High Speed Processing of Financial Information Using FPGA Devices

• US 20110178957A1
• 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 8,600,856 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 40/04 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 a reconfigurable logic device are disclosed. Various operations such as basket calculation and volume weighted average price (VWAP) operations can be performed on the financial market data using firmware logic deployed on the reconfigurable logic device to accelerate the speed of processing.

Claims

1. An apparatus for processing financial market data, the apparatus comprising:

a memory for storing financial market data associated with a plurality of financial instruments, the stored financial market data including data representative of at least one synthetic financial instrument, the at least one synthetic financial instrument being representative of a group of financial instruments;

a reconfigurable logic device for communication with the memory, the reconfigurable logic device having firmware logic deployed thereon that is configured to (1) receive a plurality of streaming financial market data messages, each streaming financial market data message being associated with a financial instrument, (2) perform a programmatic record generation operation on at least one of the streaming financial market data messages to compute an updated field for the synthetic financial instrument data, and (3) store the computed updated field in the memory in association with the synthetic financial instrument.

2. The apparatus of claim 1 wherein the firmware logic comprises a basket calculation engine for performing the programmatic record generation operation, the basket calculation engine configured to compute a net asset value for the synthetic financial instrument in response to a received financial market data message, wherein the update field comprises the computed net asset value.

3. The apparatus of claim 2 wherein the financial instrument group comprises a portfolio of financial instruments.

4. The apparatus of claim 2 wherein the financial instrument group comprises a market index.

5. The apparatus of claim 2 wherein the financial instrument group comprises constituent financial instruments of an exchange traded fund (ETF).

6. The apparatus of claim 2 wherein the basket calculation engine is deployed on the reconfigurable logic device as a firmware application module within a pipeline of a plurality of firmware application modules.

7. The apparatus of claim 6 wherein the stored financial market data further comprises a plurality of financial instrument records, each financial instrument record being associated with a financial instrument and comprising a plurality of fields, wherein a firmware application module in the pipeline upstream from the basket calculation engine is configured to (1) receive a financial market data message, (2) identify the stored financial instrument record for the financial instrument associated with the received financial market data message, and (3) generate an update message for updating the identified financial instrument record based on at least one of the fields of the received financial instrument market data message, and wherein the basket calculation engine is further configured to (1) receive the update message, (2) determine whether the update message pertains to the synthetic financial instrument, and (3) in response to a determination that the update message pertains to the synthetic financial instrument, compute the net asset value for the synthetic financial instrument based on data within the update message.

8. The apparatus of claim 7 wherein the stored financial market data includes data representative of a plurality of the synthetic financial instruments, and wherein the basket calculation engine is further configured to compute the net asset values for the synthetic financial instruments at hardware processing speeds as update messages pertaining to the synthetic financial instruments are received by the basket calculation engine.

9. The apparatus of claim 6 wherein the reconfigurable logic device comprises a field programmable gate array (FPGA).

10. The apparatus of claim 6 wherein the firmware application modules further comprise an alert generation engine within the pipeline downstream from the basket calculation engine, the alert generation engine configured to generate an alert for consumption by a downstream application in response to a specified condition being met.

11. The apparatus of claim 1 wherein the memory comprises memory external to the reconfigurable logic device.

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

storing financial market data associated with a plurality of financial instruments in a memory, the stored financial market data including data representative of at least one synthetic financial instrument, the at least one synthetic financial instrument being representative of a group of financial instruments;

receiving a plurality of streaming financial market data messages, each streaming financial market data message being associated with a financial instrument;

performing a programmatic record generation operation on at least one of the streaming financial market data messages to compute an updated field for the synthetic financial instrument data; and

storing the computed updated field in the memory in association with the synthetic financial instrument; and

wherein the method steps are performed by firmware logic deployed on a reconfigurable logic device.

13. The method of claim 12 wherein the firmware logic comprises a basket calculation engine, the basket calculation engine performing the programmatic record generation operation by computing a net asset value for the synthetic financial instrument in response to a received financial market data message, wherein the updated field comprises the computed net asset value.

14. The method of claim 13 wherein the financial instrument group comprises a portfolio of financial instruments.

15. The method of claim 13 wherein the financial instrument group comprises a market index.

16. The method of claim 13 wherein the financial instrument group comprises constituent financial instruments of an exchange traded fund (ETF).

17. The method of claim 13 wherein the basket calculation engine is deployed on the reconfigurable logic device as a firmware application module within a pipeline of a plurality of firmware application modules.

18. The method of claim 17 wherein the stored financial market data further comprises a plurality of financial instrument records, each financial instrument record being associated with a financial instrument and comprising a plurality of fields, the method further comprising:

the following steps performed by a firmware application module in the pipeline upstream from the basket calculation engine, (1) receiving a financial market data message, (2) identifying the stored financial instrument record for the financial instrument associated with the received financial market data message, and (3) generating an update message for updating the identified financial instrument record based on at least one of the fields of the received financial instrument market data message; and

the following steps performed by the basket calculation engine, (1) receiving the update message, (2) determining whether the update message pertains to the synthetic financial instrument, and (3) in response to a determination that the update message pertains to the synthetic financial instrument, computing the net asset value for the synthetic financial instrument based on data within the update message.

19. The method of claim 18 wherein the stored financial market data includes data representative of a plurality of the synthetic financial instruments, and wherein the computing step comprises the basket calculation engine computing the net asset values for the synthetic financial instruments at hardware processing speeds as update messages pertaining to the synthetic financial instruments are received by the basket calculation engine.

20. The method of claim 17 wherein the reconfigurable logic device comprises a field programmable gate array (FPGA).

21. The method of claim 17 wherein the firmware application modules further comprise an alert generation engine within the pipeline downstream from the basket calculation engine, the alert generation engine generating an alert for consumption by a downstream application in response to a specified condition being met.

22. The method of claim 12 wherein the memory comprises memory external to the reconfigurable logic device.

23. An apparatus for processing financial market data, the apparatus comprising:

a reconfigurable logic device having firmware logic deployed thereon that is configured to (1) receive a plurality of streaming financial market data messages, each streaming financial market data message being associated with a financial instrument, and (2) compute a volume weighted average price (VWAP) for at least one of the financial instruments based on the received financial market data messages that are associated with the at least one financial instrument.

24. The apparatus of claim 23 wherein the firmware logic is further configured to store the computed VWAP in a memory in association with the financial instrument to which the computed VWAP pertains.

25. The apparatus of claim 24 wherein the received financial market data messages comprise a plurality of fields, the fields comprising a price field and a trade size field, and wherein the firmware logic is further configured to compute the VWAP for a financial instrument based on the price and trade size fields of a plurality of received financial market data messages pertaining to that financial instrument.

26. The apparatus of claim 25 wherein the firmware logic comprises a calculation engine, the calculation engine deployed on the reconfigurable logic device as a firmware application module within a pipeline of a plurality of firmware application modules.

27. The apparatus of claim 26 wherein a firmware application module in the pipeline upstream from the calculation engine comprises a filter, the filter configured to receive a plurality of the financial market data messages and filter those received financial market data messages based on a plurality of criteria to determine which financial market data messages are to be processed by the downstream calculation engine.

28. The apparatus of claim 27 wherein the plurality of criteria comprise at least one member of the group consisting of trade size, trade type, and market conditions.

29. The apparatus of claim 26 wherein the reconfigurable logic device comprises a field programmable gate array (FPGA).

30. The apparatus of claim 26 wherein the firmware application modules further comprise an alert generation engine within the pipeline downstream from the calculation engine, the alert generation engine configured to generate an alert for consumption by a downstream application in response to a specified condition being met.

31. The apparatus of claim 24 further comprising the memory, the memory for storing a plurality of records associated with a plurality of financial instruments, the records comprising a plurality of fields, at least a plurality of the financial instrument records including a field for storing the computed VWAP for its associated financial instrument.

32. The apparatus of claim 31 wherein the memory comprises memory external to the reconfigurable logic device.

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

receiving a plurality of streaming financial market data messages, each streaming financial market data message being associated with a financial instrument; and

computing a volume weighted average price (VWAP) for at least one of the financial instruments based on the received financial market data messages that are associated with the at least one financial instrument; and

wherein the method steps are performed by firmware logic deployed on a reconfigurable logic device.

34. The method of claim 33 further comprising the firmware logic storing the computed VWAP in a memory in association with the financial instrument to which the computed VWAP pertains.

35. The method of claim 34 wherein the received financial market data messages comprise a plurality of fields, the fields comprising a price field and a trade size field, and wherein the computing step further comprises the firmware logic computing the VWAP for a financial instrument based on the price and trade size fields of a plurality of received financial market data messages pertaining to that financial instrument.

36. The method of claim 35 wherein the firmware logic comprises a calculation engine, the calculation engine deployed on the reconfigurable logic device as a firmware application module within a pipeline of a plurality of firmware application modules.

37. The method of claim 36 wherein a firmware application module in the pipeline upstream from the calculation engine comprises a filter, the filter (1) receiving a plurality of the financial market data messages, and (2) filtering those received financial market data messages based on a plurality of criteria to determine which financial market data messages are to be processed by the downstream calculation engine.

38. The method of claim 37 wherein the plurality of criteria comprise at least one member of the group consisting of trade size, trade type, and market conditions.

39. The method of claim 36 wherein the reconfigurable logic device comprises a field programmable gate array (FPGA).

40. The method of claim 36 wherein the firmware application modules further comprise an alert generation engine within the pipeline downstream from the calculation engine, the alert generation engine generating an alert for consumption by a downstream application in response to a specified condition being met.

41. The method of claim 34 further comprising the memory, the memory for storing a plurality of records associated with a plurality of financial instruments, the records comprising a plurality of fields, at least a plurality of the financial instrument records including a field for storing the computed VWAP for its associated financial instrument.

42. The method of claim 41 wherein the memory comprises memory external to the reconfigurable logic device.