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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
First Claim
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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.

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