Building an HFT chip (FPGA)
Hi all,
A few weeks ago, I started an HFT project based on FPGAs.
The goal is parse market data (NASDAQ ITCH protocol) and to do some book keeping on the market state. The project is surprisingly "not that hard" (not trivial but not impossible) if you know your way around FPGAs.
Right now, the project is "just" a book keeper. I plan on implementing better memory management (which is the hard part of this project), corrupt data recovery and finally a basic strategy able to execute orders so I can start loosing money at lightning speeds :D
And yes, I do know that not many firms are into FPGAs as it's pretty niche and not many strategies require such speeds etc... But still, I think it's interesting !
I made some technical blog posts (currently 6 parts) : https://0bab1.github.io/BRH/posts/Trademaxxer_MoldUDP64/
If you are not into hardware design but still wanna learn about FPGAs in HFT + some basic technical background... Or just have a good time, you can find a much more simple (entertainment oriented) project overview on YouTube : https://www.youtube.com/watch?v=ogaTn6oB-TQ
Don't hesitate if you have any question !
NOTA : I hope this does not come out as shameless self promotion, it kinda is when I think about it but it's more of a way for me to share the "soft-hardware" aspect to the HFT community. I usually hang out in r/FPGA where people sometimes talk about HFT so I though it would be relevant.