METHOD AND APPARATUS FOR HIGH-SPEED PROCESSING OF FINANCIAL MARKET DEPTH DATA
First Claim
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1. A method for generating an order book view from financial market depth data, the method comprising:
- maintaining a data structure representative of a plurality of order books for a plurality of financial instruments; and
hardware-accelerating a processing of a plurality of financial market depth data messages to update the order books within the data structure.
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Abstract
A variety of embodiments for hardware-accelerating the processing of financial market depth data are disclosed. A coprocessor, which may be resident in a ticker plant, can be configured to update order books based on financial market depth data at extremely low latency. Such a coprocessor can also be configured to enrich a stream of limit order events pertaining to financial instruments with data from a plurality of updated order books.
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Citations
25 Claims
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1. A method for generating an order book view from financial market depth data, the method comprising:
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maintaining a data structure representative of a plurality of order books for a plurality of financial instruments; and hardware-accelerating a processing of a plurality of financial market depth data messages to update the order books within the data structure. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12)
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13. A system for generating an order book view from financial market depth data, the system 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 coprocessor configured to process a plurality of financial market depth data messages to update the order books within the data structure. - View Dependent Claims (14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24)
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25-161. -161. (canceled)
Specification