Custom Framework for Run-Time Trading Strategies

Abstract

Abstract. A trading strategy is generally optimised for a given market regime. If it takes too long to switch from one trading strategy to another, then a sub-optimal trading strategy may be adopted. This paper proposes the first FPGA-based framework which supports multiple trend-following trading strategies to obtain accurate market characterisation for various financial market regimes. The framework contains a trading strategy kernel library covering a number of well-known trend-following strategies, such as "triple moving average". Three types of design are targeted: a static reconfiguration trading strategy (SRTS), a full reconfiguration trading strategy (FRTS), and a partial reconfiguration trading strategy (PRTS). Our approach is evaluated using both synthetic and historical market data. Compared to a fully optimised CPU implementation, the SRTS design achieves 11 times speedup, the FRTS design achieves 2 times speedup, while the PRTS design achieves 7 times speedup. The FRTS and PRTS designs also reduce the amount of resources used on chip by 29% and 15% respectively, when compared to the SRTS design.