High speed processing of financial information using FPGA devices

  • US 9,672,565 B2
  • Filed: 11/27/2013
  • Issued: 06/06/2017
  • Est. Priority Date: 06/19/2006
  • Status: Active Grant
First Claim
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1. An apparatus for processing financial market data, the apparatus comprising:

  • a computer system comprising a processor and a reconfigurable logic device that are configured to cooperate with each other to process streaming financial market data relating to a plurality of financial instruments;

    wherein the processor is configured to (1) execute an operating system that includes a user space for a user mode and a kernel space for a kernel mode, (2) receive a feed of streaming financial market data through a network protocol stack, wherein the streaming financial market data comprises volume and price information corresponding to a plurality of financial instruments, (3) use shared memory that is mapped into the kernel space and the user space to store financial market data within the streaming financial market data while the financial market data is being processed by the processor, and (4) facilitate DMA transfers of the stored financial market data to the reconfigurable logic device from the shared memory; and

    the reconfigurable logic device having firmware logic deployed thereon that is configured to (1) receive financial market data from the shared memory via the DMA transfers, and (2) compute a volume weighted average price (VWAP) for each of a plurality of the financial instruments corresponding to the received financial market data based on volume and pricing information within the received financial market data.

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