MBOCHIP

SiliconBharat

An FPGA-based solution for ultra-low latency trading in NSE markets, accessible through two user-friendly C++ APIs.

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Decodes MTBT protocol for all four segments: capital market, futures and options, currency derivatives and commodities derivatives.
Order book building in FPGA for Futures and Options segment, supporting up to 256 symbols per card.
Delivers MBP book from MBO book, with a configurable number of price levels.
Filtering in FPGA can be enabled for delivering only updates on top price levels.
Generates pre-matched MBP book in FPGA from aggressor order (cross orders scenarios).

MBOCHIP provides a complete FPGA Development Kit (FDK) for developing the client's triggers in hardware logic for NSE, compatible with MTBT and trimmed NNF protocols. The user can implement the trigger rules in RTL logic and synthesize and implement the FPGA design using MBOCHIP IPs to deal with message parsing, networking including TCP stack, preloaded messages, and session control. The FDK also provides a simple C++ API integrated with an order routing API, allowing users to send orders in the same session from both triggers or software and interact with the trigger logic.
Triggers can use input signals from market data or order entry messages, book or even more complex calculations (e.g: midprice variation, EMA, index price calculation from underlyings' books)
Optionally, we can create custom triggers logic and deliver the synthesized firmware if the user wants to avoid implementing it in RTL. With this approach, we can provide an easy-to-use and highly optimized implementation. Our specialized team tests the triggers to guarantee proper working.

Predefined triggers we already offer:
- ORDER MASS CANCEL: sends mass cancel when it detects price variation over a threshold.
- PARTIALLY FILLED AGRESSOR: sends order when aggressor order is partially filled, leaving quantity in book.
- HEDGE ORDERS: sends new order when specific order id is partially or fully executed.
- BOOK MIDPRICE VARIATION sends new order when midprice changes.
- TRADE DEPTH TRIGGER: sends an order based on the number of price levels traded by aggressor order.

Packets are assembled in FPGA (including sequence numbers, timestamps and checksums), allowing the trigger to fire messages in any condition. There is no need to invalidate preloaded packets after one message is sent. This approach also allows the trigger to change message fields based on incoming event information (e.g., send a message with a price based on a new top of book).
Supports chains of messages for multi-leg strategies. In a single event, the FPGA sends a burst of preloaded messages (for the same or different sessions) in a predefined order.
Supports 32 sessions per card.
Accurate timestamping for all messages and trigger notifications.
Risk control in FPGA: NSE mandatory pre-trade risk rules plus client custom rules.