Hardware-Based Market Data Processing
Enabled real-time ingestion, decoding, and transformation of high-volume market data feeds directly in hardware, reducing processing latency to tens of nanoseconds.
Situation
Market data feeds (e.g., compressed exchange feeds) required high-throughput decoding and processing. Software-based pipelines introduced delays in parsing, filtering, and reconstructing order books, limiting responsiveness to market changes.
Solution
A fully hardware-based market data pipeline was implemented within FPGA memory and logic. This eliminated intermediate software handling and enabled instantaneous visibility into market state.
OUTCOMES
Challenges
Throughput
- •High-volume feed decoding
- •Software parsing delays
Latency
- •Order-book reconstruction lag
- •Slow signal visibility
Solutions
Direct Feed Ingestion
Ingested raw exchange data feeds directly into hardware.
- Captured exchange feeds at wire speed
- Removed software ingestion intermediaries
- Enabled immediate processing availability
Inline Protocol Decoding
Performed inline decoding of compressed market data protocols.
- Decoded feeds directly in FPGA logic
- Eliminated CPU-based parsing overhead
- Maintained deterministic processing latency
Wire-Speed Filtering
Filtered irrelevant data at wire speed.
- Reduced downstream processing load
- Prioritized actionable trading signals
- Maintained constant pipeline throughput
On-Chip Order Books
Reconstructed full order books in on-chip memory.
- Maintained persistent order book state
- Eliminated reconstruction bottlenecks
Continuous Market Visibility
Maintained a continuously updated view of bid/ask dynamics.
- Provided real-time liquidity awareness
- Supported ultra-fast trading reactions
- Improved signal responsiveness