STAC Report: CME tick-to-trade with Exegy Xero FPGA card

Max latency of 0.789 microseconds from start of market data message to start of order frame

16 October 2019

STAC recently performed tick-to-trade tests on an Exegy FPGA card using an updated version of STAC-T1.EMINI benchmarks. The STAC Report is available here.

STAC-T1.EMINI uses network timestamping to measure the tick-to-trade latency of any trading solution capable of consuming recorded market data for CME E-mini futures and sending orders to simulated exchange gateways using the FIX 4.2 protocol. STAC-T1.EMINI requires the SUT to ingest and interpret market data ("ticks"), and create and send execution messages such as orders and cancellations (loosely, "trades"), while minimizing the trading logic in between. STAC-T1.EMINI indicates how much of a trading firm's latency budget a given solution will require in order to process market data and send orders.

This project used a version of STAC-T1.EMINI (labeled version B) updated to use the latest CME market data protocol, with data from a recent quadruple witching day. This makes the results relevant to current markets but means the results cannot be fairly compared to previous STAC-T1. EMINI results. In version B, we also report more latency metrics than the single latency metric from STAC-T1.EMINI.v0.5.

The stack under test consisted of Exegy Xero 1.0.3 for CME Tick-to-Trade Execution (an FPGA card) in a Supermicro server. All logic to consume market data, decide whether to send an order, and send orders ran within the FPGA. We used a Corvil CNE-6550 appliance for network timestamping and capture.

At both 1x and 8x market rate, the latency from the start of a market data message to the start of its corresponding order frame (STAC-T1.EMINI.vB.1x.SOM-to-SOF) was:

• 0.552 microseconds (mean)
• 0.609 microseconds (99th percentile)
• 0.789 microseconds (MAX)
• 0.011 microseconds (standard deviation)

For details, please see the report at the link above. Firms with subscriptions to the Trade Flow STAC Track also have access to the test tools used in this project and the micro-detailed configuration information for the solution. To learn about subscription options, please contact us or take a minute to learn about subscription options.