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
First Claim
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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.

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