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Other Projects
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Although our current focus is on delivering data from market feeds to trading applications, our technology has been proved in many other areas, both within capital markets as well as other industries such as oil, gas and the life sciences.
Here we describe some of the projects and areas where we believe Celoxica can make a difference to trading performance in the financial markets.
Electronic Communications Networks (ECN’s) & Exchanges
Exchanges and other market data providers need to constantly monitor their networks in order to guarantee quality of service to their customers. This involves being able to capture, decompress and parse every tick update at the highest possible data rates. High performance servers alone cannot supply the required level of performance, leading a major US Stock Exchange to deploy Celoxica's technology at multiple sites.
- Key requirement: never miss a message
- Existing software unable to keep up
- Parses FAST encoded OPRA messages over UDP
- Wire speed by design – up to 5.3M FAST encoded messages per second
- Minimal server loading
- Scalable design
Monte Carlo pricing
Monte Carlo methods can be used to calculate the value of complex financial instruments by evaluating millions of possible evolutions of the market over time. Celoxica's technologies have been successfully applied to this highly compute intensive problem.
European option pricing
- Standard financial benchmark, part of an evaluation by a tier 1 UK bank
- Achieved 15x speed-up over a existing server at full precision
- Outperformed GPU and Cell implementations by a clear margin
- Results published at FPL 2007
CDO pricing
- Collateral Debt Obligation pricing is of critical importance during credit crises
- Part of an evaluation by a tier 1 US bank
- Achieved 28x speed-up over existing server at full precision
Asian Basket option pricing
- Implemented by a customer at a tier 1 US bank
- Achieved 25-30x speed-up over existing server
