High speed processing of financial information using FPGA devices
DCFirst Claim
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1. A method comprising:
- a ticker plant maintaining a plurality of financial instrument order books in a memory, each financial instrument order book corresponding to a financial instrument and comprising data representative of a plurality of bids and offers for the corresponding financial instrument, the data comprising a price field for the bids and offers, wherein the ticker plant includes a reconfigurable logic device and a processor in cooperation with the reconfigurable logic device, wherein the reconfigurable logic device includes firmware logic deployed thereon;
the processor executing an operating system that includes a user space for a user mode and a kernel space for a kernel mode, wherein the executing step comprises;
the processor receiving a financial market data feed through a network protocol stack, wherein the financial market data feed comprises a plurality of streaming financial market data order messages from an exchange, and wherein the streaming messages within the feed comprise financial market data that represent a plurality of offers to buy and sell a plurality of financial instruments;
the processor normalizing the financial market data;
the processor using shared memory that is mapped into the kernel space and the user space to store the normalized financial market data; and
the processor facilitating DMA transfers of the normalized financial market data from the shared memory to the reconfigurable logic device;
the reconfigurable logic device receiving financial market data from the shared memory via the DMA transfers;
the firmware logic updating the financial instrument order books based on the received financial market data;
the firmware logic detecting that a generated update for a financial instrument order book causes a best bid or offer price for the financial instrument corresponding to that financial instrument order book to change to a new value; and
in response to the detecting, the firmware logic synthesizing a quote for that financial instrument, the synthesized quote comprising the new value for that financial instrument'"'"'s best bid or offer price.
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Abstract
A high speed apparatus and method for processing financial instrument order books are disclosed. With respect to an exemplary embodiment, a reconfigurable logic device is employed to synthesize quote events associated with a plurality of financial instruments from a financial market data feed.
564 Citations
16 Claims
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1. A method comprising:
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a ticker plant maintaining a plurality of financial instrument order books in a memory, each financial instrument order book corresponding to a financial instrument and comprising data representative of a plurality of bids and offers for the corresponding financial instrument, the data comprising a price field for the bids and offers, wherein the ticker plant includes a reconfigurable logic device and a processor in cooperation with the reconfigurable logic device, wherein the reconfigurable logic device includes firmware logic deployed thereon; the processor executing an operating system that includes a user space for a user mode and a kernel space for a kernel mode, wherein the executing step comprises; the processor receiving a financial market data feed through a network protocol stack, wherein the financial market data feed comprises a plurality of streaming financial market data order messages from an exchange, and wherein the streaming messages within the feed comprise financial market data that represent a plurality of offers to buy and sell a plurality of financial instruments; the processor normalizing the financial market data; the processor using shared memory that is mapped into the kernel space and the user space to store the normalized financial market data; and the processor facilitating DMA transfers of the normalized financial market data from the shared memory to the reconfigurable logic device; the reconfigurable logic device receiving financial market data from the shared memory via the DMA transfers; the firmware logic updating the financial instrument order books based on the received financial market data; the firmware logic detecting that a generated update for a financial instrument order book causes a best bid or offer price for the financial instrument corresponding to that financial instrument order book to change to a new value; and in response to the detecting, the firmware logic synthesizing a quote for that financial instrument, the synthesized quote comprising the new value for that financial instrument'"'"'s best bid or offer price. - View Dependent Claims (2, 6, 7, 8, 9, 10, 11)
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3. An apparatus comprising:
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a ticker plant, the ticker plant comprising a memory, a processor, and a reconfigurable logic device, the reconfigurable logic device having firmware logic deployed thereon; wherein the ticker plant is configured to maintain a plurality of financial instrument order books in the memory, each financial instrument order book corresponding to a financial instrument and comprising data representative of a plurality of bids and offers for the corresponding financial instrument, the data comprising a price field for the bids and offer; wherein the processor is configured to (1) execute an operating system that includes a user space for a user mode and a kernel space for a kernel mode, (2) receive a financial market data feed through a network protocol stack, wherein the financial market data feed comprises a plurality of streaming financial market data order messages from an exchange, and wherein the streaming messages within the feed comprise financial market data that represent a plurality of offers to buy and sell a plurality of financial instruments, (3) normalize the financial market data, (4) use shared memory that is mapped into the kernel space and the user space to store the normalized financial market data, and (5) facilitate DMA transfers of the normalized financial market data from the shared memory to the reconfigurable logic device; wherein the reconfigurable logic device is configured to receive financial market data from the shared memory via the DMA transfers; and wherein the firmware logic is configured to (1) process the normalized financial market data, (2) generate updates to the financial instrument order books based on the processing operation, (3) detect that a generated update for a financial instrument order book causes a best bid or offer price for the financial instrument corresponding to that financial instrument order book to change to a new value, (4) in response to the detection, synthesize a quote for that financial instrument, the synthesized quote comprising the new value for that financial instrument'"'"'s best bid or offer price. - View Dependent Claims (4, 5, 12, 13, 14, 15, 16)
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Specification