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
First Claim
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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.

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