High speed processing of financial information using FPGA devices

• US 9,916,622 B2
• Filed: 02/17/2014
• Issued: 03/13/2018
• Est. Priority Date: 06/19/2006
• Status: Active Grant

• Current Assignee: Exegy Incorporated
• Original Assignee: Ip Reservoir, LLC
• Inventors: Parsons, Scott, Taylor, David E., Schuehler, David Vincent, Franklin, Mark A., Chamberlain, Roger D.
• Primary Examiner(s): BORLINGHAUS, JASON M
• Application Number:
  US14/181,949
• Publication Number:
  US 20140164215A1
• Time in Patent Office: 1,485 Days
• Field of Search: 705 36 R
• 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 a plurality of financial market data messages are disclosed. With respect to an exemplary embodiment, a reconfigurable logic device is employed to map the symbols present in the financial market data messages to another symbology.

Claims

1. An apparatus for processing streaming financial market data, the apparatus comprising:

a computer system, the computer system comprising a reconfigurable logic device, a symbol index memory, and a processor;

wherein the processor, the reconfigurable logic device, and the symbol index memory are configured to cooperate with each other to process the streaming financial market data;

wherein the symbol index memory is configured to store a plurality of record keys, each record key corresponding to a financial instrument and identifying a memory address for data about the corresponding financial instrument; and

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 a plurality of financial market data messages, (3) use shared memory that is mapped into the kernel space and the user space to store financial market data within the financial market data messages while the financial market data messages are being processed by the processor, the stored financial market data including ticker symbol character strings and associated financial instrument price information, and (4) facilitate DMA transfers of the stored financial market data to the reconfigurable logic device from the shared memory;

wherein the reconfigurable logic device is configured with a plurality of firmware application modules (FAMs) arranged in a pipeline, the FAMs including a symbol mapping FAM, the symbol mapping FAM configured to (1) process a plurality of the ticker symbol character strings within the streaming financial market data, the ticker symbol character strings configured to identify a plurality of financial instruments corresponding to the messages, (2) map the processed ticker symbol character strings to the record keys in the symbol index memory that correspond to the financial instruments identified by the processed ticker symbol character strings, and (3) output the mapped record keys; and

wherein the reconfigurable logic device is further configured to (1) receive financial market data from the shared memory via the DMA transfers and (2) stream the received financial market data through the pipeline including the symbol mapping FAM.

2. The apparatus of claim 1 wherein the symbol mapping FAM is further configured to (1) process each ticker symbol character string via a transformation with respect to each ticker symbol character string, and (2) map the processed ticker symbol character strings to the record keys based on the transformations.

3. The apparatus of claim 2 wherein the transformation comprises a compression operation.

4. The apparatus of claim 2 wherein the transformation comprises an encoding operation.

5. The apparatus of claim 2 wherein the computer system further comprises:

a record management memory, the record management memory configured to store data about the financial instruments identified by the ticker symbol character strings in memory addresses corresponding to the record keys, the financial instrument data comprising a plurality of pointers to a plurality of records for the financial instruments identified by the ticker symbol character strings; and

wherein the FAMs further include a FAM downstream from the symbol mapping FAM, the downstream FAM configured to (1) receive the mapped record keys, and (2) retrieve a plurality of the pointers from the record management memory based on the mapped record keys.

6. The apparatus of claim 5 wherein the computer system further comprises:

a record storage memory, the record storage memory configured to store the financial instrument records in memory addresses corresponding to the pointers in the record management memory; and

wherein the downstream FAM is further configured to (1) retrieve a plurality of financial instrument records from the record storage memory based on the retrieved pointers, and (2) update the retrieved financial instrument records based on financial market data within the financial market data messages.

7. The apparatus of claim 6 wherein the symbol mapping FAM and the downstream FAM are configured to operate together simultaneously in a pipelined fashion such that the symbol mapping FAM is configured to operate with respect to a first financial market data message while the downstream FAM operates with respect to a second financial market data message.

8. The apparatus of claim 7 wherein the reconfigurable logic device comprises a field programmable gate array (FPGA), and wherein the symbol mapping FAM and the downstream FAM are configured to operate together simultaneously in the pipelined fashion at hardware processing speeds.

9. The apparatus of claim 5 wherein the symbol index memory comprises a plurality N of the record keys, wherein N represents how many different unique financial instruments are supported by the record management memory, and wherein each record key comprises a binary value having a size of M bits, wherein M=log₂(N).

10. The apparatus of claim 5 wherein the symbol index memory is separate from the record management memory.

11. The apparatus of claim 2 wherein the symbol index memory is internal to the reconfigurable logic device.

12. The apparatus of claim 2 wherein the symbol index memory comprises a memory device external from the reconfigurable logic device.

37. The apparatus of claim 1 wherein the processor is further configured to (1) normalize financial market data within the financial market data messages, (2) use the shared memory to store the normalized financial market data, wherein the normalized financial market data includes the ticker symbol character strings and associated financial instrument price information, and (3) facilitate DMA transfers of the normalized financial market data to the reconfigurable logic device from the shared memory.

38. The apparatus of claim 37 wherein the shared memory comprises first shared memory that is mapped into the kernel space and the user space and second shared memory that is mapped into the kernel space and the user space, wherein a first driver that executes within the kernel space of the operating system while the operating system is in the kernel mode is configured to (1) maintain a kernel level interface into the network protocol stack, and (2) copy the streaming financial market data from the network protocol stack into the first shared memory without a transition to the user mode;

and

wherein user mode code that executes within the user space of the operating system is configured to (1) access financial market data from the first shared memory, (2) normalize the accessed financial market data, and (3) write the normalized financial market data to the second shared memory.

39. The apparatus of claim 38 wherein a second driver that executes within the kernel space of the operating system while the operating system is in the kernel mode is configured to facilitate the DMA transfers of the normalized financial market data from the second shared memory to the reconfigurable logic device.

40. The apparatus of claim 39 wherein the user mode code comprises a plurality of threads, each thread configured for execution to normalize a different group of the accessed financial market data independently of the other threads.

41. The apparatus of claim 1 wherein the reconfigurable logic device comprises a field programmable gate array (FPGA).

42. The apparatus of claim 1 wherein the shared memory comprises a ring buffer.

43. The apparatus of claim 1 wherein the symbol index memory is internal to the reconfigurable logic device.

44. The apparatus of claim 1 wherein the symbol index memory comprises a memory device external from the reconfigurable logic device.

13. An apparatus for processing streaming financial market data, the apparatus comprising:

a computer system, the computer system comprising a reconfigurable logic device and a processor;

wherein the processor and the reconfigurable logic device are configured to cooperate with each other to process the streaming financial market data;

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 messages through a network protocol stack, (3) use shared memory that is mapped into the kernel space and the user space to store financial market data within the financial market data messages while the financial market data messages are being processed by the processor, the stored financial market data including ticker symbol character strings and associated financial instrument price information, and (4) facilitate DMA transfers of the stored financial market data to the reconfigurable logic device from the shared memory;

wherein the reconfigurable logic device is configured to (1) process a ticker symbol character string within streaming financial market data, wherein the ticker symbol character string representative of ticker symbol for a subject financial instrument, wherein the ticker symbol character string is member of a set of a plurality N of different ticker symbol character strings corresponding to N different financial instruments, (2) map the processed ticker symbol character string to a binary value within a set of a plurality N of different binary values, wherein each binary value in the set of N different binary values has a size of M bits and is representative of a different financial instrument, wherein M=log₂(N), (3) use the mapped binary value as a unique identifier for the subject financial instrument with regard to the streaming financial market data, and (4) repeat the process, map, and use operations for a plurality of ticker symbol character strings within streaming financial market data for a plurality of financial instruments as the streaming financial market data streams through the reconfigurable logic device; and

wherein the reconfigurable logic device is further configured to (1) receive financial market data from the shared memory via the DMA transfers and (2) stream the received financial market data through firmware logic on the reconfigurable logic device that is configured to repeatedly perform the process, map, and use operations for a plurality of ticker symbol character strings within the streaming received financial market data.

14. The apparatus of claim 13 wherein the computer system further comprises:

a symbol index memory, the symbol index memory configured to store the N binary values; and

wherein the reconfigurable logic device is further configured to (1) process the character strings via a transformation of the ticker symbol character strings, and (2) map the processed ticker symbol character strings to the binary values in the symbol index memory based on the transformations.

15. The apparatus of claim 14 wherein the computer system further comprises:

a memory configured to store data about the financial instruments corresponding to the ticker symbol character strings in memory addresses corresponding to the binary values; and

wherein the reconfigurable logic device is further configured to retrieve data about the financial instruments corresponding to the processed ticker symbol character strings based on the mapped binary values.

16. The apparatus of claim 15 wherein the retrieved financial instrument data comprises a plurality of pointers to a plurality of records for the financial instruments corresponding to the processed ticker symbol character strings.

17. A method for processing streaming financial market data using a computer system, the computer system comprising a reconfigurable logic device, a symbol index memory, and a processor, the method comprising:

storing a plurality of record keys in the symbol index memory, each record key corresponding to a financial instrument and identifying a memory address for data about the corresponding financial instrument;

the processor executing an operating system that includes a user space for a user mode and a kernel space for a kernel mode, wherein the executing step comprises;

the processor receiving a feed of streaming financial market data through a network protocol stack, wherein the streaming financial market data comprises a plurality of financial market data messages;

the processor using shared memory that is mapped into the kernel space and the user space to store financial market data within the financial market data messages while the financial market data messages are being processed by the processor, the stored financial market data including ticker symbol character strings and associated financial instrument price information; and

the processor facilitating DMA transfers of the stored financial market data to the reconfigurable logic device from the shared memory;

the reconfigurable logic device (1) receiving financial market data from the shared memory via the DMA transfers and (2) streaming the received financial market data through a pipeline deployed on the reconfigurable logic device, wherein the pipeline includes a symbol mapping firmware application module (FAM)_;

the symbol mapping FAM processing a plurality of the ticker symbol character strings within the streaming financial market data, the ticker symbol character strings configured to identify a plurality of financial instruments corresponding to the messages;

the symbol mapping FAM mapping the processed ticker symbol character strings to the record keys in the symbol index memory that correspond to the financial instruments identified by the processed ticker symbol character strings; and

the symbol mapping FAM outputting the mapped record keys.

18. The method of claim 17 wherein the processing step comprises the symbol mapping FAM performing a transformation with respect to each ticker symbol character string within the streaming financial market data messages;

and

wherein the mapping step comprises the symbol mapping FAM mapping the ticker symbol character strings to the record keys based on the transformations.

19. The method of claim 18 wherein the transformation comprises a compression operation.

20. The method of claim 18 wherein the transformation comprises an encoding operation.

21. The method of claim 18 wherein the pipeline further comprises a FAM downstream from the symbol mapping FAM, the method further comprising:

storing data about the financial instruments identified by the ticker symbol character strings in a record management memory in memory addresses corresponding to the record keys, the financial instrument data comprising a plurality of pointers to a plurality of records for the financial instruments identified by the ticker symbol character strings_;

the downstream FAM receiving the mapped record keys; and

the downstream FAM retrieving a plurality of the pointers from the record management memory based on the mapped record keys.

22. The method of claim 21 further comprising:

storing the financial instrument records in a record storage memory in memory addresses corresponding to the pointers in the record management memory; and

the downstream FAM retrieving a plurality of financial instrument records from the record storage memory based on the retrieved pointers;

the downstream FAM updating the retrieved financial instrument records based on financial market data within the financial market data messages.

23. The method of claim 22 further comprising the symbol mapping FAM and the downstream FAM operating together simultaneously in a pipelined fashion such that the symbol mapping FAM is operating with respect to a first financial market data message while the downstream FAM operates with respect to a second financial market data message.

24. The method of claim 23 wherein the reconfigurable logic device comprises a field programmable gate array (FPGA), the method further comprising the symbol mapping FAM and the downstream FAM operating together simultaneously in the pipelined fashion at hardware processing speeds.

25. The method of claim 21 wherein the symbol index memory comprises a plurality N of the record keys, wherein N represents how many different unique financial instruments are supported by the record management memory, and wherein each record key comprises a binary value having a size of M bits, wherein M=log₂(N).

26. The method of claim 21 wherein the symbol index memory is separate from the record management memory.

27. The method of claim 18 wherein the symbol index memory is internal to the reconfigurable logic device.

28. The method of claim 18 wherein the symbol index memory comprises a memory device external from the reconfigurable logic device.

29. The method of claim 17 wherein the executing step further comprises:

the processor normalizing financial market data within the financial market data messages;

wherein the using step comprises the processor using the shared memory to store the normalized financial market data, wherein the normalized financial market data includes the ticker symbol character strings and associated financial instrument price information; and

wherein the facilitating step comprises the processor facilitating DMA transfers of the normalized financial market data to the reconfigurable logic device from the shared memory.

30. The method of claim 29 wherein the shared memory comprises first shared memory that is mapped into the kernel space and the user space and second shared memory that is mapped into the kernel space and the user space, and wherein the executing step further comprises:

a first driver executing within the kernel space of the operating system while the operating system is in the kernel mode, wherein the first driver executing step comprises the first driver (1) maintaining a kernel level interface into the network protocol stack and (2) copying the streaming financial market data from the network protocol stack into the first shared memory without a transition to the user mode; and

user mode code executing within the user space of the operating system, wherein the user mode code executing step comprises the user mode code (1) accessing financial market data from the first shared memory, (2) normalizing the accessed financial market data, and (3) writing the normalized financial market data to the second shared memory.

31. The method of claim 30 wherein the processor executing step further comprises:

a second driver executing within the kernel space of the operating system while the operating system is in the kernel mode, the second driver executing step comprising the second driver facilitating the DMA transfers of the normalized financial market data from the second shared memory to the reconfigurable logic device.

32. The method of claim 31 wherein the user mode code comprises a plurality of threads, each thread normalizing a different group of the accessed financial market data independently of the other threads.

33. The method of claim 17 wherein the reconfigurable logic device comprises a field programmable gate array (FPGA).

34. The method of claim 17 wherein the shared memory comprises a ring buffer.

35. The method of claim 17 wherein the symbol index memory is internal to the reconfigurable logic device.

36. The method of claim 17 wherein the symbol index memory comprises a memory device external from the reconfigurable logic device.