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Next Unit of Computing

Tony Smith, The Register, Haswell micro: Intel’s Next Unit of Computing Desktop PC, here. More DynaRack potential, get an engineer to do a NucRack with a more capable ethernet connection and you get AVX2 running your ALGO/SOR while everybody else runs Sandy Bridge. Under the right circumstances Intel might do the NucRack?

Taking the feedback on board, Intel has addressed almost all of them in its latest NUC, which maintains the broad 116 x 116 x 35mm form-factor – the new one is slightly shorter – but adds all the ports and connectivity absent from the first-generation machine. It also gains the chip giant’s power-lean Haswell processor.

Haswell wasn’t ready when the first NUC models appeared, but in all other respects the new incarnation is the product the previous offering should have been but wasn’t.

Brian Durwood and Nick Granny, Wall Street & Technology, A Guide to the HFT Arms Race, here. Native protocol gateways w. under a microsecond deterministic latency  and full 15c35 risk checks and no poison packets should roll to widespread production in 2014.  This is a done deal with several vendors, the interesting part now is the ALGO code  optimization. The latency from the first photon of new market data issuing from the exchange/source to the Order/Cancel SOR submission  should be the game at this point. For the strategies Bodek describes it seems like off the shelf optimized AVX2 should beat-out custom FPGA embedded ALGOs, but it will depend on the specific nature of the computation and the algorithm.  I would imagine that the off-the-shelf hardware should have more advantages as you move from cash equity to term structure model based valuation and risk with interest rate swaps and CDX, for example. The authors are spot on that technology cost, off-the-shelf or custom-FPGA, will be dwarfed by the development/optimization/operations cost of the software, think Knight Capital or Jane Street (for different reasons).

High Frequency Trading took a leap in the last 18 months with the introduction of extremely competent FPGA-based hardware from nearly a dozen manufacturers. What seems to be emerging as the industry standard is a PCIe board with two to four bidirectional 10 GBP/S ports which fits in an inexpensive 2U chassis and deployed in co-located trading sites worldwide. These boards run from $5,000 – $15,000 and are in production from Taiwan to the US to France. But the real story, and the real cost (≈ $100,000) is optimizing software/firmware for the new hardware, creating interconnects (the “plumbing”) and the little things that they (board vendors) don’t always remember to tell you.

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