Back Testing of HFT Strategies with Xcelerit and GPUs

July 26th, 2013

Algorithmic trading has become ever more popular in recent years – accounting for approximately half of all European and American stock trades placed in 2012. The trading strategies need to be back-tested regularly using historical market data for calibration and to check the expected return and risk. This is a computationally demanding process that can take hours to complete. However, back-testing the strategies frequently intra-day can significantly increase the profits for the trading institution.

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Acceleration of iterative Navier-Stokes solvers on graphics processing units

July 14th, 2013

Abstract:

While new power-efficient computer architectures exhibit spectacular theoretical peak performance, they require specific conditions to operate efficiently, which makes porting complex algorithms a challenge. Here, we report results of the semi-implicit method for pressure linked equations (SIMPLE) and the pressure implicit with operator splitting (PISO) methods implemented on the graphics processing unit (GPU). We examine the advantages and disadvantages of the full porting over a partial acceleration of these algorithms run on unstructured meshes. We found that the full-port strategy requires adjusting the internal data structures to the new hardware and proposed a convenient format for storing internal data structures on GPUs. Our implementation is validated on standard steady and unsteady problems and its computational efficiency is checked by comparing its results and run times with those of some standard software (OpenFOAM) run on central processing unit (CPU). The results show that a server-class GPU outperforms a server-class dual-socket multi-core CPU system running essentially the same algorithm by up to a factor of 4.

See also supplementary materials and the follow up at http://vratis.com/blog/?p=7.

(Tadeusz Tomczak, Katarzyna Zadarnowska, Zbigniew Koza, Maciej Matyka and Łukasz Mirosław: “Acceleration of iterative Navier-Stokes solvers on graphics processing units”, International Journal of Computational Fluid Dynamics, accepted, July 2013. [DOI])

Acceleware 4 Day CUDA Course – San Jose

May 5th, 2013

Developed in partnership with NVIDIA, this hands-on four day course will teach students how to write and optimize applications that fully leverage the multi-core processing capabilities of the GPU. Taught by Acceleware developers who bring real world experience to the class room, students will benefit from:

  • Hands-on exercises and progressive lectures
  • Individual laptops equipped with NVIDIA GPUs for student use
  • Small class sizes to maximize learning

July 29 – August 1, 2013, San Jose, CA, USA. More information: http://www.acceleware.com/training/913

Fast GPU Debayer Software

March 13th, 2013

The GPU Debayer software developed by Fastvideo can be used for demosaicing of raw 8-bit Bayer images to full-color 24-bit RGB format. The application employs the HQLI and DFPD algorithms and is tuned for NVIDIA GPUs, which results in very fast conversion, e.g., only 1.25 ms for Full HD image demosaicing on GeForce GTX 580. The software is freely available.

Amdahl Software announces the general availability of OpenCL CodeBench

February 7th, 2013

From a recent press release:

Amdahl Software, a leading supplier of development tools for multi-core software, after extensive beta testing by evaluators over a dozen countries and numerous end-user application markets, today announced the production release of OpenCL CodeBench. OpenCL CodeBench is an OpenCL Code Creation tool. It simplifies parallel software development, enabling developers to rapidly generate and optimize OpenCL applications. Engineering productivity is increased through the automation of overhead tasks. The tools suite enables engineers to work at higher levels of abstraction, accelerating the code development process. OpenCL CodeBench benefits both expert and novice engineers through a choice of command line or guided, wizard-driven development methodologies. Close cooperation with IP, SOC and platform vendors will enable future releases of OpenCL CodeBench to more tightly optimize software for specific end user platforms and development environments.

OpenCL CodeBench is available for trial or purchase. For additional information, please visit www.amdahlsoftware.com.

Parallel Computing Training Dates from AccelerEyes

January 29th, 2013

AccelerEyes has released dates for their upcoming CUDA and OpenCL training courses.

CUDA

OpenCL

More information can be found on the courses’ webpages.

Acceleware parallel programming courses

January 25th, 2013

Acceleware has recently announced four courses on parallel programming:

More information is available on the courses’ webpages.

MicroCFD now runs on CUDA enabled NVIDIA GPUs

October 11th, 2012

The MicroCFD Virtual Wind Tunnel, Educational & Professional Edition, has recently been upgraded. The new version (1.8) supports multi-core CPUs and CUDA enabled GPUs and runs
significantly faster than the previous single-processor version. The results of a benchmark test on a system with an Intel quad-core CPU and an NVIDIA 96-core GPU show that an unsteady 2D or axis-symmetric compressible flow can now be run at a resolution of one million cells (Pro Edition) within a few minutes. A 3D version is currently under development and is expected to be released in 2014.

Accelerating CFD using OpenFOAM with GPUs

September 23rd, 2012

The OpenFOAM CFD Toolbox is a free, open source CFD software package produced by OpenCFD Ltd. Its user base represents a wide range of engineering and science disciplines in both commercial and academic organizations. OpenFOAM has an extensive range of features to solve a wide range of fluid flows and physics phenomenon. OpenFOAM provides tools for all three stages of CFD, preprocessing, solvers, and post processing. Almost all are capable of being run in parallel as standard making it an important resource for a wide range of scientists and engineers using HPC for CFD.

General-purpose Graphics Processing Unit (GPU) technology is increasingly being used to accelerate compute-intensive HPC applications across various disciplines in the HPC community. OpenFOAM CFD simulations can take a significant amount of time and are computationally intensive. Comparing various alternatives for enabling faster research and discovery using CFD is of key importance. SpeedIT libraries from Vratis provide GPU-accelerated iterative solvers that replace the iterative solvers in OpenFOAM.

In order to investigate the GPU-acceleration of OpenFOAM, we simulate the three dimensional lid-driven cavity problem based on the tutorial provided with OpenFOAM. The 3D lid-driven cavity problem is an incompressible flow problem solved using OpenFOAM icoFoam solver. The majority of the computationally intensive portion of the solver is the pressure equation. In the case of acceleration, only the pressure calculation is offloaded to the GPUs. On the CPUs, the PCG solver with DIC preconditioner is used. In the GPU-accelerated case, the SpeedIT 2.1 algebraic multigrid precoditioner with smoothed aggregation (AMG) in combination with the SpeedIT Plugin to OpenFOAM is used.

Acceleware OpenCL, CUDA and AMP training

August 9th, 2012

The fall schedule for Acceleware’s training courses is now available.

  • OpenCL: August 21-24, 2012, Houston, TX
  • CUDA: October 2-5, 2012, San Jose, CA
  • OpenCL: October 16-19, 2012, Calgary, AB
  • CUDA: November 6-9, 2012, Houston, TX
  • CUDA: December 4-7, 2012, New York, NY – Finance Focus
  • AMP: December 11-14, 2012, Chicago, IL

More information: http://www.acceleware.com/training

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