Sunday, 15 June 2014

Nice Terasic PCIe 3.0 FPGA board

I do like the look of this board, the Terasic TR5-Lite even if it is not quite as sexy as a Triumph TR5 from my birth year. Any feedback on the actual use of one of these would be most welcome.

Stratix V, half height, half length with a firewire (1394) shaped 422 connector for timing input. Direct connectivity to the dual SPF+s. 36MB QDRII+, 2GB DRAM and PCIe 3.0 capable from the x8 edge connector makes it look good for HFT.

It uses a Altera Stratix® V GX FPGA (5SGXEA7N2F45C2) so you get 622k logic elements. Dunno what it is, but the board just looks nice and elegant. It only seems to have 4 user controllable LEDs  and five status LEDs, so Mike Dini wouldn't approve[1].

Whilst an Arria V or Kintex-7 solution would be better value for 10G, Terasic seems to have put together almost the perfect minimal FPGA HFT package here. I'm still thinking a Zynq-7100 based board with its useful ARM is a better idea overall though.

--Matt.



Friday, 6 June 2014

Finra ATS stats

Finra has made a stab at releasing ATS / dark pool stats.

It makes for some interesting reading. I've put the stats into a table below as I've found the Finra web site has been a bit up and down. Is that ITG and IEX running neck and neck with 100M shares a piece?
Finra ATS / Dark Pool Stats - Source: Finra
(Note the % are bunk, though indicative, as the dates are different)

Name Shares
Trades
Shares/Trade Date
CROS CREDIT SUISSE SECURITIES (USA) LLC 376,207,777 12.1% 2,189,977 13.5% 171.8 06/05/2014
LATS BARCLAYS CAPITAL INC. 307,354,920 9.9% 1,701,372 10.5% 180.7 06/05/2014
UBSA UBS SECURITIES LLC 282,217,511 9.0% 2,307,746 14.2% 122.3 06/05/2014
MLIX MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 215,734,880 6.9% 1,099,830 6.8% 196.2 06/05/2014
MSPL MORGAN STANLEY & CO. LLC 207,196,400 6.6% 780,930 4.8% 265.3 06/05/2014
DBAX DEUTSCHE BANK SECURITIES INC. 189,134,200 6.1% 1,117,870 6.9% 169.2 06/05/2014
SGMA GOLDMAN SACHS EXECUTION & CLEARING, L.P. 182,887,381 5.9% 1,094,422 6.7% 167.1 06/05/2014
FLOW LAVAFLOW, INC. 154,595,446 5.0% 862,489 5.3% 179.2 06/05/2014
KCGM KCG AMERICAS LLC 135,074,012 4.3% 979,475 6.0% 137.9 06/05/2014
JPMX J.P. MORGAN SECURITIES LLC 113,052,036 3.6% 422,060 2.6% 267.9 06/05/2014
ITGP ITG INC. 106,841,795 3.4% 415,319 2.6% 257.3 06/05/2014
IEXG IEX SERVICES LLC 101,722,565 3.3% 304,784 1.9% 333.8 06/05/2014
BIDS BIDS TRADING L.P. 96,849,500 3.1% 221,827 1.4% 436.6 06/05/2014
KCGB KCG AMERICAS LLC 65,498,506 2.1% 574,660 3.5% 114.0 06/05/2014
ICBX INSTINET, LLC 64,843,400 2.1% 269,894 1.7% 240.3 06/05/2014
EBXL LEVEL ATS 60,250,900 1.9% 378,885 2.3% 159.0 06/05/2014
CXCX CITIGROUP GLOBAL MARKETS INC. 57,960,326 1.9% 300,479 1.9% 192.9 06/05/2014
DLTA DEALERWEB INC. 55,129,108 1.8% 103 0.0% 535,234.1 06/02/2014
XSTM NATIONAL FINANCIAL SERVICES LLC 42,356,635 1.4% 113,495 0.7% 373.2 06/05/2014
LTPL CREDIT SUISSE SECURITIES (USA) LLC 34,167,610 1.1% 287,279 1.8% 118.9 06/05/2014
IATS INTERACTIVE BROKERS LLC 33,835,637 1.1% 97,090 0.6% 348.5 06/05/2014
LQNT LIQUIDNET, INC. 33,593,400 1.1% 811 0.0% 41,422.2 06/02/2014
APOG CITADEL SECURITIES LLC 30,638,504 1.0% 180,977 1.1% 169.3 06/05/2014
NYFX CONVERGEX EXECUTION SOLUTIONS LLC 26,367,524 0.8% 60,292 0.4% 437.3 06/05/2014
MSTX MORGAN STANLEY & CO. LLC 23,245,500 0.7% 141,446 0.9% 164.3 06/05/2014
PULX STATE STREET GLOBAL MARKETS, LLC 19,573,064 0.6% 1,743 0.0% 11,229.5 06/02/2014
VRTX CONVERGEX EXECUTION SOLUTIONS LLC 14,949,562 0.5% 69,232 0.4% 215.9 06/05/2014
PDQM PDQ ATS, INC. 14,866,289 0.5% 79,138 0.5% 187.9 06/05/2014
LQFI CITIGROUP GLOBAL MARKETS INC. 13,779,198 0.4% 242 0.0% 56,938.8 06/02/2014
INCA INSTINET, LLC 13,059,700 0.4% 16,985 0.1% 768.9 06/05/2014
WELX WELLS FARGO SECURITIES, LLC 11,996,652 0.4% 68,802 0.4% 174.4 06/05/2014
LQNA LIQUIDNET, INC. 9,010,800 0.3% 3,586 0.0% 2,512.8 06/02/2014
BOOK BLOOMBERG TRADEBOOK LLC 8,655,811 0.3% 39,562 0.2% 218.8 06/05/2014
MLVX MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 5,508,700 0.2% 13,224 0.1% 416.6 06/05/2014
AQUA AQUA SECURITIES L.P. 5,072,599 0.2% 305 0.0% 16,631.5 06/02/2014
LEHM BARCLAYS CAPITAL INC. 2,913,308 0.1% 20 0.0% 145,665.4 06/03/2014
RCSL RIVER CROSS SECURITES, LLLP 1,330,693 0.0% 7,266 0.0% 183.1 06/05/2014
MSRP MORGAN STANLEY & CO. LLC 1,115,700 0.0% 2,112 0.0% 528.3 06/02/2014
FNBR FOLIOFN INVESTMENTS, INC. 379,218 0.0% 11,191 0.1% 33.9 06/05/2014
WDNX WEEDEN & CO.L.P. 308,590 0.0% 514 0.0% 600.4 06/02/2014
CURX CURIAN CLEARING, LLC 184,094 0.0% 3,787 0.0% 48.6 06/02/2014
JEFX JEFFERIES EXECUTION SERVICES, INC. 6,700 0.0% 56 0.0% 119.6 06/02/2014







Total 3,119,466,151 100.0% 16,221,277 100.0% 192.3