I am working on a 5-part series for how to turn your existing Fpga Board into an FPGA Accelerated Network card, or into a ‘Smart-NIC’ that will parse and normalize multiple Market Data Feeds and maintain an order book.
Note: Part 2 is available now, but it includes all the code/IP for Part 1, I just did not get around to documenting part 1. I will make some nice documentation and test simulations for Part 1, and then I will get to Part 4.
Here is a High-Level Diagram of the entire system:
- Part 1: Parse UDP/IP Data
- Part 2: Parse BATS (PITCH) Messages
- Part 3: Parse Nasdaq ITCH Messages
- Part 4: Maintain an OrderBook for a Single Security
- Part 5: Watch OrderBook for an Event