High Speed Processing of Financial Information Using FPGA Devices
First Claim
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1. A method for processing financial market data, the method comprising:
- streaming a financial market data feed through a reconfigurable logic device, the reconfigurable logic device having a resident firmware application module pipeline; and
performing with the firmware application module pipeline a plurality of different financial data processing operations on the streaming financial market data.
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Abstract
Methods and systems for processing financial market data using reconfigurable logic are disclosed. Various functional operations to be performed on the financial market data can be implemented in firmware pipelines to accelerate the speed of processing. Also, a combination of software logic and firmware logic can be used to efficiently control and manage the high speed flow of financial market data to and from the reconfigurable logic.
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Citations
107 Claims
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1. A method for processing financial market data, the method comprising:
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streaming a financial market data feed through a reconfigurable logic device, the reconfigurable logic device having a resident firmware application module pipeline; and performing with the firmware application module pipeline a plurality of different financial data processing operations on the streaming financial market data. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14)
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15. A device for processing a streaming financial market data feed, the device comprising:
a reconfigurable logic device having a firmware application module pipeline, the reconfigurable logic device being configured to receive the data feed and process the data feed through the firmware application module pipeline to perform a plurality of different financial data processing operations thereon. - View Dependent Claims (16, 17, 18, 19, 20, 21, 22, 23, 24, 25, 26)
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27. An apparatus for processing financial market data, the apparatus comprising:
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a reconfigurable logic device with firmware logic deployed thereon, the firmware logic being configured to perform a specified data processing operation on the financial market data; and a processor in communication with the reconfigurable logic device, the processor being programmed with software logic, the software logic being configured to (1) receive the financial market data as an input, and (2) manage a flow of the received financial market data into and out of the reconfigurable logic device. - View Dependent Claims (28, 29, 30, 31, 32, 33, 34, 35, 36)
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37. A method for processing financial market data, the method comprising:
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controlling with software logic a flow of financial market data from the software logic to and from firmware logic; and performing a specified financial data processing operation on financial market data with firmware logic in response to the software logic controlling step. - View Dependent Claims (38, 39)
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40. An apparatus for processing financial market data, the apparatus comprising:
a ticker plant configured to receive a stream of financial market data messages, the ticker plant comprising a processor and a reconfigurable logic device in communication with the processor, wherein the processor is configured to execute software logic, the software logic configured to manage a flow of the financial market data messages to the reconfigurable logic device, wherein the reconfigurable logic device is configured with firmware logic, the firmware logic configured to (1) receive the flow of financial market data messages directed thereto by the software logic, and (2) perform at least one financial data processing operation on the received flow to thereby generate a flow of firmware-processed financial market data. - View Dependent Claims (41, 42, 43)
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44. A method for processing financial market data, the method comprising:
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receiving a stream of financial market data messages from an external feed; executing software logic to manage a flow of the financial market data messages to a reconfigurable logic device, the reconfigurable logic device having firmware logic deployed thereon; performing with the firmware logic at least one financial data processing operation on the flow of financial market data messages to thereby generate a flow of firmware-processed financial market data. - View Dependent Claims (45, 46, 47)
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48. An apparatus for processing a stream of financial market data messages, the apparatus comprising:
a reconfigurable logic device configured with a plurality of firmware application modules (FAMs) arranged in a pipeline, the pipeline comprising;
(1) a message parsing FAM configured to receive and parse the financial market data messages, (2) a symbol mapping FAM in communication with the message parsing FAM, (3) a last value cache (LVC) updating FAM in communication with the symbol mapping FAM, (4) an interest and entitlement filtering FAM in communication with the LVC updating FAM, and (5) a message formatting FAM in communication with the interest and entitlement filtering FAM.- View Dependent Claims (49, 50, 51, 52)
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53. An apparatus for processing financial market data, the financial market data comprising a plurality of financial market symbols, each financial market symbol identifying a financial instrument, the apparatus comprising:
a reconfigurable logic device configured to (1) receive the financial market data, (2) process the received financial market data to determine the financial instrument symbols therein, (3) map each determined financial instrument symbol to a second financial instrument symbol that also identifies the same financial instrument. - View Dependent Claims (54, 55, 56, 57, 58, 59, 60, 61)
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62. An apparatus for processing a plurality of financial market data messages, each financial market data message comprising a country identifier and an exchange identifier, the apparatus comprising:
a reconfigurable logic device configured to (1) receive the financial market data messages, (2) process the received financial market data messages to determine the country identifiers and exchange identifiers therein, (3) map each message'"'"'s determined country identifier and exchange identifier to a global exchange identifier. - View Dependent Claims (63, 64)
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65. A method for processing financial market data, the financial market data comprising a plurality of financial market symbols, each financial market symbol identifying a financial instrument, the method comprising:
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receiving the financial market data in firmware logic deployed on a reconfigurable logic device; processing the received financial market data with the firmware logic to determine the financial instrument symbols therein, using the firmware logic, mapping each determined financial instrument symbol to a second financial instrument symbol that also identifies the same financial instrument. - View Dependent Claims (66)
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67. An apparatus for processing a plurality of financial market data messages, each financial market data message comprising financial market data and being associated with a financial instrument, the apparatus comprising:
a reconfigurable logic device configured to (1) receive the financial market data messages, and (2) process each received financial market data message to update a stored record for the financial instrument associated with that message. - View Dependent Claims (68, 69, 70, 71, 72, 73, 74, 75, 76, 77, 78, 79, 80, 81, 82, 83, 84)
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85. A method for processing a plurality of financial market data messages, each financial market data message comprising financial market data and being associated with a financial instrument, the method comprising:
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retrieving a record for a financial instrument associated with a financial market data message; performing at least one financial data processing operation on at least a portion of the financial market data message with reconfigurable logic; and updating the retrieved record in response to the performing step. - View Dependent Claims (86)
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87. An apparatus for processing a plurality of financial market data messages, each financial market data message comprising financial market data and being associated with a financial instrument, the apparatus comprising:
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a record memory configured to store a plurality of records for a plurality of financial instruments; a reconfigurable logic device in communication with the record memory, wherein the reconfigurable logic device is configured to (1) receive the financial market data messages, (2) retrieve from the record memory the records for the messages'"'"' associated financial instruments, (3) process each received financial market data message to update the record for the financial instrument associated with that message, and wherein each record comprises an interest list that identifies whether any of a plurality of entities have expressed an interest in being notified of data relating to the updated record. - View Dependent Claims (88)
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89. An apparatus for processing financial market data messages, each financial market data message comprising financial market data and being associated with an interest list and entitlement list, each interest list identifying whether any of a plurality of entities have expressed an interest in being notified of data relating to its associated message, each entitlement list identifying whether any of a plurality of entities are entitled to be notified of data relating to its associated message, the apparatus comprising:
a reconfigurable logic device configured to (1) receive a plurality of the messages, and (2) perform interest and entitlement filtering on the received messages in response to each message'"'"'s associated interest list and entitlement list. - View Dependent Claims (90, 91, 92, 93, 94, 95, 96, 97, 98)
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99. A method for processing financial market data messages, each financial market data message comprising financial market data and being associated with an interest list and entitlement list, each interest list identifying whether any of a plurality of entities have expressed an interest in being notified of data relating to its associated message, each entitlement list identifying whether any of a plurality of entities are entitled to be notified of data relating to its associated message, the method comprising:
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receiving a plurality of the messages; and performing interest and entitlement filtering with reconfigurable logic on the received messages in response to each message'"'"'s associated interest list and entitlement list.
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100. An apparatus for processing financial market data messages, each financial market data message comprising a plurality of data fields, each data field having a data value, the apparatus comprising:
a reconfigurable logic device configured to (1) receive the financial market data messages, and (2) parse each received financial market data message into its constituent data fields. - View Dependent Claims (101, 102, 103)
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104. An apparatus for processing financial market data, the financial market data comprising a plurality of data fields, each data field having a data value, the apparatus comprising:
a reconfigurable logic device configured to generate a plurality of financial market data messages from a plurality of the data fields, each generated message having a specified format. - View Dependent Claims (105, 106, 107)
Specification