Ullink Pitches HFT in a Box for Lowest Latency Trading

Trading software and connectivity specialist Ullink is working towards a late summer release of its "HFT in a Box" offering, which will combine a number of functions, including market data handlers, trading gateways, client algorithms, pre-trade risk controls and network connectivity, on to a single server, in order to minimise latency in the overall package.

HFT in a Box leverages what Mo Takhim, head of managed services at Ullink, describes as a "high performance customised computing server," which is based on Intel's multi-core and multi-socket Nehalem chip architecture. Specifically, Ullink is working with servers from HP and networking interfaces and switches from Solarflare Communications and Arista Networks.

Agilysys is providing integration and testing expertise. Initial performance testing of the package - which is being targeted at high frequency trading firms and prime brokers that are sensitive to latency arbitrage - is being conducted against the Bats Exchange, which Takhim says is open about its latencies and can provide latency measurement of its matching function at microsecond granularity.

In the future, connections to Direct Edge and to Nasdaq (using the Ouch protocol) will be introduced. Because all of the components of the system reside on one server - instead of a more traditional multi-server/networked approach - users can reduce latency by cutting out the overhead caused by the network connectivity.

Takhim suggests that a total round trip latency reduction of 200 to 250 microseconds might be the result, though that reduction "still needs to be proven." Typically, HFT in a Box would be installed at an exchange co-location centre, in racks provided and managed by Ullink, or in a customer's own racks. Co-location cuts out latency due to distance, which can be considerable, and makes the impact of latency reduction by using a single server more notable.

Among the components that make up HFT in a Box is the UL Iris pre-trade risk function, which is embedded in the UL Bridge market connectivity module. It offers such filtering as "fat finger" of trade entries, client trading authorisation, limits with respect to markets, and short selling compliance as mandated by the SEC.