety between threads. Atomic operation achieves lock and unlock functionality by using CPU kernel's feature that it will only process a word size memory at a time, which is exactly the size of integer.
there are many sample atomic queues implementation in the www. we found that FastFlow is the best one which can provide directly the atomic queues as well as multi-threading framework which can help to enforce the proper software architecture design.
the better part is that FastFlow is free to use and open sourced project, which will be actively maintained and tested by a group of users.
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| FastFlow architecture design |
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| FastFlow Features |
for more details, you can go to its sourceforge page: https://sourceforge.net/projects/mc-fastflow/
Thursday, November 17, 2011
Performance of Memory Copy between Host and Device with NVIDIA cards
Performance of NVIDIA Geforce 8600
Performance of NVIDIA GTX 580
- CudaMemcpyHostToDev=18 microseconds
- CudaMemcpyDevToHost=23 microseconds
Performance of NVIDIA GTX 580
- CudaMemcpyHostToDev=6 microseconds
- CudaMemcpyDevToHost=8 microseconds
As we can see that NVIDIA new GPGPU cards like GTX series with FERMI memory architecture is much faster by itself than old NVIDIA crds like Geforce series.
Monday, November 14, 2011
NVIDIA GPU Fermi Memory Hierarchy Review
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| NVIDIA GPU Fermi Memory Hierarchy |
Local storage
- Each thread has own local storage
- Mostly registers (managed by the compiler)
Shared memory / L1
- Program configurable: 16KB shared / 48 KB L1 OR 48KB shared / 16KB L1
- Shared memory is accessible by the threads in the same threadblock
- Very low latency
- Very high throughput: 1+ TB/s aggregate
L2
- All accesses to global memory go through L2, including copies to/from CPU host
Global memory
- Accessible by all threads as well as host (CPU)
- Higher latency (400-800 cycles)
- Throughput: up to 177 GB/s
If Share Memory / L1 can be used properly, the speed up can be much greater.
High-frequency trading: Good, bad or just different? - Technology - Futures Magazine
High-frequency trading: Good, bad or just different? - Technology - Futures Magazine:
Mike O’Hara has interviewed scores of traders, connectivity providers, academics and exchange operators for his web site, the High Frequency Trading Review. He always opens his interviews with the same question: "What is high-frequency trading (HFT)?"
Mike O’Hara has interviewed scores of traders, connectivity providers, academics and exchange operators for his web site, the High Frequency Trading Review. He always opens his interviews with the same question: "What is high-frequency trading (HFT)?"
He never gets the same answer twice.
"The problem is that ‘high-frequency’ is a relative term," says O’Hara, a former floor trader at the London International Financial Futures Exchange (Liffe). "There are, however, some common threads in all definitions: It’s computer-driven; it generates a large number of orders in a short space of time; it’s dependent on low-latency, fast access to execution venues; its positions are held for short periods of time; it ends the day flat and it’s characterized by a high order-to-trade ratio." ...
Deep CUDA Training, Basics / Advanced
NVIDIA and NOVATTE provide their customers free CUDA trainings in Singapore, which is really a smart marketing strategies. Their Training provides clarifications and optimization tricks, quite informative.
Below is the certificate I received.
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Deep CUDA Training, Basics / Advanced |
Friday, November 11, 2011
Nerdblog.com: How slow is dynamic_cast?
Nerdblog.com: How slow is dynamic_cast?: C++ users are advised frequently not to use dynamic_cast, because it's slow. I thought it would be nice to measure this, so I made up a tes...
how do you compare FPGA and GPU?
we utilized the GPU in our option pricing module. its calculation speed compared to CPU is about 20%, however its parallel calculation power helps us to reduce overall latency when underlying price changed.
the latency cost in memory copy betwen GPU and CPU is a bit high, about 30 - 50 microseconds.
i feel FPGA most likely will achieve the same performane if we use it the same way as GPU. in FPGA case, might that it is more efficient in power consumption.
FPGA should be able to achieve better performance if it bypasses unnecessary os communications and utilize parallel caculation via physical logic blocks where CPU cannot do.
the latency cost in memory copy betwen GPU and CPU is a bit high, about 30 - 50 microseconds.
i feel FPGA most likely will achieve the same performane if we use it the same way as GPU. in FPGA case, might that it is more efficient in power consumption.
FPGA should be able to achieve better performance if it bypasses unnecessary os communications and utilize parallel caculation via physical logic blocks where CPU cannot do.
10GBPS NIC and Optical Fiber for High Frequency Trading
The 10 gigabit Ethernet (10GE or 10GbE or 10 GigE) computer networking standard was first published in 2002. It defines a version of Ethernet with a nominal data rate of 10 Gbit/s (billion bits per second), ten times faster than gigabit Ethernet.more can be read from http://en.wikipedia.org/wiki/10_Gigabit_Ethernet
10 gigabit Ethernet defines only full duplex point to point links which are generally connected by network switches. Half duplex operation, hubs and CSMA/CD (carrier sense multiple access with collision detection) do not exist in 10GbE.
The 10 gigabit Ethernet standard encompasses a number of different physical layer (PHY) standards. A networking device may support different PHY types through pluggable PHY modules, such as those based on SFP+. Over time market forces will determine the most popular 10GE PHY types.[1]
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| 10GBPS NIC cards |
For high frequency traders network cards need to be carefully selected as well. 10gbps NIC can effectively outperform 1gbps cards. however it is reminded that 10gbps nic need to have 10gbps switch and optical fiber as whole solution, otherwise the speed gain will be restricted by bottle neck of any of these three.
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| 10GBPS NIC Adaptors |
Currently Dell and other OEM pc/server manufacturers provide offload features to their Network cards to save CPU power for socket data processing. the 10gbps ethernet cards provide further offload capabilities with build-in FPGA chips to bypass CPU and TCP/IP stack as much as possible. for example SolarFlare provide OpenOnLoad drivers to boost performance and their products have been implemented with many exchanges and HFT firms.
A typical performance figure with 1GBPS cards, the network latency is around 50 to 70 micro-seconds while a 10GBPS NIC from SolarFlare can reach around 5 micro-seconds.
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