High Speed Processing of Financial Information Using FPGA Devices

• US 20110178911A1
• Filed: 03/31/2011
• Published: 07/21/2011
• Est. Priority Date: 06/19/2006
• Status: Active Grant

• Current Assignee: Exegy Incorporated
• Original Assignee: Exegy Incorporated
• Inventors: Parsons, Scott, Chamberlain, Roger D., Taylor, David E., Schuehler, David Vincent, Franklin, Mark A.
• Granted Patent: US 8,407,122 B2
• Time in Patent Office: Days
• US Class Current: 705/35
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

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.

Claims

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.

2. The method of claim 1 wherein the financial market data feed comprises a financial market source data feed, the method further comprising:

receiving the financial market source data feed from a data source.

3. The method of claim 1 wherein the financial market data feed comprises a financial market secondary data feed.

4. The method of claim 1 wherein the financial market data feed comprises a plurality of messages, and wherein the performing step further comprises:

normalizing the messages to a common format.

5. The method of claim 4 wherein the performing step further comprises:

converting the financial market data to a plurality of messages having a predetermined format.

6. The method of claim 1 wherein the financial market data feed comprises a plurality of messages, and wherein the performing step further comprises:

parsing the messages into a plurality of data fields.

7. The method of claim 6 wherein the financial market data feed comprises a plurality of messages, and wherein the performing step further comprises:

performing a calculation operation on the data fields of the parsed messages.

8. The method of claim 1 wherein the financial market data feed comprises a plurality of messages, and wherein the performing step further comprises:

transforming the messages from a first format to a second format.

9. The method of claim 8 wherein the first format comprises a format as received from an external feed source.

10. The method of claim 8 wherein the first format comprises FIX and wherein the second format comprises FAST.

11. The method of claim 8 wherein the first format comprises FAST and wherein the second format comprises FIX.

12. The method of claim 8 wherein the first format comprises a format as received from an external feed source, and wherein the second format comprises FAST.

13. The method of claim 1 wherein the firmware application module pipeline is configured to perform at least one financial data processing operation selected from the group consisting of:

a feed compression operation, a feed decompression operation, a feed handler operation, a rule-based calculation operation, a feed journal operation, an alert generation engine, a Last Value Cache (LVC) server operation, a historical time-series oriented databases with analytics operation, a news database operation with a search capability, an order router operation, a direct market access gateway operation, a trading engine, an auto-quote server operation, a compliance journal operation, an internal matching system operation, an entitlements and reporting operation, a management and monitoring operation, and a publishing and contribution server operation.

14. The method of claim 1 further comprising:

providing data processed through the reconfigurable logic device to a trader workstation user interface.

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.

16. The device of claim 15 wherein the financial market data feed comprises a plurality of messages, and wherein the reconfigurable logic device is further configured to normalize the messages to a common format.

17. The device of claim 15 wherein the reconfigurable logic device is further configured to convert the financial market data feed to a plurality of messages having a predetermined format.

18. The device of claim 15 wherein the financial market data feed comprises a plurality of messages, and wherein the reconfigurable logic device is further configured to parse the messages into a plurality of data fields.

19. The device of claim 18 wherein the financial market data feed comprises a plurality of messages, and wherein the reconfigurable logic device is further configured to perform a calculation operation on the data fields of the parsed messages.

20. The device of claim 15 wherein the financial market data feed comprises a plurality of messages, and wherein the reconfigurable logic device is further configured to transform the messages from a first format to a second format.

21. The method of claim 20 wherein the first format comprises a format as received from an external feed source.

22. The device of claim 20 wherein the first format comprises FIX and wherein the second format comprises FAST.

23. The device of claim 20 wherein the first format comprises FAST and wherein the second format comprises FIX.

24. The device of claim 15 wherein the firmware application module pipeline is configured to perform at least one financial data processing operation selected from the group consisting of:

a feed compression operation, a feed decompression operation, a feed handler operation, a rule-based calculation operation, a feed journal operation, an alert generation engine, a Last Value Cache (LVC) server operation, a historical time-series oriented databases with analytics operation, a news database operation with a search capability, an order router operation, a direct market access gateway operation, a trading engine, an auto-quote server operation, a compliance journal operation, an internal matching system operation, an entitlements and reporting operation, a management and monitoring operation, and a publishing and contribution server operation.

25. The device of claim 15 further comprising:

a trader workstation in communication with the reconfigurable logic device, and wherein a user interface on the workstation is configured to display data processed by the reconfigurable logic device.

26. The device of claim 15 further comprising:

an application programming interface (API) and customer-supplied application software in communication with the reconfigurable logic device, and wherein the customer-supplied application software is configured to receive data from the reconfigurable logic device via the API and further process the received data.