High Speed Processing of Financial Information Using FPGA Devices
First Claim
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1. An apparatus comprising:
- a reconfigurable logic device having firmware logic deployed thereon that is configured to (1) process streaming financial market data, the streaming financial market data comprising a plurality of messages representative of a plurality of offers to buy and sell a plurality of financial instruments, and (2) maintain in real-time a plurality of financial instrument order books based on the messages.
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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 (1) process streaming financial market data, the streaming financial market data comprising a plurality of messages representative of a plurality of offers to buy and sell a plurality of financial instruments, and (2) maintain in real-time a plurality of financial instrument order books based on the messages
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Citations
61 Claims
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1. An apparatus comprising:
a reconfigurable logic device having firmware logic deployed thereon that is configured to (1) process streaming financial market data, the streaming financial market data comprising a plurality of messages representative of a plurality of offers to buy and sell a plurality of financial instruments, and (2) maintain in real-time a plurality of financial instrument order books based on the messages. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24, 25, 26, 27)
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28. A method comprising:
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processing streaming financial market data, the streaming financial market data comprising a plurality of messages representative of a plurality of offers to buy and sell a plurality of financial instruments; maintaining in real-time a plurality of financial instrument order books based on the messages; and wherein the method steps are performed by firmware logic resident on a reconfigurable logic device. - View Dependent Claims (29, 30, 31, 32, 33, 34, 35, 36, 37, 38, 39, 40, 41, 42, 43, 44, 45, 46, 47, 48, 49, 50, 51, 52, 53, 54)
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55. An apparatus comprising:
an order book server for maintaining a plurality of financial instrument order books, the order book server comprising an offload engine for (1) processing streaming financial market data, the streaming financial market data comprising a plurality of messages representative of a plurality of offers to buy and sell a plurality of financial instruments, and (2) updating in real-time the financial instrument order books based on the messages. - View Dependent Claims (56)
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57. A method comprising:
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maintaining a data structure representative of a plurality of order books for a plurality of financial instruments; and processing, by firmware logic deployed on a reconfigurable logic device, a plurality of financial market data messages to update the order books within the data structure.
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58. An apparatus comprising:
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a memory for storing a data structure representative of a plurality of order books for a plurality of financial instruments; and a reconfigurable logic device having firmware logic deployed thereon that is configured to process a plurality of financial market depth data messages to update the order books within the data structure.
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59. A method comprising:
synthesizing, by firmware logic deployed on a reconfigurable logic device, quote events associated with a plurality of financial instruments from a financial market data feed, wherein the reconfigurable logic device is resident within a ticker plant.
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60. An apparatus comprising:
a ticker plant, the ticker plant having a reconfigurable logic device, the reconfigurable logic device having firmware logic deployed thereon that is configured to synthesize quote events associated with a plurality of financial instruments from a financial market data feed.
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61. 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, wherein at least one of the financial data processing operations comprises an order book server operation.
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Specification