Project

# Title Team Members TA Documents Sponsor
14 Hardware Accelerated High-Frequency trading system
 Anthony Yu
Kevin Lim
Richard Deng
 Mingjia Huo design_document2.pdf
design_document3.pdf
final_paper1.pdf
proposal1.pdf
# Hardware Accelerated High-Frequency trading system

Team Members:
- Richard Deng (ruichao4)
- Siyi Yu (siyiyu2)

# Problem

In the financial market today there is a lot of need to optimize the trading/execution latency to support automated quantitative trading systems. While most of the computer software run on generic operating systems and the CPU executing the logic has many parts of unnecessary instructions/procedures, the automated trading strategy can be highly optimized with hardware to achieve low latency and high frequency

# Solution

We plan to build a trading system that uses one PCB to connect to a fake exchange and get/send binary market data and use highly optimized FPGA to consume this market data and make decisions based on the data

# Solution Components

## Fake exchange
This will be a piece of software that simulates an exchange in real-time. This fake exchange will only have one security to trade and will be receiving three types of binary-encoded messages (add order, cancel order, update order) from the market participants using a certain protocol, building a full-depth limit orderbook based on the order received, automatically trade two orders when the bid side and ask side meet, and re-broadcasting the trade message with the other three client messages in binary encoded form following the same protocol. To test our strategy we will simulate the market data received from market participants, constantly adding limit ask/bid at the same price level in high frequency

## Networking Hardware
This will be a PCB with ESP8266 and other parts/ports to communicate with the fake exchange through the network. We plan to use UDP since it is what most exchanges will use. This part will be optimized to reduce the connectivity latency between the fake exchange and the trading system and feed the data to the FPGA.

## FPGA Trading Strategy
This will be an FPGA optimized for trading strategy, making decisions based on the binary data received from the Networking Hardware, sending the decision back to the networking PCB and which will send it back to the exchange. We plan to have two simple strategies:
1. High-frequency market-making: making a spread of $a ~ $b by sending limit bid at $a and limit ask at $b, adjust the spread based on Best Bid Offer (BBO) market data. This part is to test how fast our trading system can be adjusted based on real-time information changes.
2. High-filling rate limit order: send a limit bid order whenever there is a limit ask order at $a. This part is designed to test the latency of our trading system and is extremely useful in options trading where the bid-ask spread is very large and has a low order filling rate.

# Criterion For Success

We plan to test the latency and frequency after the project is finished. We will use another pure-software trading system running on a computer that has exactly the same strategy as the one using hardware, and we expect the highest possible frequency and the average latency of our hardware trading system when connecting and trading on our fake exchange to be significantly faster than purely software trading strategies.

Cloud-controlled quadcopter

Anuraag Vankayala, Amrutha Vasili

Cloud-controlled quadcopter

Featured Project

Idea:

To build a GPS-assisted, cloud-controlled quadcopter, for consumer-friendly aerial photography.

Design/Build:

We will be building a quad from the frame up. The four motors will each have electronic speed controllers,to balance and handle control inputs received from an 8-bit microcontroller(AP),required for its flight. The firmware will be tweaked slightly to allow flight modes that our project specifically requires. A companion computer such as the Erle Brain will be connected to the AP and to the cloud(EC2). We will build a codebase for the flight controller to navigate the quad. This would involve sending messages as per the MAVLink spec for sUAS between the companion computer and the AP to poll sensor data , voltage information , etc. The companion computer will also talk to the cloud via a UDP port to receive requests and process them via our code. Users make requests for media capture via a phone app that talks to the cloud via an internet connection.

Why is it worth doing:

There is currently no consumer-friendly solution that provides or lets anyone capture aerial photographs of them/their family/a nearby event via a simple tap on a phone. In fact, present day off-the-shelf alternatives offer relatively expensive solutions that require owning and carrying bulky equipment such as the quads/remotes. Our idea allows for safe and responsible use of drones as our proposed solution is autonomous, has several safety features, is context aware(terrain information , no fly zones , NOTAMs , etc.) and integrates with the federal airspace seamlessly.

End Product:

Quads that are ready for the connected world and are capable to fly autonomously, from the user standpoint, and can perform maneuvers safely with a very simplistic UI for the common user. Specifically, quads which are deployed on user's demand, without the hassle of ownership.

Similar products and comparison:

Current solutions include RTF (ready to fly) quads such as the DJI Phantom and the Kickstarter project, Lily,that are heavily user-dependent or user-centric.The Phantom requires you to carry a bulky remote with multiple antennas. Moreover,the flight radius could be reduced by interference from nearby conditions.Lily requires the user to carry a tracking device on them. You can not have Lily shoot a subject that is not you. Lily can have a maximum altitude of 15 m above you and that is below the tree line,prone to crashes.

Our solution differs in several ways.Our solution intends to be location and/or event-centric. We propose that the users need not own quads and user can capture a moment with a phone.As long as any of the users are in the service area and the weather conditions are permissible, safety and knowledge of controlling the quad are all abstracted. The only question left to the user is what should be in the picture at a given time.

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