Two Sigma Innovation & Technology Culture

Two Sigma invests in advanced computing infrastructure to improve the speed, accuracy and scalability of its investment strategies. By combining large-scale data analysis, cloud computing and specialized hardware such as field-programmable gate arrays (FPGAs), engineering teams can process vast amounts of information while executing trades with extremely low latency. These capabilities give employees opportunities to solve complex technical challenges, experiment with new investment ideas and develop sophisticated systems that support the company’s quantitative investment approach.

“We recently invested in our ability to run a nearly complete execution system on a single integrated circuit, a field-programmable gate array. We separated our more complex and time-consuming investment logic behind investment decision-making from the execution logic that needs to run at very low latency. The investment logic processes hundreds of petabytes of historic data using thousands of computing engines every day. During the trading day, the execution system on the FPGA allows us to respond to new intraday data in less than a microsecond. A part of this change involved scaling up our more complex investment logic independently from our execution logic.

We designed our system to use different data analysis techniques on relatively large datasets and to run simulations that helped us assess the predictive power of the asset forecasts that the analyses produced. We leveraged both our internal infrastructure and the public cloud to run a large set of computations in parallel and consequently increased the rate at which we iterated through new investment ideas. When implementing the execution logic, we leveraged custom hardware in the form of FPGAs as these provided us with much lower latency than regular software running on CPUs had, especially during times of high data bursts.

We invested in creating rigorous tests to ensure accuracy of the functionality on the FPGAs. Over time, we have increased the sophistication of the logic on the FPGAs, and if we choose we can now connect our FPGA directly to an exchange to receive exchange data and to send the exchange our order instructions.”