The new Haswell based Xeons and Trading

The new Xeon generation is out, based on the Hasell architecture. Intel is at it againWoon you will be able to buy them. Haswell level Xeons. One year, roughly, after the Haswell chips did hit the end user market, the high end server market is getting them. A good update, one year before the Broadwell chipset will shrink sizes to 14nm. An update that brings some significant changes with support for DDR4 ram and monster processors with up to 18 cores.

For a trader, though, the question is – are these processors worth it? Yes, they are better. Let us have a look at them from the perspective of an automated trading developer. Trading systems are special because they combine both, the need for high total processing capacity (in optimizations) with the need for the highest instruction throughput (on a limited number of cores, for trading).

Backtesting and Optimization

I am drooling. Seriously. 18 cores. 12 for getting a chip half as expensive. A better IPC (Instruction Per cYCLE) number which means a cycle does more for every tick (of the frequency). A slightly higher frequency. Those are beasts. Trade-Robots runs backtests mostly on 3 machines with an AMD desktop processor with 8 cores each, and a blade center with 16 computers, 8 cores each.

The 3 AMD will likely get a replacement next year with one machine…. That has 2 processors, each with 12 cores. That is double the number of threads (48 with hyperthreading) with 2 instead of 3 processors. And each thread will get more done. An expensive update – yes. The price is high. But the new throughput means that this machine likely can replace a good part of the blade centre on top of it.

On the database side, the new Xeons are terrific – not only because of the high total throughput (especially if you use them for development, where developer licenses handle the high costs for the core count) but also because they go up to more than 1tb of memory in theory and the new Intel platform allows the use of 4 x 10gb adapter if the need arises. Yes, this is over the top – and the price of a quad socket system likely will blow the accounts of all but the biggest traders. But it means that money, not the technological capabilities, are the limiting factor. I prefer this a lot towards having money but no platform that can handle my requirements available.

So yes, for a strategy developer this is a great update. Analysis of strategies costs a ton of processing power, and the new Haswell based Xeons do a great job here to provide a lot more processing power for a socket. Strategy Developers be happy.

Low Latency Trading

Obviously trading strategies do not need processing power so much – they need speed. A trading computer is not really running a lot of CPU most of the time. But it needs to react fast for every incoming tick.

A faster processor and RAM, though, will only make a difference – even if – when you run a latency optimized setup, at least in the same city but more likely you need to be collocated at the exchange to feel a difference. But generally – the advantage will be minimal and once you count in network latency – that is a lost game.

So, for real trading – these processors are nice (take an update when new hardware is due) but bring nothing on the table making them a “buy now”. They are great replacements for aging hardware, mostly also because they come with a good upgrade to remote management capabilities. But in terms of total processing power – sorry, our own AMD Phenom II based systems can handle the load comfortably. Notable exception: Virtual machines. A provider of trading level virtual machines (like Speedy Trading Servers) can get a lot more mileage per rack unit (that is a height in a server rack) and provide a lot more and a lot more powerful trading virtual machines.

High Frequency Trading

That is a good question. Higher IPC. Higher memory. Higher frequency. That is a small advantage. But one that does count. Lower power consumption – this means better overclocking. SuperMicro has announced a board for this type of application. And yes, I HFT, where every microsecond counts and most of the win is directly related to being faster than all the other boxes in the room – the processors will sell. Fast. As another frantic upgrade cycle will begin. I doubt, somehow, that the processors used will be those with the highest core count and seriously would be lower core count processors.

As usual…

Intel brings a lot new to the new generation of processors, for a high price They come it a ton of side benefits – literally as a lot of the benefits are in new motherboards, the new RAM type etc. They are terrific, for a high price. Like most of the time, the upgrade is not worth it for a normal trader – for trading. This time, though, the update is simply staggering for any system developer. Add 2 high end processors – granted, the system will cost around 12000 USD – but you get 36 cores – 72 with hyperthreading active) and each of them totally blows up the last generation chips. Which did not come close in core count. Slam Dunk level advantage for anyone willing and able to pay for it.

AMD is left in the dust. They still are 1.5 generations behind with their silicon processing, and intel comes up with Broadwell in a year. Their old argument for the Opterons (more cores) is destroyed (AMD only ever went to 16, no hyperthreading).

And on the horizon is Broadwell. 14nm, coming in one year. Likely for some time the last process update (it as already late and though the new Intel roadmap goes down to 7nm that will likely take a longer time than the last steps), finally also bringing transactional memory updates (planned for this generation but broken due to a bug) and shared cache (good for trading – the on processor cache of a not-active core can be used by the neighbour cores).

At the end it is a numbers game, like trading. At NetTecture we are very much looking forward to put some of those new processors to work.