High speed processing of financial information using FPGA devices

• US 8,478,680 B2
• Filed: 03/31/2011
• Issued: 07/02/2013
• Est. Priority Date: 06/19/2006
• Status: Active Grant

• Current Assignee: Exegy Incorporated
• Original Assignee: Exegy Incorporated
• Inventors: Parsons, Scott, Taylor, David E., Schuehler, David Vincent, Franklin, Mark A., Chamberlain, Roger D.
• Primary Examiner(s): Borlinghaus, Jason M
• Application Number:
  US13/077,036
• Publication Number:
  US 20110178919A1
• Time in Patent Office: 824 Days
• Field of Search: None
• 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 for processing a plurality of streaming financial market data order messages, each order message corresponding to a financial instrument and comprising (1) a symbol string for identifying the order message'"'"'s corresponding financial instrument and (2) financial market data that is representative of an offer to buy or sell its corresponding financial instrument, the firmware logic comprising a processing pipeline, the processing pipeline comprising a symbol mapping firmware application module (FAM) and an order book cache (OBC) FAM that is downstream from the symbol mapping FAM; and

a memory configured to cache a plurality of financial instrument records, each financial instrument record corresponding to a financial instrument and comprising an order book for its corresponding financial instrument;

wherein the symbol mapping FAM is configured to (1) receive the symbol strings for a plurality of the order messages, and (2) map the received symbol strings to a plurality of record keys for use by the OBC FAM to facilitate retrieval from the memory of the cached financial instrument records which correspond to the same financial instruments identified by the symbol strings;

wherein the OBC FAM is configured to (1) receive streaming financial market data for a plurality of the order messages in association with the mapped record keys for those order messages, (2) retrieve the cached financial instrument records from the memory based on the record keys, (3) generate a plurality of updates for the financial instrument order books of the retrieved financial instrument records based on the received financial market data, and (4) update the cached financial instrument records in the memory based on the generated updates; and

wherein the symbol mapping FAM and the OBC FAM are configured to operate simultaneously with respect to each other in a pipelined fashion such that the symbol mapping FAM is configured to operate with respect to an order message while the OBC FAM operates with respect to another order message.

2. The apparatus of claim 1 wherein each financial instrument order book comprises a sorted list of bids and offers associated with a plurality of orders for its corresponding 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 OBC FAM 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 OBC FAM is further configured to (1) determine which orders in the financial instrument order book for a financial instrument are within a specified number of price points of a best price available for that financial instrument in the financial instrument order book based on the price fields, and (2) generate a top slice view of the financial instrument order book for that financial instrument based on the determined orders.

6. The apparatus of claim 3 wherein the OBC FAM is further configured to (1) aggregate the orders in the financial instrument order book for a financial instrument that share a common price point based on the price fields, and (2) generate a price aggregate view of the financial instrument order book for that financial instrument based on the aggregated orders.

7. The apparatus of claim 6 wherein OBC FAM is further configured to perform the aggregation with respect to a plurality of price points to thereby generate a price aggregate view of the financial instrument order book that is indicative of a total number of orders for that financial instrument at each of a plurality of price points.

8. The apparatus of claim 3 wherein the OBC FAM is further configured to generate a view of a financial instrument order book such that orders for the financial instrument corresponding to that financial instrument order book from at least one specified trading venue are excluded from the view.

9. The apparatus of claim 3 wherein the OBC FAM is further configured to, for a financial instrument order book whose corresponding financial instrument is traded on a plurality of exchanges, (1) determine a composite sort order for orders in that financial instrument order book with respect to all exchanges on which that financial instrument is traded, and (2) generate a composite view of that financial instrument order book based on the determined composite sort order.

10. The apparatus of claim 9 wherein the composite sort order comprises a sort order based on the price fields.

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

12. The apparatus of claim 11 wherein the memory comprises a memory device accessible by the reconfigurable logic device.

13. The apparatus of claim 1 wherein the OBC FAM is further configured (1) extract order information from the received financial market data, and (2) create, update, and remove subrecords for the financial instrument order books in real-time based on the extracted information.

14. The apparatus of claim 13 further comprising a programmable data dictionary for defining how the OBC FAM is to update at least a portion of the subrecords for the financial instrument order books.

15. The apparatus of claim 1 wherein the financial market data of the order messages comprises a plurality of data fields, and wherein the OBC FAM is further configured to update a subrecord of a financial instrument order book in real-time by storing data from a data field of the financial market data within a field of that subrecord.

16. The apparatus of claim 1 wherein the order messages comprise a plurality of messages pertaining to the same financial instrument, and wherein the OBC FAM is further configured to (1) accumulate data based on a series of the order messages pertaining to the same financial instrument within a time-bound window, and (2) update a subrecord of the financial instrument order book for that financial instrument by storing the accumulated data within a field of that subrecord.

17. The apparatus of claim 1 wherein the OBC FAM is further configured to (1) process the received financial market data corresponding to a financial instrument to determine whether a condition is true based on a programmable rule in combination with the received financial market data, and (2) in response to a determination that the condition is true, update a subrecord of the financial instrument order book corresponding to that financial instrument in real-time by storing at least a portion of the processed financial market data within a field of that subrecord.

18. The apparatus of claim 1 wherein the OBC FAM is further configured to (1) compute a new value based at least in part on the received financial market data corresponding to a financial instrument, and (2) update a subrecord of the financial instrument order book corresponding to that financial instrument in real-time by storing the computed new value within a field of that subrecord.

19. The apparatus of claim 3 wherein the firmware logic is further configured to synthesize a financial instrument quote stream based on the updated financial instrument order books.

20. The apparatus of claim 19 wherein the firmware logic is further configured to synthesize the financial instrument quote stream by (1) detecting when an order 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, the generated financial instrument quote corresponding to the changed best bid or offer.

21. The apparatus of claim 20 further comprising an application for execution by the apparatus, the application configured to receive and operate on the generated financial instrument quote.

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

23. The apparatus of claim 22 wherein the ticker plant further comprises a processor for receiving streaming financial market data messages, including the order messages, and managing a flow of at least a portion of the order messages to the reconfigurable logic device.

24. The apparatus of claim 23 wherein the processor comprises a general purpose processor (GPP).

49. The apparatus of claim 1 wherein the reconfigurable logic device comprises a field programmable gate array (FPGA), and wherein the symbol mapping FAM and the OBC FAM are configured to perform their respective operations at hardware processing speeds.

50. The apparatus of claim 1 wherein the record keys comprise a plurality of direct record keys to a plurality of addresses in the memory for a plurality of the financial instrument records.

51. The apparatus of claim 5 wherein the reconfigurable logic device is further configured to (1) receive a request from an external application for the top slice view, and (2) provide the external application with the generated top slice view in response to the request.

52. The apparatus of claim 6 wherein the reconfigurable logic device is further configured to (1) receive a request from an external application for the price aggregate view, and (2) provide the external application with the generated price aggregate view in response to the request.

53. The apparatus of claim 9 wherein the reconfigurable logic device is further configured to (1) receive a request from an external application for the composite view, and (2) provide the external application with the generated composite view in response to the request.

25. A method comprising:

caching a plurality of financial instrument records in a memory, each financial instrument record corresponding to a financial instrument and comprising an order book for its corresponding financial instrument; and

processing a plurality of streaming financial market data order messages, each order message corresponding to a financial instrument and comprising (1) a symbol string for identifying the order message'"'"'s corresponding financial instrument and (2) financial market data that is representative of an offer to buy or sell its corresponding financial instrument, wherein the processing step is performed by firmware logic deployed on a reconfigurable logic device, the firmware logic comprising a processing pipeline, the processing pipeline comprising a symbol mapping firmware application module (FAM) and an order book cache (OBC) FAM that is downstream from the symbol mapping FAM, and wherein the processing step comprises;

the symbol mapping FAM (1) receiving the symbol strings for a plurality of the order messages, and (2) mapping the received symbol strings to a plurality of record keys for use by the OBC FAM to facilitate retrieval from the memory of the cached financial instrument records which correspond to the same financial instruments identified by the symbol strings; and

the OBC FAM (1) receiving streaming financial market data for a plurality of the order messages in association with the mapped record keys for those order messages, (2) retrieving the cached financial instrument records from the memory based on the record keys, (3) generating a plurality of updates for the financial instrument order books of the retrieved financial instrument records based on the received financial market data, and (4) updating the cached financial instrument records in the memory based on the generated updates; and

wherein the symbol mapping FAM and the OBC FAM perform their respective steps simultaneously with respect to each other in a pipelined fashion such that the symbol mapping FAM performs its steps with respect to an order message while the OBC FAM performs its steps with respect to another order message.

26. The method of claim 25 wherein each financial instrument order book comprises a sorted list of bids and offers associated with a plurality of orders for its corresponding financial instrument.

27. The method of claim 26 wherein each financial instrument order book comprises a plurality of subrecords associated with the bids and offers, the subrecords comprising a price field.

28. The method of claim 27 wherein the processing step further comprises the OBC FAM maintaining a sort order of the sorted lists for the financial instrument order books in real-time.

29. The method of claim 27 wherein the processing step further comprises the OBC FAM (1) determining which orders in the financial instrument order book for a financial instrument are within a specified number of price points of a best price available for that financial instrument in the financial instrument order book based on the price fields, and (2) generating a top slice view of the financial instrument order book for that financial instrument based on the determined orders.

30. The method of claim 27 wherein the processing step further comprises the OBC FAM (1) aggregating the orders in the financial instrument order book for a financial instrument that share a common price point based on the price fields, and (2) generating a price aggregate view of the financial instrument order book for that financial instrument based on the aggregated orders.

31. The method of claim 30 wherein the processing step further comprises the OBC FAM performing the aggregating with respect to a plurality of price points to thereby generate a price aggregate view of the financial instrument order book that is indicative of a total number of orders for that financial instrument at each of a plurality of price points.

32. The method of claim 27 wherein the processing step further comprises the OBC FAM generating a view of a financial instrument order book such that orders for the financial instrument corresponding to that financial instrument order book from at least one specified trading venue are excluded from the view.

33. The method of claim 27 wherein the processing step further comprises the OBC FAM, for a financial instrument order book whose corresponding financial instrument is traded on a plurality of exchanges, (1) determining a composite sort order for orders in that financial instrument order book with respect to all exchanges on which that financial instrument is traded, and (2) generating a composite view of that financial instrument order book based on the determined composite sort order.

34. The method of claim 33 wherein the composite sort order comprises a sort order based on the price fields.

35. The method of claim 25 wherein the memory is external from resident on the reconfigurable logic device.

36. The method of claim 35 wherein the memory comprises a memory device accessible by the reconfigurable logic device.

37. The method of claim 25 wherein the processing step further comprises the OBC FAM (1) extracting order information from the received financial market data, and (2) creating, updating, and removing subrecords for the financial instrument order books in real-time based on the extracted information.

38. The method of claim 37 further comprising defining via a programmable data dictionary how the OBC FAM is to update at least a portion of the subrecords for the financial instrument order books.

39. The method of claim 25 wherein the financial market data of the order messages comprises a plurality of data fields, and wherein the processing step further comprises the OBC FAM updating a subrecord of a financial instrument order book in real-time by storing data from a data field of the financial market data within a field of that subrecord.

40. The method of claim 25 wherein the order messages comprise a plurality of messages pertaining to the same financial instrument, and wherein the processing step further comprises the OBC FAM (1) accumulating data based on a series of the order messages pertaining to the same financial instrument within a time-bound window, and (2) updating a subrecord of the financial instrument order book for that financial instrument by storing the accumulated data within a field of that subrecord.

41. The method of claim 25 wherein the processing step further comprises the OBC FAM (1) process the received financial market data corresponding to a financial instrument to determine whether a condition is true based on a programmable rule in combination with the received financial market data, and (2) in response to a determination that the condition is true, updating a subrecord of the financial instrument order book corresponding to that financial instrument in real-time by storing at least a portion of the processed financial market data within a field of that subrecord.

42. The method of claim 25 wherein the processing step further comprises the OBC FAM (1) computing a new value based at least in part on the received financial market data corresponding to a financial instrument, and (2) updating a subrecord of the financial instrument order book corresponding to that financial instrument in real-time by storing the computed new value within a field of that subrecord.

43. The method of claim 27 wherein the processing step further comprises the firmware logic synthesizing a financial instrument quote stream based on the updated financial instrument order books.

44. The method of claim 43 wherein the synthesizing step further comprises the firmware logic (1) detecting when an order 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, the generated financial instrument quote corresponding to the changed best bid or offer.

45. The method of claim 44 further comprising an application receiving and operating on the generated financial instrument quote.

46. The method of claim 25 wherein the reconfigurable logic device is resident within a ticker plant.

47. The method of claim 46 wherein the ticker plant further comprises a processor, the processor receiving streaming financial market data messages, including the order messages, and managing a flow of at least a portion of the order messages to the reconfigurable logic device.

48. The method of claim 47 wherein the processor comprises a general purpose processor (GPP).

54. The method of claim 25 wherein the reconfigurable logic device comprises a field programmable gate array (FPGA), and wherein processing step further comprises the symbol mapping FAM and the OBC FAM performing their respective steps at hardware processing speeds.

55. The method of claim 25 wherein the record keys comprise a plurality of direct record keys to a plurality of addresses in the memory for a plurality of the financial instrument records.