Algo-Logic’s Market Data Filter (MDF) application deterministically filters market data to eliminate CPU queuing delays that traders encounter during micro-bursts and peak market activity. The MDF application receives UDP/IP market data from multicast groups and outputs UDP/IP packets containing only the relevant fields of interest parsed from the filtered messages.

The MDF comes with a Graphical User Interface (GUI) to easily control key hardware parameters and chart data filtered by the FPGA. The Application Programming Interface (API) can be customized to augment existing Linux-based software trading solutions with FPGA hardware. The MDF operates at full 10 Gbps line rate and incurs less than 20 nanoseconds (ns) of market data parsing and filtering latency, less than 450 ns of total packet processing latency, and less than 1 µsec of pin-to-pin latency..

As shown in the video, complements of LNJ Media Productions, the MDF app runs on a Solarflare AOE card in a host running Linux Centos v6.4 receiving a NASDAQ ITCH 4.1 feed. While the hardware parses and filters the messages, the software dashboard displays price history of a dozen sample symbols in color-coded charts highlighting discovered market conditions and trading opportunities.

Read more in the PDF here.