Processing options market data is a notoriously demanding task. To run our models successfully in real time, we have developed a unique combination of hardware and software, as illustrated below:
Our technology lets us deal with:
> 800,000 tradable instruments
> 40,000,000 price changes per second at peak times
> 50,000,000 relationships between options to track
> 10,000,000,000 peak calculations per second
Our systems use a combination of proprietary technologies, from highly optimized algorithms running on conventional CPUs, to GPU based systems, to custom hardware designs running on FPGAs. These integrated technologies allow us to remain highly efficient in three key dimensions:
Latency: Our hardware based systems are so effectively parallelized and pipelined that we are able to process quotes arriving on a 10 Gb/s link at line speed. When a packet of network data arrives potentially containing multiple quotes we are able to decode the data and evaluate each quote, performing thousands of calculations on each quote with such speed that our systems can identify all potential trading opportunities even before the final bytes of that packet arrive. Our systems are thus able to operate essentially at line speed.
Throughput: This is even more of an issue than latency in the option markets, as quote volume is large and ever-growing. Our expertise in hardware design, systems architecture and software optimization has enabled us to deploy systems with sufficient processing power to handle even the tens of billions of operations required at times of peak quote volume. We have enough excess processing capacity to handle future quote volume increases on the order of many tens of times the current volume, and can easily scale our systems to handle hundreds of times the quote volume if the need arises.
Cost: As a small firm, we need to keep our capital expenditure as low as possible, which has compelled us to be extremely innovative and resourceful in our development and use of technology. Our systems occupy just six data centre rack units, with a total hardware cost in the low five figures.