High speed processing of financial information using FPGA devices

• US 8,626,624 B2
• Filed: 03/31/2011
• Issued: 01/07/2014
• 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:
  US13/076,982
• Publication Number:
  US 20110179050A1
• Time in Patent Office: 1,013 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 reconfigurable logic device is employed to (1) receive the financial market data messages, and (2) parse each received financial market data message into its constituent data fields.

Claims

1. An apparatus for processing financial market data messages, the messages having a message format and comprising a plurality of data fields, each data field having a data value, the apparatus comprising:

a reconfigurable logic device; and

a memory configured to store a data dictionary, the data dictionary comprising a plurality of entries corresponding to the message format, the entries configured to describe (1) a plurality of fields for the message format, (2) a plurality of positions for the fields within the financial market data messages having the message format, (3) a plurality of sizes for the fields within the financial market data messages having the message format, and (4) metadata for the fields within the financial market data messages having the message format; and

wherein the reconfigurable logic device comprises firmware logic, the firmware logic configured to (1) access the memory to read the data dictionary entries, and (2) parse a plurality of financial market data messages having the message format into their constituent data fields in accordance with the data dictionary entries to thereby generate a stream of parsed financial market data, the parsed financial market data comprising a plurality of data values for a plurality of the data fields and metadata from the data dictionary entries corresponding to the data fields; and

wherein the reconfigurable logic device and the memory are configured to support parsing of different message formats without altering the firmware logic by changing the data dictionary entries to be accessed and read by the firmware logic.

2. The apparatus of claim 1 wherein the metadata in the data dictionary entries comprise a field identifier and a data type.

3. The apparatus of claim 1 wherein the memory is external to the reconfigurable logic device.

4. The apparatus of claim 1 wherein the reconfigurable logic device comprises a plurality of firmware application modules (FAMs) arranged as a processing pipeline, the FAMs including a message parsing FAM and at least one downstream FAM;

wherein the message parsing FAM is configured to (1) access the memory to read the data dictionary entries, and (2) parse a plurality of received financial market data messages having the message format into their constituent data fields in accordance with the read data dictionary entries to thereby generate the stream of parsed financial market data;

wherein the at least one downstream FAM is configured to perform a data processing operation on at least a portion of the parsed financial market data; and

wherein the at least one downstream FAM is configured to operate simultaneously with the message parsing FAM in a pipelined fashion such that the at least one downstream FAM is configured to operate on parsed financial market data for a financial market data message previously parsed by the message parsing FAM while the message parsing FAM parses another financial market data message.

5. The apparatus of claim 4 wherein the at least one downstream FAM comprises at least one member of the group consisting of (1) a symbol ID mapping FAM, (2) a value cache update FAM, (3) a top 10 lists generator FAM, (4) a minute bar generator FAM, (5) an interest entitlement filter FAM, and (6) a programmatic calculation engine FAM.

6. The apparatus of claim 4 wherein the processing pipeline further comprises (1) a message synchronization buffer downstream from the message parsing FAM, and (2) a message formatter FAM downstream from the message synchronization buffer and the at least one downstream FAM;

wherein the message parsing FAM is further configured to provide the data fields of the financial market data messages to the message synchronization buffer for buffering therein;

wherein the at least one downstream FAM is further configured to perform the data processing operation on a select subset of the parsed financial market data; and

wherein the message formatter FAM is configured to generate a new financial market data message based on the buffered data fields in the message synchronization buffer and the processed financial market data produced by the at least one downstream FAM.

7. The apparatus of claim 4 wherein the reconfigurable logic device comprises a field programmable gate array (FPGA), the processing pipeline being resident on the FPGA, the processing pipeline configured to operate at hardware processing speeds.

8. The apparatus of claim 1 wherein the message format comprises a fixed record format.

17. The apparatus of claim 1 wherein the messages correspond to a plurality of different message types having different message formats;

wherein the data dictionary entries are associated with the different message types and describe (1) the fields for the message formats of the message types, (2) the positions for the fields with the messages having the message formats of the message types, (3) the sizes for the fields within the messages having the message formats of the message types, and (4) metadata for the fields within the messages having the message formats of the message types;

wherein the reconfigurable logic device further comprises a buffer, the reconfigurable logic device configured to load the data dictionary entries associated with a plurality of different message types; and

wherein the firmware logic is further configured to (1) determine a message type for a plurality of received financial market data messages, (2) read the data dictionary entries for the message format corresponding to each determined message type from the buffer, and (3) parse each received message into its constituent data fields as defined by the data dictionary entries for the determined message format corresponding to each received message'"'"'s determined message type in the data dictionary.

18. The apparatus of claim 17 wherein the memory comprises a memory device that is external to the reconfigurable logic device.

19. The apparatus of claim 18 wherein the memory device comprises at least one selected from the group consisting of an SRAM device and an SDRAM device.

9. A method for processing financial market data messages, the messages having a message format and comprising a plurality of data fields, each data field having a data value, wherein the reconfigurable logic device comprises firmware logic, the method comprising:

a memory storing a data dictionary, the data dictionary comprising a plurality of entries corresponding to the message format, the entries describing (1) a plurality of fields for the message format, (2) a plurality of positions for the fields within the financial market data messages having the message format, (3) a plurality of sizes for the fields within the financial market data messages having the message format, and (4) metadata for the fields within the financial market data messages having the message format; and

the firmware logic accessing the memory to read the data dictionary entries;

the firmware logic parsing a plurality of the financial market data messages having the message format into their constituent data fields in accordance with the data dictionary entries to thereby generate a stream of parsed financial market data, the parsed financial market data comprising a plurality of data values for a plurality of the data fields and metadata from the data dictionary entries corresponding to the data fields; and

the reconfigurable logic device and the memory supporting the parsing of different message formats without altering the firmware logic by changing the data dictionary entries to be accessed and read by the firmware logic.

10. The method of claim 9 wherein the metadata in the data dictionary entries comprise a field identifier and a data type.

11. The method of claim 9 wherein the reconfigurable logic device comprises a plurality of firmware application modules (FAMs) arranged as a processing pipeline, the FAMs including a message parsing FAM and at least one downstream FAM, the method further comprising:

the message parsing FAM (1) accessing the memory to read the data dictionary entries, and (2) parsing a plurality of received financial market data messages having the message format into their constituent data fields in accordance with the read data dictionary entries to thereby generate the stream of parsed financial market data;

the at least one downstream FAM performing a data processing operation on at least a portion of the parsed financial market data; and

wherein the at least one downstream FAM operates simultaneously with the message parsing FAM in a pipelined fashion such that the at least one downstream FAM is operating on parsed financial market data for a financial market data message previously parsed by the message parsing FAM while the message parsing FAM is parsing another financial market data message.

12. The method of claim 11 wherein the processing pipeline further comprises (1) a message synchronization buffer downstream from the message parsing FAM, and (2) a message formatter FAM downstream from the message synchronization buffer and the at least one downstream FAM, the method further comprising:

the message parsing FAM providing the data fields of the financial market data messages to the message synchronization buffer for buffering therein;

the at least one downstream FAM performing the data processing operation on a select subset of the parsed financial market data; and

the message formatter FAM generating a new financial market data message based on the buffered data fields in the message synchronization buffer and the processed financial market data produced by the at least one downstream FAM.

13. The method of claim 11 wherein the reconfigurable logic device comprises a field programmable gate array (FPGA), the processing pipeline being resident on the FPGA, the processing pipeline operating at hardware processing speeds.

14. The method of claim 9 wherein the memory is external to the reconfigurable logic device.

15. The method of claim 11 wherein the at least one downstream FAM comprises at least one member of the group consisting of (1) a symbol ID mapping FAM, (2) a value cache update FAM, (3) a top 10 lists generator FAM, (4) a minute bar generator FAM, (5) an interest entitlement filter FAM, and (6) a programmatic calculation engine FAM.

16. The method of claim 9 wherein the message format comprises a fixed record format.

20. The method of claim 9 wherein the messages correspond to a plurality of different message types having different message formats;

wherein the data dictionary entries are associated with the different message types and describe (1) the fields for the message formats of the message types, (2) the positions for the fields with the messages having the message formats of the message types, (3) the sizes for the fields within the messages having the message formats of the message types, and (4) metadata for the fields within the messages having the message formats of the message types;

wherein the reconfigurable logic device further comprises a buffer, the reconfigurable logic device configured to load the data dictionary entries associated with a plurality of different message types; and

wherein the method further comprises the firmware logic (1) determining a message type for a plurality of received financial market data messages, (2) reading the data dictionary entries for the message format corresponding to each determined message type from the buffer, (3) parsing each received message into its constituent data fields as defined by the data dictionary entries for the message format corresponding to each received message'"'"'s determined message type.