Method and apparatus for high-speed processing of financial market depth data
DCFirst Claim
Patent Images
1. A method comprising:
- streaming data representative of a plurality of limit order events pertaining to a plurality of financial instruments into a reconfigurable logic device;
the reconfigurable logic device processing the streaming data to determine order book data associated with the limit order events; and
the reconfigurable logic device generating a stream of enriched limit order events by enriching the limit order events with data indicative of the determined order book data.
4 Assignments
Litigations
0 Petitions
Accused Products
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.
546 Citations
82 Claims
-
1. A method comprising:
-
streaming data representative of a plurality of limit order events pertaining to a plurality of financial instruments into a reconfigurable logic device; the reconfigurable logic device processing the streaming data to determine order book data associated with the limit order events; and the reconfigurable logic device generating a stream of enriched limit order events by enriching the limit order events with data indicative of the determined order book data. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24, 25, 26, 27, 28, 29, 30, 31, 32, 33, 34, 35, 36, 37, 38, 39, 40)
-
-
41. An apparatus comprising:
a reconfigurable logic device 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. - View Dependent Claims (42, 43, 44, 45, 46, 47, 48, 49, 50, 51, 52, 53, 54, 55, 56, 57, 58, 59, 60, 61, 62, 63, 64, 65, 66, 67, 68, 69, 70, 71, 72, 73, 74, 75, 76, 77, 78, 79, 80)
-
81. A method comprising:
-
streaming data representative of a plurality of limit order events into a reconfigurable logic device, wherein each of the limit order events is associated with a limit order for a financial instrument; accessing order book data in a memory, the order book data comprising (1) a plurality of limit order records corresponding to a plurality of limit orders for a plurality of financial instruments and (2) a plurality of price point records corresponding to financial instruments for which there are limit order records, the limit order records comprising a plurality of limit order record fields, and the price point records comprising a plurality of price point record fields; the reconfigurable logic device mapping a plurality of the limit order events to the limit order records corresponding to their associated limit orders; the reconfigurable logic device mapping a plurality of the limit order events to the price point records corresponding to the financial instruments for their associated limit orders; the reconfigurable logic device updating the mapped limit order records and the mapped price point records based on the limit order events; the reconfigurable logic device, for those limit order events that are mapped to limit order records and price point records, appending at least one limit order record field from the updated limit order records and at least one price point record field from the updated price point records to those limit order events to directly generate a plurality of enriched limit order events from the streaming data; and the reconfigurable logic device sending the enriched limit order events downstream;
wherein the reconfigurable logic device performs its respective steps at hardware processing speeds as the limit order events stream through. - View Dependent Claims (82)
-
Specification