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Method and apparatus for high-speed processing of financial market depth data

DC
  • US 10,062,115 B2
  • Filed: 06/26/2014
  • Issued: 08/28/2018
  • Est. Priority Date: 12/15/2008
  • Status: Active Grant
First Claim
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1. A method for applying specific computer technology to reduce latency and increase throughput with respect to streaming data enrichment, the method comprising:

  • streaming data representative of a plurality of limit order events pertaining to a plurality of financial instruments into a coprocessor, the coprocessor including an order engine and a price engine;

    the order engine accessing a plurality of limit order records based on the streaming limit order event data;

    the order engine generating updated limit order data based on the accessed limit order records and the streaming limit order event data;

    the price engine accessing a plurality of price point records based on the streaming limit order event data;

    the price engine generating updated price point data based on the accessed price point records and the streaming limit order event data; and

    the coprocessor generating a stream of enriched limit order events, wherein the enriched limit order events are enriched with the updated limit order and price point data; and

    wherein the order engine and the price engine perform their steps in parallel with each other as the limit order event data streams through the coprocessor.

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