Well, FIX Cancel messages, to be precise. A just-released white paper from Wall Street FPGA – a company whose focus is pretty self explanatory from its name – details how Field Programmable Gate Arrays (or FPGAs) can be used along with the open source QuickFIX engine to rapidly fire off cancel messages to matching engines.
Placing many orders – and canceling most – is an accepted (though controversial) part of high frequency trading. As well as supporting HFT strategies, the white paper suggests that its approach can also be used to quickly pull a trading firm out of the market at times of sudden volatility, such as last May’s ‘Flash Crash’.
The FIX Cancel prototype is just one example of how FPGAs might be applied to trading applications. Indeed, Wall Street FPGA suggests they might be used to create “the world’s fastest and most deterministic trading system.”
Among the technologies that Wall Street FPGA used to build its system is LabVIEW, an FPGA development system that provides a graphical interface for designing the logic that subsequently runs on the FPGA. Such an approach makes FPGA programming easier and cuts down on development time and debugging – an often-cited drawback of going the FPGA route. LabVIEW is a product of National Instruments, of Austin, TX. Just sayin’.