Method and Apparatus for High-Speed Processing of Financial Market Depth Data

• US 20120089496A1
• Filed: 06/07/2011
• Published: 04/12/2012
• Est. Priority Date: 12/15/2008
• Status: Active Grant

• Current Assignee: Exegy Incorporated
• Original Assignee: Exegy Incorporated
• Inventors: Taylor, David E., Parsons, Scott, Gyang, Kwame, Whatley, Jeremy Walter, Bradley, Richard, DeWulf, Michael
• Granted Patent: US 8,768,805 B2
• Time in Patent Office: Days
• 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

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 enrich a stream of limit order events pertaining to financial instruments with data from a plurality of updated order books.

Claims

1. A method comprising:

streaming data representative of a plurality of limit order events pertaining to a plurality of financial instruments into a coprocessor;

processing the streaming data with the coprocessor to determine order book data associated with the limit order events;

generating a stream of enriched limit order events with the coprocessor, wherein the enriched limit order events are enriched with data indicative of the determined order book data.

2. The method of claim 1 wherein the generating step comprises appending a plurality of data fields to a plurality of limit order events to generate the enriched limit order events.

3. The method of claim 2 wherein the appending step comprises appending at least one price volume field to a limit order event.

4. The method of claim 3 wherein the at least one price volume field comprises a regional price volume field.

5. The method of claim 3 wherein the at least one price volume field comprises a composite price volume field.

6. The method of claim 2 wherein the appending step comprises appending at least one price order count field to a limit order event.

7. The method of claim 6 wherein the at least one price order count field comprises a regional price order count field.

8. The method of claim 6 wherein the at least one price order count field comprises a composite price order count field.

9. The method of claim 2 wherein the appending step comprises appending at least one order attribute vector field to a limit order event, the order attribute vector indicative of an impact of an attribute on an order book associated with the limit order event.

10. The method of claim 2 wherein the appending step comprises appending at least one price attribute vector field to a limit order event, the price attribute vector indicative of an impact of an attribute on a price point order book associated with the limit order event.

11. The method of claim 10 wherein the at least one price attribute vector field comprises a regional price attribute vector field.

12. The method of claim 10 wherein the at least one price attribute vector field comprises a composite price attribute vector field.

13. The method of claim 2 wherein the appending step comprises appending at least one sort order field to a limit order event, the sort order field being indicative of a relative position of the limit order event within an associated order book.

14. The method of claim 13 wherein the sort order field is indicative of a relative position of the limit order event within an associated price aggregated order book.

15. The method of claim 13 wherein the sort order field is indicative of a relative position of the limit order event within an associated composite price aggregated order book.

16. The method of claim 2 wherein the appending step comprises appending at least one interest vector field to a limit order event, the interest vector field being indicative of which of a plurality of client applications are interested in receiving the enriched limit order event.

17. The method of claim 16 wherein the interest vector field is further indicative of which fields of the enriched limit order event each of the plurality of client applications are interested in receiving.

18. The method of claim 1 wherein the processing step comprises:

resolving each of a plurality of limit order events to at least one record associated with an order book in a data structure; and

updating the records based on the content of the plurality of limit order events.

19. The method of claim 1 wherein the enriched limit order events comprises a stream view of a plurality of order books associated with the limit order events.

20. The method of claim 1 wherein the enriched limit order events comprises a summary view of a plurality of order books associated with the limit order events.

21. The method of claim 1 wherein the coprocessor is resident within a ticker plant.

22. The method of claim 1 wherein the coprocessor comprises a reconfigurable logic device, wherein the processing step and the generating step are performed by the reconfigurable logic device.

23. An apparatus comprising:

a coprocessor configured to (1) receive streaming data representative of a plurality of limit order events pertaining to a plurality of financial instruments, (2) process the streaming data to determine order book data associated with the limit order events, and (3) generate a stream of enriched limit order events, wherein the enriched limit order events are enriched with data indicative of the determined order book data.

24. The apparatus of claim 23 wherein the coprocessor is configured to generate the stream of enriched limit order events by appending a plurality of data fields to a plurality of limit order events.

25. The apparatus of claim 24 wherein the coprocessor is configured to generate the stream of enriched limit order events by appending at least one price volume field to a limit order event.

26. The apparatus of claim 25 wherein the at least one price volume field comprises a regional price volume field.

27. The apparatus of claim 25 wherein the at least one price volume field comprises a composite price volume field.

28. The apparatus of claim 24 wherein the coprocessor is configured to generate the stream of enriched limit order events by appending at least one price order count field to a limit order event.

29. The apparatus of claim 28 wherein the at least one price order count field comprises a regional price order count field.

30. The apparatus of claim 28 wherein the at least one price order count field comprises a composite price order count field.

31. The apparatus of claim 24 wherein the coprocessor is configured to generate the stream of enriched limit order events by appending at least one order attribute vector field to the limit order event, the order attribute vector indicative of an impact of an attribute on an order book associated with a limit order event.

32. The apparatus of claim 24 wherein the coprocessor is configured to generate the stream of enriched limit order events by appending at least one price attribute vector field to the limit order event, the price attribute vector indicative of an impact of an attribute on a price point order book associated with a limit order event.

33. The apparatus of claim 32 wherein the at least one price attribute vector field comprises a regional price attribute vector field.

34. The apparatus of claim 31 wherein the at least one price attribute vector field comprises a composite price attribute vector field.

35. The apparatus of claim 24 wherein the coprocessor is configured to generate the stream of enriched limit order events by appending at least one sort order field to a limit order event, the sort order field being indicative of a relative position of the limit order event within an associated order book.

36. The apparatus of claim 35 wherein the sort order field is indicative of a relative position of the limit order event within an associated price aggregated order book.

37. The apparatus of claim 35 wherein the sort order field is indicative of a relative position of the limit order event within an associated composite price aggregated order book.

38. The apparatus of claim 24 wherein the coprocessor is configured to generate the stream of enriched limit order events by appending at least one interest vector field to a limit order event, the interest vector field being indicative of which of a plurality of client applications are interested in receiving the enriched limit order event.

39. The apparatus of claim 38 wherein the interest vector field is further indicative of which fields of the enriched limit order event each of the plurality of client applications are interested in receiving.

40. The apparatus of claim 23 wherein the coprocessor is configured to (1) resolve each of a plurality of limit order events to at least one record associated with an order book in a data structure, and (2) update the records based on the content of the plurality of limit order events.

41. The apparatus of claim 23 wherein the enriched limit order events comprises a stream view of a plurality of order books associated with the limit order events.

42. The apparatus of claim 23 wherein the enriched limit order events comprises a summary view of a plurality of order books associated with the limit order events.

43. The apparatus of claim 23 wherein the coprocessor is resident within a ticker plant.

44. The apparatus of claim 23 wherein the coprocessor comprises a reconfigurable logic device.