High Speed Processing of Financial Information Using FPGA Devices

• US 20110178919A1
• Filed: 03/31/2011
• Published: 07/21/2011
• Est. Priority Date: 06/19/2006
• Status: Active Grant

• Current Assignee: Exegy Incorporated
• Original Assignee: Exegy Incorporated
• Inventors: Parsons, Scott, Chamberlain, Roger D., Taylor, David E., Schuehler, David Vincent, Franklin, Mark A.
• Granted Patent: US 8,478,680 B2
• Time in Patent Office: Days
• 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
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

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

Claims

1. An apparatus comprising:

a reconfigurable logic device having firmware logic deployed thereon that is configured 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.

2. The apparatus of claim 1 wherein each financial instrument order book is associated with a financial instrument and comprises a sorted list of bids and offers associated with a plurality of orders for that financial instrument.

3. The apparatus of claim 2 wherein each financial instrument order book comprises a plurality of subrecords associated with the bids and offers, the subrecords comprising a price field.

4. The apparatus of claim 3 wherein the firmware logic is further configured to maintain a sort order of the sorted lists for the financial instrument order books in real-time.

5. The apparatus of claim 3 wherein the firmware logic is further configured to generate a top slice view of a financial instrument order book.

6. The apparatus of claim 5 wherein the top slice view of the financial instrument order book comprises the orders for the financial instrument associated with that financial instrument order book that are within a specified number of price points of a best price in that financial instrument order book.

7. The apparatus of claim 3 wherein the firmware logic is further configured to generate a price aggregate view of a financial instrument order book.

8. The apparatus of claim 7 wherein the price aggregate view of the financial instrument order book comprises a plurality of entries that are indicative of a total number of orders for that financial instrument at each of a plurality of price points.

9. The apparatus of claim 3 wherein the firmware logic is further configured to generate a view of a financial instrument order book such that orders for the financial instrument associated with that financial instrument order book from at least one specified trading venue are excluded from the view.

10. The apparatus of claim 3 wherein the firmware logic is further configured to generate a composite view of a financial instrument order book.

11. The apparatus of claim 10 wherein the composite view of the financial instrument order book comprises the orders across a plurality of exchanges for the financial instrument associated with that financial instrument order book.

12. The apparatus of claim 3 further comprising a memory in which a plurality of data structures representative of the financial instrument order books are stored.

13. The apparatus of claim 12 wherein the memory is resident on the reconfigurable logic device.

14. The apparatus of claim 12 wherein the memory comprises a memory device accessible by the reconfigurable logic device.

15. The apparatus of claim 12 wherein the memory comprises a cache memory.

16. The apparatus of claim 12 wherein the firmware logic is further configured (1) extract order information from the streaming financial market data, and (2) create, update, and remove subrecords for the data structures in real-time based on the extracted information.

17. The apparatus of claim 16 further comprising a programmable data dictionary for defining how the reconfigurable logic device is to update at least a portion of the subrecords for the data structures.

18. The apparatus of claim 12 wherein the streaming financial market data comprises a message pertaining to a financial instrument, the message comprising a data field, and wherein the reconfigurable logic device is further configured to update a subrecord of a financial instrument order book data structure associated with that financial instrument in real-time by storing data from the data field within a field of that subrecord.

19. The apparatus of claim 12 wherein the streaming financial market data comprises a plurality of messages pertaining to a financial instrument, and wherein the firmware logic is further configured to (1) accumulate data based on a series of the messages within a time-bound window, and (2) update a subrecord of a financial instrument order book data structure associated with that financial instrument by storing the accumulated data from the data field within a field of that subrecord.

20. The apparatus of claim 12 wherein the streaming financial market data comprises a message pertaining to a financial instrument, the message comprising a data field, and wherein the firmware logic is further configured to (1) determine whether a condition is true based on a programmable rule, and (2) in response to a determination that the condition is true, update a subrecord of a financial instrument order book data structure associated with that financial instrument in real-time by storing data from the data field within a field of that subrecord.

21. The apparatus of claim 12 wherein the streaming financial market data comprises a message pertaining to a financial instrument, the message comprising a data field, and wherein the firmware logic is further configured to (1) compute a new value based at least in part on the message, and (2) update a subrecord of a financial instrument order book data structure associated with that financial instrument in real-time by storing the computed new value within a field of that subrecord.

22. The apparatus of claim 3 wherein the firmware logic is further configured to synthesize a financial instrument quote stream based on the streaming financial market data and the financial instrument order books.

23. The apparatus of claim 22 wherein the firmware logic is further configured to synthesize the financial instrument quote stream by (1) detecting when a message for a financial instrument causes a best bid or offer entry in a financial instrument order book to change, and (2) in response to detecting that the best bid or offer entry has changed, generating a quote for that financial instrument corresponding to changed best bid or offer.

24. The apparatus of claim 23 further comprising an application for execution by the apparatus, the application configured to receive and operate on the generated financial instrument quote.

25. The apparatus of claim 1 further comprising a ticker plant within which the reconfigurable logic device is resident.

26. The apparatus of claim 25 wherein the ticker plant further comprises a processor for receiving streaming financial market data and managing a flow of at least a portion of the streaming financial market data to the reconfigurable logic device.

27. The apparatus of claim 26 wherein the processor comprises a general purpose processor (GPP).

28. A method comprising:

processing 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;

maintaining in real-time a plurality of financial instrument order books based on the messages; and

wherein the method steps are performed by firmware logic resident on a reconfigurable logic device.

29. The method of claim 28 wherein each financial instrument order book is associated with a financial instrument and comprises a sorted list of bids and offers associated with a plurality of orders for that financial instrument.

30. The method of claim 29 wherein each financial instrument order book comprises a plurality of subrecords associated with the bids and offers, the subrecords comprising a price field.

31. The method of claim 30 further comprising the firmware logic maintaining a sort order of the sorted lists for the financial instrument order books in real-time.

32. The method of claim 30 further comprising the firmware logic generating a top slice view of a financial instrument order book.

33. The method of claim 32 wherein the top slice view of the financial instrument order book comprises the orders for the financial instrument associated with that financial instrument order book that are within a specified number of price points of a best price in that financial instrument order book.

34. The method of claim 30 further comprising the firmware logic generating a price aggregate view of a financial instrument order book.

35. The method of claim 34 wherein the price aggregate view of the financial instrument order book comprises a plurality of entries that are indicative of a total number of orders for that financial instrument at each of a plurality of price points.

36. The method of claim 30 further comprising the firmware logic generating a view of a financial instrument order book such that orders for the financial instrument associated with that financial instrument order book from at least one specified trading venue are excluded from the view.

37. The method of claim 30 further comprising the firmware logic generating a composite view of a financial instrument order book.

38. The method of claim 37 wherein the composite view of the financial instrument order book comprises the orders across a plurality of exchanges for the financial instrument associated with that financial instrument order book.

39. The method of claim 30 further comprising storing the financial instrument order books in a memory as a plurality of data structures.

40. The method of claim 39 wherein the memory is resident on the reconfigurable logic device.

41. The method of claim 39 wherein the memory comprises a memory device accessible by the reconfigurable logic device.

42. The method of claim 39 wherein the memory comprises a cache memory.

43. The method of claim 39 further comprising the firmware logic (1) extracting order information from the streaming financial market data, and (2) creating, updating, and removing subrecords for the data structures in real-time based on the extracted information.

44. The method of claim 43 further comprising a programmable data dictionary defining how the reconfigurable logic device is to update at least a portion of the subrecords for the data structures.

45. The method of claim 39 wherein the streaming financial market data comprises a message pertaining to a financial instrument, the message comprising a data field, the method further comprising the firmware logic updating a subrecord of a financial instrument order book data structure associated with that financial instrument in real-time by storing data from the data field within a field of that subrecord.

46. The method of claim 39 wherein the streaming financial market data comprises a plurality of messages pertaining to a financial instrument, the method further comprising the firmware logic (1) accumulating data based on a series of the messages within a time-bound window, and (2) updating a subrecord of a financial instrument order book data structure associated with that financial instrument by storing the accumulated data from the data field within a field of that subrecord.

47. The method of claim 39 wherein the streaming financial market data comprises a message pertaining to a financial instrument, the message comprising a data field, the method further comprising the firmware logic (1) determining whether a condition is true based on a programmable rule, and (2) in response to a determination that the condition is true, updating a subrecord of a financial instrument order book data structure associated with that financial instrument in real-time by storing data from the data field within a field of that subrecord.

48. The method of claim 39 wherein the streaming financial market data comprises a message pertaining to a financial instrument, the message comprising a data field, the method further comprising the firmware logic (1) computing a new value based at least in part on the message, and (2) updating a subrecord of a financial instrument order book data structure associated with that financial instrument in real-time by storing the computed new value within a field of that subrecord.

49. The method of claim 30 further comprising the firmware logic synthesizing a financial instrument quote stream based on the streaming financial market data and the financial instrument order books.

50. The method of claim 49 further comprising the firmware logic synthesizing the financial instrument quote stream by (1) detecting when a message for a financial instrument causes a best bid or offer entry in a financial instrument order book to change, and (2) in response to detecting that the best bid or offer entry has changed, generating a quote for that financial instrument corresponding to changed best bid or offer.

51. The method of claim 50 further comprising an application receiving and operating on the generated financial instrument quote.

52. The method of claim 28 wherein the reconfigurable logic device is resident within a ticker plant.

53. The method of claim 52 wherein the ticker plant further comprises a processor, the processor receiving streaming financial market data and managing a flow of at least a portion of the streaming financial market data to the reconfigurable logic device.

54. The method of claim 53 wherein the processor comprises a general purpose processor (GPP).

55. An apparatus comprising:

an order book server for maintaining a plurality of financial instrument order books, the order book server comprising an offload engine for (1) processing 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) updating in real-time the financial instrument order books based on the messages.

56. The apparatus of claim 55 wherein the offload engine comprises a reconfigurable logic device having firmware logic deployed thereon for performing the processing and updating operations.

57. A method comprising:

maintaining a data structure representative of a plurality of order books for a plurality of financial instruments; and

processing, by firmware logic deployed on a reconfigurable logic device, a plurality of financial market data messages to update the order books within the data structure.

58. An apparatus comprising:

a memory for storing a data structure representative of a plurality of order books for a plurality of financial instruments; and

a reconfigurable logic device having firmware logic deployed thereon that is configured to process a plurality of financial market depth data messages to update the order books within the data structure.

59. A method comprising:

synthesizing, by firmware logic deployed on a reconfigurable logic device, quote events associated with a plurality of financial instruments from a financial market data feed, wherein the reconfigurable logic device is resident within a ticker plant.

60. An apparatus comprising:

a ticker plant, the ticker plant having a reconfigurable logic device, the reconfigurable logic device having firmware logic deployed thereon that is configured to synthesize quote events associated with a plurality of financial instruments from a financial market data feed.

61. A method for processing financial market data, the method comprising:

streaming a financial market data feed through a reconfigurable logic device, the reconfigurable logic device having a resident firmware application module pipeline; and

performing with the firmware application module pipeline a plurality of different financial data processing operations on the streaming financial market data, wherein at least one of the financial data processing operations comprises an order book server operation.