Exegy Market Data Blog

Hardware Acceleration- Five Years of Being First

Exegy is just celebrating the fifth anniversary of signing its first hardware accelerated ticker plant customer in 2006. It takes the perspective of several years to fully appreciate how far ahead Exegy was- especially now when the mention of microseconds, low latency and FPGAs is commonplace.  Here’s my take on how Exegy came to be so far ahead.

At a base level, it seemed obvious to the technologically gifted founders of Exegy that parallel processing of massive amounts of data would be useful in all sorts of applications in the information age. They had this realization in the late 1990s and formed the company in 2003.

In retrospect, it was exceptional good fortune that one of their doctoral students at Washington University St Louis worked in the market data industry. This personal connection led to the realization that there was a strong business case in the world of market data.

Late in 2005, Exegy began hiring engineers with years of experience in market data. As soon as the summer of 2006, Exegy was able to demonstrate the world’s first FPGA based ticker plant.

I joined later in 2006, already aware that they were doing something special at Exegy. Having watched market data rates climb after the decimalization of US equity markets in 2000, I knew that there was a dragon that needed slaying. It was clear that market data rates would skyrocket and that conventional software based systems would not be able to handle the loads economically. It was also significant that Exegy already possessed significant patents regarding hardware acceleration in general.  Indeed, Exegy now has a portfolio of fifteen issued patents and twenty-three in process. 

But in 2006 and 2007 it wasn’t obvious to direct feed recipients why they should consider an unconventional computer system sold by a little technology firm from Missouri. In fact, I distinctly recall describing many times over exactly what an FPGA is and how parallel programming works while pointing to statistics from the Financial Information Forum illustrating the inexorable rise of market data to a lot of people on Wall Street and in London. But when markets were only hitting around 150,000 messages per second on a busy day, the fact that the Exegy system could handle 1 million messages per second seemed immaterial and quite academic.

In fact, as everyone in the industry now knows, the direct feed boom would take off very fast in the US and globally.  On August 4th 2011, the markets hit well over five million messages per second during the latest financial crisis.  The volumes are immense and it is now reassuring to market data professionals to see the peaks publicly recorded in realtime by one single Exegy Ticker Plant as on www.marketdatapeaks.com.  I wonder where we will be in another five years!