Method and System for Low Latency Basket Calculation

• US 20090182683A1
• Filed: 01/11/2008
• Published: 07/16/2009
• Est. Priority Date: 01/11/2008
• Status: Active Grant

• Current Assignee: Exegy Incorporated
• Original Assignee: Exegy Incorporated
• Inventors: Brodie, Benjamin C., Thiel, Justin Ryan, McVicar, Nathaniel Sutton, Taylor, David E., Singla, Naveen, Indeck, Ronald S.
• Granted Patent: US 10,229,453 B2
• Time in Patent Office: Days
• US Class Current: 705/36.R
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A basket calculation engine is deployed to receive a stream of data and accelerate the computation of basket values based on that data. In a preferred embodiment, the basket calculation engine is used to process financial market data to compute the net asset values (NAVs) of financial instrument baskets. The basket calculation engine can be deployed on a coprocessor and can also be realized via a pipeline, the pipeline preferably comprising a basket association lookup module and a basket value updating module. The coprocessor is preferably a reconfigurable logic device such as a field programmable gate array (FPGA).

Claims

1. A method of processing data, the method comprising:

streaming data through a processor, the data comprising a message, the message corresponding to a value for an element;

retrieving stored data based on the message, the retrieved data corresponding to a basket, the basket having the element as a member; and

computing a net value for the basket based on the retrieved data and the message;

wherein the retrieving step and the computing step are performed by the processor as the data streams through the processor.

2. The method of claim 1 wherein the processor comprises a coprocessor.

3. The method of claim 2 wherein the data comprises financial market data, and wherein the element comprises a financial instrument.

4. The method of claim 3 further comprising performing the retrieving step and the computing step in a pipelined manner.

5. The method of claim 4 wherein the computed net value comprises a net asset value (NAV) for the basket.

6. The method of claim 5 wherein the message comprises price information about the financial instrument, and wherein the computing step comprises computing the NAV using a delta calculation approach that is based on a contribution of the financial instrument price information to the NAV.

7. The method of claim 6 wherein the retrieving step further comprises retrieving a previous value relating to the basket and wherein the NAV computing step comprises adding the contribution to the retrieved previous value to thereby compute the NAV.

8. The method of claim 7 wherein the previous value comprises a previous NAV for the basket.

9. The method of claim 7 wherein the previous value comprises S, wherein S represents a value corresponding to a previous NAV for the basket multiplied by a divisor value for the basket, and wherein the NAV computing step further comprises dividing the sum of the contribution and S by the divisor value.

10. The method of claim 6 wherein the NAV computing step comprises simultaneously computing a plurality of different NAVs for the basket, each of the NAVs corresponding to a different NAV type.

11. The method of claim 10 wherein the plurality of different NAV types comprise a bid NAV, an ask NAV, and a last NAV.

12. The method of claim 11 wherein the plurality of different NAV types further comprise a bid-tick NAV and an ask+tick NAV.

13. The method of claim 6 wherein the financial instrument is a member of a plurality of baskets, wherein the retrieved data corresponds to the baskets, and wherein the computing step comprises computing the NAV for each of the baskets.

14. The method of claim 13 wherein the computing step comprises computing the contribution to the NAV for each basket based on the financial instrument price information and a weight value assigned to the financial instrument for that basket, and wherein the retrieving step further comprises retrieving the weight values for the baskets.

15. The method of claim 14 wherein the retrieving step further comprises retrieving a basket identifier for each of the baskets, each basket identifier corresponding to a different one of the baskets and being associated with a different one of the weight values.

16. The method of claim 15 wherein the NAV computing step comprises calculating a price delta for the financial instrument, the method further comprising generating a plurality of delta events based on the retrieved data, each delta event comprising the calculated price delta, a retrieved basket identifier, and a retrieved weight value, and wherein the NAV computing step comprises computing the NAVs based on each delta event, and wherein the retrieving step, the generating step, and the NAV computing step are performed by the coprocessor in a pipelined manner as the financial market data streams through the coprocessor.

17. The method of claim 16 further comprising:

storing the basket identifiers and their associated weight values in a table as plurality of pairs.

18. The method of claim 17 wherein the storing step further comprises storing previous price information for the financial instrument in the table.

19. The method of claim 18 further comprising updating the previous price information in the table based on the message.

20. The method of claim 17 wherein the message comprises a financial instrument identifier for the financial instrument corresponding thereto, wherein the table comprises a first table, wherein the storing step further comprises storing a plurality of pointers in a second table, the pointers being indexed by a financial instrument identifier, and wherein the pairs in the first table are indexed by the pointers, and wherein the retrieving step further comprises (i) retrieving a pointer from the second table based on the message'"'"'s financial instrument identifier, and (ii) retrieving the pairs from the first table based on the retrieved pointer.

21. The method of claim 20 further comprising adding and deleting basket definitions within the tables in response to input from a client.

22. The method of claim 20 further comprising performing at least one of the group consisting of (i) adding a financial instrument to, (ii) modifying a weight for a financial instrument with respect to, and (iii) deleting a financial instrument from a basket by modifying the tables in response to input from a client.

23. The method of claim 13 wherein the message comprises a global exchange identifier, and wherein the retrieving step comprises retrieving data corresponding to a composite financial instrument and data corresponding to at least one regional financial instrument based on the global exchange identifier.

24. The method of claim 5 further comprising:

processing the NAV against a triggering condition to determine whether the NAV is to be reported to a client; and

generating a message for delivery to the client in response to a determination by the processing step that the NAV is to be reported to the client, the generated message comprising the NAV.

25. The method of claim 24 wherein the retrieving step, the computing step, and the processing step are performed by the coprocessor as the financial market data streams through the coprocessor.

26. The method of claim 25 further comprising performing the retrieving step, the computing step, and the processing step in a pipelined manner.

27. The method of claim 26 wherein the retrieving step, the computing step, the processing step, and the generating step are performed in a pipelined manner by the coprocessor as the financial market data streams through the coprocessor.

28. The method of claim 24 wherein the processing step comprises:

retrieving a reference value for the basket from a first table based on a basket identifier associated with the computed NAV;

determining a dissimilarity between the retrieved reference value and the computed NAV;

retrieving a trigger threshold value for the basket from a second table based on the basket identifier; and

comparing the dissimilarity with the retrieved trigger threshold value to thereby determine whether the NAV is to be reported to the client.

29. The method of claim 28 wherein the dissimilarity determining step comprises computing a difference between the retrieved reference value and the computed NAV.

30. The method of claim 24 further comprising defining a plurality of triggering conditions for a plurality of baskets in response to input from the client.

31. The method of claim 5 wherein the financial market data comprises a plurality of messages, the method further comprising:

filtering the messages prior to the retrieving step based on at least one filtering criterion such that the retrieving step is performed on the messages which pass the filtering step.

32. The method of claim 31 wherein the filtering step, the retrieving step, and the computing step are performed by the coprocessor as the financial market data streams through the coprocessor.

33. The method of claim 31 further comprising performing the filtering step, the retrieving step, and the computing step in a pipelined manner.

34. The method of claim 4 wherein the coprocessor comprises a reconfigurable logic device, and wherein the performing step comprises performing the retrieving step and the computing step with the reconfigurable logic device.

35. A system for processing data, the system comprising:

a processor configured to (i) receive a stream of data, the data comprising at least one message, the message corresponding to a value for an element, (ii) retrieve stored data based on the message, the retrieved data corresponding to a basket, the basket having the element as a member, and (iii) compute a net value for the basket based on the retrieved data and the message.

36. The system of claim 35 wherein the processor comprises a coprocessor.

37. The system of claim 36 wherein the processor further comprises a main processor in communication with the coprocessor, the processor being configured to deliver the stream of data to the coprocessor.

38. The system of claim 37 wherein the data comprises financial market data, and wherein the element comprises a financial instrument.

39. The system of claim 38 wherein the coprocessor comprises a basket association lookup module and an basket value updating module arranged in a pipelined manner, wherein the basket association lookup module is configured to retrieve the stored data based on the message, and wherein the basket value updating module is configured to compute the net value for the basket based on the retrieved data and the message.

40. The system of claim 39 wherein the computed net value comprises a net asset value (NAV) for the basket, wherein the message comprises price information about the financial instrument, and wherein the basket value updating module is further configured to compute the NAV using a delta calculation approach that is based on a contribution of the financial instrument price information to the NAV.

41. The system of claim 40 wherein the basket value updating module is further configured to simultaneously compute a plurality of different NAVs for the basket, each of the NAVs corresponding to a different NAV type.

42. The system of claim 40 wherein the financial instrument is a member of a plurality of baskets, wherein the retrieved data corresponds to the baskets, and wherein the basket value updating module is further configured to compute the NAV for each of the baskets.

43. The system of claim 42 wherein the basket value updating module is further configured to compute the contribution to the NAV for each basket based on the financial instrument price information and a weight value assigned to the financial instrument for that basket, and wherein the basket association lookup module is further configured to retrieve the weight values for the baskets.

44. The system of claim 43 wherein the basket association lookup module is further configured to retrieve a basket identifier for each of the baskets, each basket identifier corresponding to a different one of the baskets and being associated with a different one of the weight values.

45. The system of claim 44 wherein the message comprises a global exchange identifier, and wherein the basket association lookup module is further configured to retrieve data corresponding to a composite financial instrument and data corresponding to at least one regional financial instrument based on the global exchange identifier.

46. The system of claim 40 wherein the coprocessor further comprises a price event trigger module in communication with the basket value updating module, the price event trigger module being configured to process the NAV against a triggering condition to determine whether the NAV is to be reported to a client.

47. The system of claim 46 wherein the basket association lookup module, the basket value updating module, and the price event trigger module are arranged in a pipelined manner.

48. The system of claim 47 wherein the coprocessor further comprises an event generator module in communication with the price event trigger module, wherein the event generator module is configured to generate a message for delivery to the client in response to a determination by the price event trigger module that the NAV is to be reported to the client, the generated message comprising the NAV.

49. The system of claim 48 wherein the basket association lookup module, the basket value updating module, and the price event trigger module are arranged in a pipelined manner.

50. The system of claim 46 wherein the price event trigger module is further configured to:

retrieve a reference value for the basket from a first table based on a basket identifier associated with the computed NAV;

determine a dissimilarity between the retrieved reference value and the computed NAV;

retrieve a trigger threshold value for the basket from a second table based on the basket identifier; and

compare the dissimilarity with the retrieved trigger threshold value to thereby determine whether the NAV is to be reported to the client.

51. The system of claim 40 wherein the financial market data comprises a plurality of messages, and wherein the coprocessor further comprises a message qualifier filter in communication with the basket association lookup module, the message qualifier filter being configured to filter the messages based on at least one filtering criterion such that the basket association lookup module receives the messages which pass the message qualifier filter.

52. The system of claim 51 wherein the message qualifier filter, the basket association lookup module, and the basket value updating module are arranged in pipelined manner.

53. The system of claim 39 wherein the coprocessor comprises a reconfigurable logic device, the reconfigurable logic device comprising the basket association lookup module and the basket value updating module.

54. The system of claim 38 further comprising another processor in communication with the processor, wherein the another processor is configured to execute a client application, and wherein the main processor is further configured to deliver data corresponding to the computed basket value to the client application.

55. A method of processing data, the method comprising:

performing a plurality of basket calculation operations on a bit stream using a processor as the bit stream streams through the processor to thereby compute a plurality of net basket values.

56. The method of claim 55 wherein the bit stream is representative of financial market data, and wherein the net basket values comprise a plurality of net asset values (NAVs) for financial instrument baskets.

57. The method of claim 56 wherein the processor comprises a coprocessor and a main processor, the main processor being configured to deliver the bit stream to the coprocessor, and the coprocessor being configured to perform the basket calculation operations.

58. The method of claim 57 wherein the performing step further comprises performing the basket calculation operations via a plurality of pipelined modules which are deployed on the coprocessor such that each pipeline module operates on different financial market data within the bit stream at the same time.

59. The method of claim 58 wherein the coprocessor comprises a reconfigurable logic device.

60. The method of claim 57 wherein the performing step further comprises:

processing the bit stream to determine which data should be retrieved from a plurality of tables;

retrieving the determined data from the tables; and

computing the basket NAVs based on the retrieved data and the bit stream.

61. An apparatus for computing a value pertaining to a net asset value (NAV) for a basket, the apparatus comprising:

a firmware pipeline configured to (i) receive a message comprising price information for a financial instrument and an identifier for the financial instrument, (ii) determine a plurality of baskets in which the financial instrument is a member based at least in part on the financial instrument identifier, and (iii) compute a delta contribution to a new NAV for each of the plurality of baskets.

62. The apparatus of claim 61 wherein the firmware pipeline is further configured to compute the new NAV for each of the plurality of baskets based on the computed delta contribution.

63. The apparatus of claim 61 wherein the firmware pipeline is further configured to (i) compute the delta contribution to the new NAV for each of the plurality of baskets according to the formula

64. The apparatus of claim 63 further comprising a plurality of tables in which the w_j values, the d values, the T_j^old values, and the NAV^old values are stored, and wherein the firmware pipeline is further configured to retrieve the w_j values, the d values, the T_j^old values, and the NAV^old values from the tables as the message streams through the pipeline.

65. The apparatus of claim 63 wherein the firmware pipeline is implemented on a coprocessor.

66. The apparatus of claim 63 wherein the coprocessor comprises a reconfigurable logic device.

67. The apparatus of claim 66 wherein the tables are stored within the reconfigurable logic device.

68. The apparatus of claim 61 wherein the firmware pipeline is further configured to (i) compute the delta contribution to the new NAV for each of the plurality of baskets according to the formula w_j(T_j^new−

T_j^old) wherein w_j represents a weight for the financial instrument in the basket, wherein T_j^new represents the price information, and wherein T_j^old represents old price information for the financial instrument, (ii) retrieve a value S^old for each of the baskets, (iii) compute a sum of S^old and w_j(T_j^new−

T_j^old) for each of the baskets, (iv) retrieve a divisor value for the baskets, and (v) compute the new NAV for each of the plurality of baskets by dividing each sum by the retrieved divisor value.

69. A method for processing financial market data, the method comprising:

processing a stream of financial market data using a coprocessor to compute a net asset value for a financial instrument basket as the financial market data streams through the coprocessor; and

detecting an arbitrage condition in connection with the basket based on the computed net asset value.

70. The method of claim 69 further comprising:

placing at least one trade order with at least one financial market in response to the detecting step to thereby take advantage of the detected arbitrage condition.

71. The method of claim 70 wherein the detecting step comprises detecting the arbitrage condition using the coprocessor as the financial market data streams through the coprocessor.

72. The method of claim 71 wherein the detecting step further comprises:

computing a difference between the computed net asset value and a reference value; and

comparing the computed difference with a trigger threshold to detect whether the arbitrage condition exists.

73. The method of claim 70 wherein the coprocessor comprises a reconfigurable logic device.

74. The method of claim 70 wherein the basket comprises an exchange traded fund (ETF).

75. A method for processing data, the method comprising:

receiving a stream of data, the data comprising a value for an element;

determining a basket which pertains to the element; and

calculating a value applicable to the determined basket based at least in part on the element value; and

wherein the determining step is performed by a first module in a pipeline; and

wherein the calculating step is performed by a second module in the pipeline.

76. The method of claim 75 wherein the data comprises financial market data, wherein the element comprises a financial instrument, wherein the element value comprises price information for the financial instrument, and wherein the basket comprises a financial instrument basket.

77. The method of claim 76 wherein the calculated value comprises a net asset value for the financial instrument basket, the method further comprising detecting an arbitrage condition in connection with the basket based on the calculated net asset value.

78. The method of claim 77 further comprising:

placing at least one trade order with at least one financial market in response to the detecting step to thereby take advantage of the detected arbitrage condition.

79. The method of claim 78 wherein the detecting step is performed by a third module in the pipeline.

80. The method of claim 79 wherein the detecting step further comprises:

computing a difference between the calculated net asset value and a reference value; and

comparing the computed difference with a trigger threshold to detect whether the arbitrage condition exists.

81. The method of claim 80 further comprising defining the reference value and the trigger threshold in response to client input.

82. The method of claim 78 wherein the calculating step comprises computing a delta contribution of the financial instrument to the determined basket'"'"'s net asset value.

83. The method of claim 82 wherein the calculating step further comprises computing the determined basket'"'"'s net asset value based on the computed delta contribution.

84. The method of claim 77 wherein the pipeline comprises a firmware pipeline.

85. The method of claim 84 wherein the firmware pipeline is deployed in reconfigurable logic.

86. The method of claim 77 wherein the basket comprises an exchange traded fund (ETF).

87. The method of claim 76 wherein the calculating step comprises computing a delta contribution of the financial instrument to a net asset value for the determined basket.

88. A method of administering a plurality of tables corresponding to a plurality of baskets, the method comprising:

storing a plurality of pointers in a first table, each pointer being indexed by an identifier for a financial instrument;

storing a plurality of header blocks in a second table, the header blocks being indexed by the pointers, each header block being associated with a financial instrument, each header block comprising a plurality of basket identifiers for the baskets and a plurality of weight values corresponding to the baskets, the basket identifiers and weight values being stored in the table as a plurality of pairs, each weight value defining a weight for a financial instrument in the basket corresponding to the basket identifier that is paired with that weight value.

89. The method of claim 88 wherein the header blocks further comprise price information for the financial instruments.

90. The method of claim 89 wherein each header block further comprises a count field which includes a count value indicative of how many pairs are present in that header block.

91. The method of claim 89 further comprising storing a plurality of extension blocks in the second table, wherein at least a plurality of header blocks further comprise an extension pointer field which includes a pointer to one of the extension blocks, the extension blocks comprising overflow pairs of basket identifiers and weight values.

92. The method of claim 89 wherein the first table further comprises a plurality of global exchange identifier indexes, each global exchange identifier index corresponding to a different header block in the second table.

93. A method for computing a basket value, the method comprising:

receiving a delta event, the delta event comprising a basket identifier for a basket, a price delta with respect to a financial instrument, the financial instrument being a member of the basket, and a weight value that represents a weight of the financial instrument within the basket; and

retrieving a divisor value for the basket based on the basket identifier;

computing a net asset value (NAV) for the basket according to a delta calculation approach based on the delta event and the divisor value.

94. The method of claim 93 further comprising performing the method steps using a coprocessor.

95. An apparatus for computing a basket value, the apparatus comprising:

a processor configured to (i) receive a delta event, the delta event comprising a basket identifier for a basket, a price delta with respect to a financial instrument, the financial instrument being a member of the basket, and a weight value that represents a weight of the financial instrument within the basket, (ii) retrieve a divisor value for the basket based on the basket identifier, and (iii) compute a net asset value (NAV) for the basket according to a delta calculation approach based on the delta event and the divisor value.

96. A basket association method, the method comprising:

receiving a bit stream, the bit stream being representative of a message pertaining to a financial instrument, the message comprising a symbol identifier for the financial instrument and a global exchange identifier (GEID) for an exchange which pertains to the message;

performing a lookup in a first table based on the symbol ID to retrieve a record from the first table;

determining a pointer from the retrieved record;

determining an index value from the retrieved record based on the GEID;

performing a lookup in the second table based on the pointer and the index value to retrieve basket association data pertaining to each basket of which the financial instrument is a member; and

outputting a bit stream that is representative of the retrieved basket association data.

97. A basket association apparatus, the apparatus comprising:

a processor configured to (i) receive a message pertaining to a financial instrument, the message comprising a symbol identifier for the financial instrument and a global exchange identifier (GEID) for an exchange which pertains to the message, (ii) perform a lookup in a first table based on the symbol ID to retrieve a record from the first table, (iii) determine a pointer from the retrieved record, (iv) determine an index value from the retrieved record based on the GEID, (v) perform a lookup in the second table based on the pointer and the index value to retrieve basket association data pertaining to each basket of which the financial instrument is a member, and (vi) output the retrieved basket association data.

98. A method of reporting updated basket values to a client, the method comprising:

receiving a bit stream, the bit stream being representative of a basket event, the basket event comprising a basket identifier for a basket and an updated net asset value (NAV) for the basket;

retrieving a reference value for the basket based on the basket identifier;

determining a dissimilarity between the retrieved reference value and the updated NAV;

retrieving a trigger threshold value for the basket based on the basket identifier;

comparing the dissimilarity with the retrieved trigger threshold value to thereby determine whether the updated NAV is to be reported to the client; and

delivering a bit stream that is representative of the updated NAV to the client in response to a determination by the comparing step that the updated NAV should be reported to the client.

99. An apparatus for reporting updated basket values to a client, the apparatus comprising:

a processor configured to (i) receive a basket event, the basket event comprising a basket identifier for a basket and an updated net asset value (NAV) for the basket, (ii) retrieve a reference value for the basket based on the basket identifier, (iii) determine a dissimilarity between the retrieved reference value and the updated NAV, (iv) retrieve a trigger threshold value for the basket based on the basket identifier, (v) compare the dissimilarity with the retrieved trigger threshold value to thereby determine whether the updated NAV is to be reported to the client, and (vi) report the updated NAV to the client in response to a determination that the updated NAV should be reported to the client.