Multicast fairness in high frequency trading environments

In High Frequency Trading (HFT) environments, market data for stock prices, trading, and investments are often distributed using multicast protocols where one source sends data to multiple receivers. 

HFT customers demand real-time and fast connectivity to the exchange. All traders need to receive the data at the same time to execute orders with equal opportunity. 

The exchange distributes market data to each trader, and the assumption is that each trader receives data at the same time. However, internal factors such as network port placements and packet replication logic, and external factors like varying network paths, distinct types of SFPs, and cable type can lead to disparity in data arrival times, ultimately leading to unfair advantages. 

In ASIC-based switches, replication of packets is done serially to the ports causing delay. Each network hop could introduce delay in the network path, leading to delayed market data to the traders. 

So, why is this happening in ASIC? Packets are stored in multicast buffer in the ASIC. If multiple packets are processed, all are stored in the same buffer. Packets are replicated by reading packets in the same multicast buffer. After the last port sends out packet, it is deleted from buffer. 

The Solution 

In a FPGA-based network switch, multicast replication is in parallel. All port members of the multicast group send packets at the same time. 

With Cisco FPGA-based network switches, distribution is happening with minimal delay. Each network node treats ports in the same fashion, so even with multiple hops in the network, each trader will receive market data at the same time, driving multicast fairness.  

Multicast fairness with Nexus 3550-T 

To achieve multicast fairness, you need an optimized network infrastructure with high-performance, low latency switches with multicast capabilities. 

In Cisco NX-OS Release 10.5(2)F, the multicast fairness tuning feature allows users to achieve latency less than 250ps between the frames coming out of different ports of N3550-T going to trading servers. Starting from Cisco NX-OS Release 10.5.2(F), the multicast fairness feature for 3550-T switches allows you to tune the egressing multicast traffic by configuring the equalization delay for specific ports. Thus, this feature ensures that the egressing traffic reaches its destination at almost the same time.

With these new features, traders within HFT environments can rely on timely delivery of data and access to the exchange.  

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