Method and apparatus for high-speed processing of financial market depth data

• US 8,762,249 B2
• Filed: 06/07/2011
• Issued: 06/24/2014
• Est. Priority Date: 12/15/2008
• Status: Active Grant

• Current Assignee: Exegy Incorporated
• Original Assignee: Ip Reservoir, LLC
• Inventors: Taylor, David E., Parsons, Scott, Whatley, Jeremy Walter, Bradley, Richard, Gyang, Kwame, DeWulf, Michael
• Primary Examiner(s): Subramanian, Narayanswamy
• Application Number:
  US13/154,824
• Publication Number:
  US 20120089497A1
• Time in Patent Office: 1,113 Days
• Field of Search: 705 35- 37
• US Class Current: 705/37
• 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

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 generate a quote event in response to a limit order event being determined to modify the top of an order book.

Claims

1. An apparatus comprising:

a ticker plant, the ticker plant comprising a reconfigurable logic device, wherein the reconfigurable logic device is configured to synthesize quote events associated with a plurality of financial instruments by (1) ingesting a level 2 financial market data feed comprising a plurality of limit order events, the plurality of limit order events pertaining to a plurality of financial instruments, (2) processing the limit order event data to update a plurality of order books, the order books pertaining to a plurality of financial instruments, (3) determining, in response to the processing, whether a limit order event modifies the top of an order book, and (4) generating synthesized quote event data for a limit order event determined to modify the top of an order book.

2. The apparatus of claim 1 wherein the reconfigurable logic device is in communication with a last value cache (LVC) data structure, and wherein the reconfigurable logic device is further configured to update the LVC data structure based on the synthesized quote event data.

3. The apparatus of claim 1 wherein the reconfigurable logic device comprises a basket calculation engine (BCE) module, and wherein the reconfigurable logic device is further configured to provide the synthesized quote event data to the BCE module, and wherein the BCE module is configured to compute a new value for a financial instrument basket based on the synthesized quote event data.

4. The apparatus of claim 3 wherein the BCE module is further configured to perform the computation by computing an updated net asset value (NAV) for a financial instrument basket which has a member the financial instrument pertaining to the limit order event that modified the top of the order book.

5. The apparatus of claim 3 wherein the reconfigurable logic device comprises a field programmable gate array (FPGA).

6. The apparatus of claim 1 wherein the reconfigurable logic device is further configured to modify the order books based on the processed limit order event data.

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

8. A method comprising:

synthesizing quote events associated with a plurality of financial instruments from a level 2 financial market data feed using a reconfigurable logic device within a ticker plant;

wherein the synthesizing step comprises the reconfigurable logic device (1) ingesting a level 2 financial market data feed comprising a plurality of limit order events, the plurality of limit order events pertaining to a plurality of financial instruments, (2) processing the limit order event data to update a plurality of order books, the order books pertaining to a plurality of financial instruments, (3) determining, in response to the processing, whether a limit order event modifies the top of an order book, and (4) generating synthesized quote event data for a limit order event determined to modify the top of an order book.

9. The method of claim 8 further comprising:

the reconfigurable logic device updating a last value cache (LVC) data structure based on the synthesized quote event data.

10. The method of claim 8 further comprising:

providing the synthesized quote event data to a basket calculation engine deployed on the reconfigurable logic device; and

the basket calculation engine computing a new value for a financial instrument basket based on the synthesized quote event data.

11. The method of claim 10 wherein the computing step comprises the basket calculation engine computing an updated net asset value (NAV) for a financial instrument basket which has a member the financial instrument pertaining to the limit order event that modified the top of the order book.

12. The method of claim 10 wherein the reconfigurable logic device comprises a field programmable gate array (FPGA).

13. The method of claim 8 further comprising:

the reconfigurable logic device modifying the order books based on the processed limit order event data.

14. The method of claim 8 wherein the reconfigurable logic device comprises a field programmable gate array (FPGA).