High speed processing of financial information using FPGA devices

• US 8,595,104 B2
• Filed: 03/31/2011
• Issued: 11/26/2013
• Est. Priority Date: 06/19/2006
• Status: Active Grant

• Current Assignee: Exegy Incorporated
• Original Assignee: Ip Reservoir, LLC
• Inventors: Parsons, Scott, Taylor, David E., Schuehler, David Vincent, Franklin, Mark A., Chamberlain, Roger D.
• Primary Examiner(s): Borlinghaus, Jason M
• Application Number:
  US13/076,951
• Publication Number:
  US 20110184844A1
• Time in Patent Office: 971 Days
• Field of Search: None
• US Class Current: 705/35
• 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

A high speed apparatus and method for processing a plurality of financial market data messages are disclosed. With respect to an exemplary embodiment, a record memory is employed to store a plurality of records for a plurality of financial instruments, and a reconfigurable logic device is employed to (1) receive financial market data messages, (2) retrieve from the record memory the records for the messages'"'"' associated financial instruments, (3) process each received financial market data message to update the record for the financial instrument associated with that message, and wherein each record comprises an interest list that identifies whether any of a plurality of entities have expressed an interest in being notified of data relating to the updated record.

Claims

1. An apparatus for processing a plurality of financial market data messages, each financial market data message comprising financial market data and being associated with a financial instrument, the apparatus comprising:

a record memory configured to store a plurality of records for a plurality of financial instruments;

a reconfigurable logic device, the reconfigurable logic device comprising bitwise combinatorial logic;

wherein the reconfigurable logic device is configured to (1) receive the financial market data messages, (2) retrieve from the record memory the records for the messages'"'"' associated financial instruments, (3) process the received financial market data messages to update the records for the financial instruments associated with the messages, and (4) apply a plurality of sets of entitlement and interest data associated with the processed financial market data messages to the bitwise combinatorial logic to generate combined entitlement and interest data that is indicative of which of a plurality of entities have expressed an interest in and are entitled to being notified of data relating to the updated records for the financial instruments;

wherein the reconfigurable logic device is configured to perform the retrieval and entitlement and interest data applying operations in a pipelined fashion such that the reconfigurable logic is configured to perform the entitlement and interest data applying operation with respect to a first message while the reconfigurable logic device performs the retrieval operation with respect to a second message.

2. The apparatus of claim 1 wherein the financial instrument records are further configured to store a plurality of interest lists associated with the financial instruments, wherein each interest list comprises a bit vector having a plurality of bit positions, wherein each bit position corresponds to a different entity, and wherein a bit value at each bit position determines whether the entity corresponding to that bit position is an interested entity, and wherein the reconfigurable logic device is further configured to retrieve the interest lists as part of the retrieved financial instrument records.

14. The apparatus of claim 1 wherein the reconfigurable logic device is configured to perform the retrieval, financial market data processing, and entitlement and interest data applying operations in a pipelined fashion such that the reconfigurable logic is configured to perform the entitlement and interest data applying operation with respect to the first message while the reconfigurable logic device performs (1) the retrieval operation with respect to the second message, and (3) the financial market data processing operation with respect to a third message.

15. The apparatus of claim 1 wherein the financial instrument records are further configured to store interest data associated with the financial instruments, the stored interest data configured to identify which of the entities have expressed an interest in being notified of data relating to the associated financial instrument, and wherein the reconfigurable logic device is further configured to retrieve the interest data as part of the retrieved financial instrument records.

16. The apparatus of claim 15 wherein the stored interest data comprises a bit vector having a plurality of bit positions, wherein each bit position corresponds to a different entity, and wherein a bit value at each bit position determines whether the entity corresponding to that bit position is an interested entity.

17. The apparatus of claim 15 wherein the interest and entitlement data comprises a plurality of different interest lists for at least one of the processed financial market data messages, wherein the bitwise combinatorial logic comprises bitwise OR logic, and wherein the reconfigurable logic device is further configured to apply the plurality of different interest lists to the bitwise OR logic to generate a combined interest list, the combined interest list being indicative of all of the entities that have expressed an interest in being notified of data relating to the financial instrument associated with the at least one processed financial market data message.

18. The apparatus of claim 17 wherein the record memory comprises a plurality of regional records and a plurality of composite records, each regional record being associated with a financial instrument and storing data for its associated financial instrument that is specific with respect to a regional exchange on which that financial instrument is traded, each composite record being associated with a financial instrument and storing data for its associated financial instrument that is general with respect to all exchanges on which that financial instrument is traded, each of a plurality of the financial instrument regional records comprising a regional interest list for its associated financial instrument, and each of a plurality of the financial instrument composite records comprising a composite interest list for its associated financial instrument, wherein each regional interest list and each composite interest list comprises a bit vector having a plurality of bit positions, wherein each bit position corresponds to a different entity, and wherein a bit value at each bit position determines whether the entity corresponding to that bit position is an interested entity, and wherein the reconfigurable logic device is further configured to (1) retrieve the regional interest list and the composite interest list with respect to the financial instrument associated with the at least one processed financial market data message, and (2) apply the retrieved regional interest list and the retrieved composite interest list to the bitwise OR logic to generate the combined interest list.

19. The apparatus of claim 18 further comprising an exchange interest list table resident in a memory, the exchange interest list table comprising a plurality of exchange interest lists, each exchange interest list being (1) associated with an exchange and (2) indicative of all of the entities that have an expressed an interest in being notified of data relating to all financial market data events on the associated exchange, wherein each exchange interest list comprises a bit vector having a plurality of bit positions, wherein each bit position corresponds to a different entity, and wherein a bit value at each bit position determines whether the entity corresponding to that bit position is an interested entity, the reconfigurable logic device further configured to (1) retrieve the exchange interest list from the exchange interest list table that is associated with the exchange relevant to the at least one processed financial market data message, and (2) apply the retrieved regional interest list, the retrieved composite interest list, and the retrieved exchange interest list to the bitwise OR logic to generate the combined interest list.

20. The apparatus of claim 19 further comprising global interest list resident in a memory, the global interest list being indicative of all of the entities that have an expressed an interest in being notified of data relating to all financial market data events regardless of the exchange, wherein the global interest list comprises a bit vector having a plurality of bit positions, wherein each bit position corresponds to a different entity, and wherein a bit value at each bit position determines whether the entity corresponding to that bit position is an interested entity, the reconfigurable logic device further configured to (1) retrieve the global interest list, and (2) apply the retrieved regional interest list, the retrieved composite interest list, the retrieved exchange interest list, and the retrieved global interest list to the bitwise OR logic to generate the combined interest list.

21. The apparatus of claim 19 wherein the bitwise combinatorial logic further comprises bitwise AND logic downstream from the bitwise OR logic, wherein the interest and entitlement data further comprises an entitlement mask, the entitlement mask comprising a bit vector having a plurality of bit positions, wherein each bit position corresponds to a different entity, and wherein a bit value at each bit position determines whether the entity corresponding to that bit position is an entitled entity, and wherein the reconfigurable logic device is further configured to apply the combined interest list and the entitlement mask to the bitwise AND logic to generate an entitled interest list, the entitled interest list defining which of the entities are to be notified of data relating to the at least one processed financial market data message.

22. The apparatus of claim 15 wherein the bitwise combinatorial logic comprises bitwise AND logic, wherein the interest and entitlement data comprises an entitlement mask, the entitlement mask configured to identify which of the entities are entitled to being notified of data relating to the associated financial instrument, and wherein the reconfigurable logic device is further configured to apply the interest data and the entitlement mask to the bitwise AND logic to generate the combined entitlement and interest data.

23. The apparatus of claim 22 further comprising an entitlement mask table resident in a memory, the entitlement mask table comprising a plurality of different entitlement masks, each entitlement mask being associated with an entitlement identifier, wherein the reconfigurable logic device is further configured to retrieve an entitlement mask from the entitlement mask table based on the entitlement identifiers associated with the processed financial market data messages.

24. The apparatus of claim 23 wherein the reconfigurable logic device is further configured to receive a plurality of entitlement identifiers in associated with the received financial market data messages.

25. The apparatus of claim 22 wherein the received financial market data messages comprise a plurality of data fields, the apparatus further comprising an entitlement mask table resident in a memory, the entitlement mask table comprising a plurality of different entitlement masks, and wherein the reconfigurable logic device is further configured to retrieve an entitlement mask from the entitlement mask table based on data fields of the received financial market data messages.

26. The apparatus of claim 22 wherein the entitlement mask comprises a bit vector having a plurality of bit positions, wherein each bit position corresponds to a different entity, and wherein a bit value at each bit position determines whether the entity corresponding to that bit position is an entitled entity.

27. The apparatus of claim 26 wherein the stored interest data comprises a bit vector having a plurality of bit positions, wherein each bit position corresponds to a different entity, and wherein a bit value at each bit position determines whether the entity corresponding to that bit position is an interested entity.

28. The apparatus of claim 15 further comprising a ticker plant, the reconfigurable logic device and the record memory being resident in the ticker plant, the ticker plant further comprising control software, the control software configured to (1) receive an update for the interest data, and (3) update the interest data stored in the record memory in response to the received update.

29. The apparatus of claim 1 wherein the record memory is external from the reconfigurable logic device.

30. The apparatus of claim 1 wherein the reconfigurable logic device comprises a field programmable gate array (FPGA).

3. An apparatus for processing financial market data, the financial market data associated with a plurality of interest lists and entitlement list, each interest list identifying whether any of a plurality of entities have expressed an interest in being notified of data relating to the financial market data, the entitlement list identifying whether any of a plurality of entities are entitled to be notified of data relating to the financial market data, the apparatus comprising:

a reconfigurable logic device, the reconfigurable logic device comprising a processing pipeline, the processing pipeline comprising a first firmware application module (FAM), and a second FAM downstream from the first FAM, the first FAM and the second FAM being configured to operate simultaneously in a pipelined fashion;

the first FAM configured to process a plurality of financial market data messages to generate processed financial market data;

the second FAM comprising an interest and entitlement filtering FAM, the interest and entitlement filtering FAM configured to perform interest and entitlement filtering with respect to financial market data previously processed by the first FAM, the interest and entitlement filtering FAM comprising bitwise OR logic and bitwise AND logic, the bitwise AND logic being downstream from the bitwise OR logic;

wherein the bitwise OR logic is configured to (1) receive a plurality of the interest lists associated with processed financial market data, and (2) perform a bitwise OR operation on the received interest lists to generate a combined interest list, the combined interest defining which of the entities have expressed an interest in being notified of the processed financial market data; and

wherein the bitwise AND logic is configured to (1) receive the combined interest list and the entitlement list, and (2) perform a bitwise AND operation on the received combined interest and the received entitlement list to generate an entitled interest list, the entitled interest list defining which of the entities are both entitled to and interested in being notified of the processed financial market data.

4. The apparatus of claim 3 wherein each interest list comprises a bit vector having a plurality of bit positions, wherein each bit position corresponds to a different entity, and wherein a bit value at each bit position determines whether the entity corresponding to that bit position is an interested entity.

5. The apparatus of claim 4 wherein the entitlement list comprises a bit vector having a plurality of bit positions, wherein each bit position corresponds to a different entity, and wherein a bit value at each bit position determines whether the entity corresponding to that bit position is an entitled entity.

6. The apparatus of claim 5 wherein the same bit positions in the interest lists and the entitlement list correspond to the same entities.

7. The apparatus of claim 6 wherein the financial market data is associated with a financial instrument, the apparatus further comprising a record memory, the record memory configured to store a regional record and a composite record associated with the financial instrument, wherein interest lists comprise a regional interest list associated with the financial instrument and a composite interest list associated with the financial instrument, the regional interest list being stored in the regional record for the financial instrument and the composite interest list being stored in the composite record for the financial instrument, wherein the first FAM is further configured to (1) retrieve the regional and composite interest lists for the processed financial market data, and (2) provide the retrieved regional and composite interest lists to the interest and entitlement filtering FAM, and wherein the bitwise OR logic is configured to compute the combined interest list based on the regional interest list and the composite interest list.

8. The apparatus of claim 7 wherein the interest lists further comprise an exchange interest list, the apparatus further comprising an exchange interest list table resident in a memory, the exchange interest list table comprising a plurality of exchange interest lists, each exchange interest list being (1) associated with an exchange and (2) indicative of all of the entities that have an expressed an interest in being notified of data relating to all financial market data events on the associated exchange, the interest and entitlement filtering FAM further configured to (1) receive an exchange identifier in association with the processed financial market data, (2) retrieve the exchange interest list from the exchange interest list table that is associated with the exchange relevant to the processed financial market data based on the received exchange identifier, and (3) compute the combined interest list based on the received regional interest list, the received composite interest list, and the retrieved exchange interest list.

9. The apparatus of claim 8 wherein the entitlement list comprises an entitlement mask, the apparatus further comprising an entitlement mask table resident in a memory, the entitlement mask table comprising a plurality of different entitlement masks, each entitlement mask being associated with an entitlement identifier, and wherein the interest and entitlement filtering FAM is further configured to (1) receive an entitlement identifier in association with the processed financial market data, and (2) retrieve an entitlement mask from the entitlement mask table based on the entitlement identifier associated with the processed financial market data.

10. The apparatus of claim 9 wherein at least one of the plurality of interest list bit vectors comprises a global interest list bit vector.

11. The apparatus of claim 8 wherein the processed financial market data comprises a plurality of data fields, and wherein the entitlement list comprises an entitlement mask, the apparatus further comprising an entitlement mask table resident in a memory, the entitlement mask table comprising a plurality of different entitlement masks, wherein the interest and entitlement filtering FAM is further configured to retrieve an entitlement mask from the entitlement mask table based on at least one data field of the processed financial market data.

12. The apparatus of claim 3 wherein the reconfigurable logic device is further configured to drop a message if the entitled interest list indicates that no entitled entity is interest in being notified of data relating to the processed financial market data.

13. A method for processing financial market data messages, each financial market data message comprising financial market data and being associated with a financial instrument, the method comprising:

storing a plurality of records for a plurality of financial instruments;

receiving the financial market data;

retrieving the stored records for the messages'"'"' associated financial instruments;

processing the received financial market data messages to update the stored records for the financial instruments associated with the messages; and

applying a plurality of sets of entitlement and interest data associated with the processed financial market data messages to bitwise combinatorial logic to generate combined entitlement and interest data that is indicative of which of a plurality of entities have expressed an interest in and are entitled to being notified of data relating to the updated records for the financial instruments;

wherein the retrieving and entitlement and interest data processing steps are performed by a reconfigurable logic device in a pipelined fashion such that the reconfigurable logic device performs the entitlement and interest data applying step with respect to a first message while the reconfigurable logic device performs the retrieving with respect to a second message.