High Speed Processing of Financial Information Using FPGA Devices
First Claim
Patent Images
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.
4 Assignments
0 Petitions
Accused Products
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.
-
Citations
42 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. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11)
-
-
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. - View Dependent Claims (13, 14, 15, 16, 17, 18, 19, 20, 21, 22)
-
-
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. - View Dependent Claims (24, 25, 26, 27, 28, 29, 30, 31, 32)
-
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. - View Dependent Claims (34, 35, 36, 37, 38, 39, 40, 41, 42)
-
Specification