High speed processing of financial information using FPGA devices
DCFirst Claim
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1. An apparatus comprising:
- a reconfigurable logic device having firmware logic deployed thereon for processing a plurality of streaming financial market data order messages, each order message corresponding to a financial instrument and comprising (1) a symbol string for identifying the order message'"'"'s corresponding financial instrument and (2) financial market data that is representative of an offer to buy or sell its corresponding financial instrument, the firmware logic comprising a processing pipeline, the processing pipeline comprising a symbol mapping firmware application module (FAM) and an order book cache (OBC) FAM that is downstream from the symbol mapping FAM; and
a memory configured to cache a plurality of financial instrument records, each financial instrument record corresponding to a financial instrument and comprising an order book for its corresponding financial instrument;
wherein the symbol mapping FAM is configured to (1) receive the symbol strings for a plurality of the order messages, and (2) map the received symbol strings to a plurality of record keys for use by the OBC FAM to facilitate retrieval from the memory of the cached financial instrument records which correspond to the same financial instruments identified by the symbol strings;
wherein the OBC FAM is configured to (1) receive streaming financial market data for a plurality of the order messages in association with the mapped record keys for those order messages, (2) retrieve the cached financial instrument records from the memory based on the record keys, (3) generate a plurality of updates for the financial instrument order books of the retrieved financial instrument records based on the received financial market data, and (4) update the cached financial instrument records in the memory based on the generated updates; and
wherein the symbol mapping FAM and the OBC FAM are configured to operate simultaneously with respect to each other in a pipelined fashion such that the symbol mapping FAM is configured to operate with respect to an order message while the OBC FAM operates with respect to another order message.
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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
55 Claims
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1. An apparatus comprising:
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a reconfigurable logic device having firmware logic deployed thereon for processing a plurality of streaming financial market data order messages, each order message corresponding to a financial instrument and comprising (1) a symbol string for identifying the order message'"'"'s corresponding financial instrument and (2) financial market data that is representative of an offer to buy or sell its corresponding financial instrument, the firmware logic comprising a processing pipeline, the processing pipeline comprising a symbol mapping firmware application module (FAM) and an order book cache (OBC) FAM that is downstream from the symbol mapping FAM; and a memory configured to cache a plurality of financial instrument records, each financial instrument record corresponding to a financial instrument and comprising an order book for its corresponding financial instrument; wherein the symbol mapping FAM is configured to (1) receive the symbol strings for a plurality of the order messages, and (2) map the received symbol strings to a plurality of record keys for use by the OBC FAM to facilitate retrieval from the memory of the cached financial instrument records which correspond to the same financial instruments identified by the symbol strings; wherein the OBC FAM is configured to (1) receive streaming financial market data for a plurality of the order messages in association with the mapped record keys for those order messages, (2) retrieve the cached financial instrument records from the memory based on the record keys, (3) generate a plurality of updates for the financial instrument order books of the retrieved financial instrument records based on the received financial market data, and (4) update the cached financial instrument records in the memory based on the generated updates; and wherein the symbol mapping FAM and the OBC FAM are configured to operate simultaneously with respect to each other in a pipelined fashion such that the symbol mapping FAM is configured to operate with respect to an order message while the OBC FAM operates with respect to another order message. - 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, 49, 50, 51, 52, 53)
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25. A method comprising:
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caching a plurality of financial instrument records in a memory, each financial instrument record corresponding to a financial instrument and comprising an order book for its corresponding financial instrument; and processing a plurality of streaming financial market data order messages, each order message corresponding to a financial instrument and comprising (1) a symbol string for identifying the order message'"'"'s corresponding financial instrument and (2) financial market data that is representative of an offer to buy or sell its corresponding financial instrument, wherein the processing step is performed by firmware logic deployed on a reconfigurable logic device, the firmware logic comprising a processing pipeline, the processing pipeline comprising a symbol mapping firmware application module (FAM) and an order book cache (OBC) FAM that is downstream from the symbol mapping FAM, and wherein the processing step comprises; the symbol mapping FAM (1) receiving the symbol strings for a plurality of the order messages, and (2) mapping the received symbol strings to a plurality of record keys for use by the OBC FAM to facilitate retrieval from the memory of the cached financial instrument records which correspond to the same financial instruments identified by the symbol strings; and the OBC FAM (1) receiving streaming financial market data for a plurality of the order messages in association with the mapped record keys for those order messages, (2) retrieving the cached financial instrument records from the memory based on the record keys, (3) generating a plurality of updates for the financial instrument order books of the retrieved financial instrument records based on the received financial market data, and (4) updating the cached financial instrument records in the memory based on the generated updates; and wherein the symbol mapping FAM and the OBC FAM perform their respective steps simultaneously with respect to each other in a pipelined fashion such that the symbol mapping FAM performs its steps with respect to an order message while the OBC FAM performs its steps with respect to another order message. - View Dependent Claims (26, 27, 28, 29, 30, 31, 32, 33, 34, 35, 36, 37, 38, 39, 40, 41, 42, 43, 44, 45, 46, 47, 48, 54, 55)
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Specification