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Method and apparatus for high-speed processing of financial market depth data

DC
  • US 8,768,805 B2
  • Filed: 06/07/2011
  • Issued: 07/01/2014
  • Est. Priority Date: 12/15/2008
  • Status: Active Grant
First Claim
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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.

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