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

Patent metadata

Field	Value
Publication number	US-10062115-B2
Application number	US-201414315571-A
Country	US
Kind code	B2
Filing date	Jun 26, 2014
Priority date	Dec 15, 2008
Publication date	Aug 28, 2018
Grant date	Aug 28, 2018

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.

First claim

What is claimed is:

1. A method for applying specific computer technology to reduce latency and increase throughput with respect to streaming data enrichment, the method comprising:
streaming data representative of a plurality of limit order events pertaining to a plurality of financial instruments into a coprocessor, the coprocessor including an order engine and a price engine;
the order engine accessing a plurality of limit order records based on the streaming limit order event data;
the order engine generating updated limit order data based on the accessed limit order records and the streaming limit order event data;
the price engine accessing a plurality of price point records based on the streaming limit order event data;
the price engine generating updated price point data based on the accessed price point records and the streaming limit order event data; and
the coprocessor generating a stream of enriched limit order events, wherein the enriched limit order events are enriched with the updated limit order and price point data; and
wherein the order engine and the price engine perform their steps in parallel with each other as the limit order event data streams through the coprocessor.

2. The method of claim 1 wherein the coprocessor comprises a member of the group consisting of a reconfigurable logic device, a chip-multi-processor (CMP), and a graphics processing unit (GPU), and wherein the order engine and the price engine are deployed on the member.

3. The method of claim 2 wherein the stream generating step comprises the coprocessor appending a plurality of data fields corresponding to the updated limit order and price point data to a plurality of limit order events to generate the enriched limit order events.

4. The method of claim 3 wherein the appending step comprises the coprocessor appending at least one price volume field to a limit order event.

5. The method of claim 4 wherein the at least one price volume field comprises a regional price volume field.

6. The method of claim 4 wherein the at least one price volume field comprises a composite price volume field.

7. The method of claim 3 wherein the appending step comprises the coprocessor appending at least one price order count field to a limit order event.

8. The method of claim 7 wherein the at least one price order count field comprises a regional price order count field.

9. The method of claim 7 wherein the at least one price order count field comprises a composite price order count field.

10. The method of claim 3 wherein the appending step comprises the coprocessor appending at least one order attribute vector field to a limit order event, the order attribute vector indicative of an impact of an attribute on an order book associated with the limit order event.

11. The method of claim 3 wherein the appending step comprises the coprocessor appending at least one price attribute vector field to a limit order event, the price attribute vector indicative of an impact of an attribute on a price point order book associated with the limit order event.

12. The method of claim 11 wherein the at least one price attribute vector field comprises a regional price attribute vector field.

13. The method of claim 11 wherein the at least one price attribute vector field comprises a composite price attribute vector field.

14. The method of claim 3 wherein the appending step comprises the coprocessor appending at least one sort order field to a limit order event, the sort order field being indicative of a relative position of the limit order event within an associated order book.

15. The method of claim 14 wherein the sort order field is indicative of a relative position of the limit order event within an associated price aggregated order book.

16. The method of claim 14 wherein the sort order field is indicative of a relative position of the limit order event within an associated composite price aggregated order book.

17. The method of claim 3 wherein the appending step comprises the coprocessor appending at least one interest vector field to a limit order event, the interest vector field being indicative of which of a plurality of client applications are interested in receiving the enriched limit order event.

18. The method of claim 17 wherein the interest vector field is further indicative of which fields of the enriched limit order event each of the plurality of client applications are interested in receiving.

19. The method of claim 2 wherein the order engine accessing step comprises:
the order engine resolving each of a plurality of limit order events in the streaming limit order event data to at least one limit order record associated with an order book in a limit order records data structure; and
the method further comprising the order engine updating the accessed limit order records based on the content of the plurality of limit order events.

20. The method of claim 2 wherein the enriched limit order events comprises a stream view of a plurality of order books associated with the limit order events.

21. The method of claim 2 wherein the enriched limit order events comprises a summary view of a plurality of order books associated with the limit order events.

22. The method of claim 2 wherein the coprocessor is resident within a ticker plant.

23. The method of claim 2 wherein each of the limit order events is associated with a limit order for the financial instrument to which it pertains wherein the limit order records comprise a plurality of limit order record fields, and wherein the price point records comprise a plurality of price point record fields;
wherein the order engine accessing step comprises the order engine mapping a plurality of the limit order events to the limit order records corresponding to their associated limit orders;
wherein the price engine accessing step comprises the price engine mapping a plurality of the limit order events to the price point records corresponding to the financial instruments for their associated limit orders
the method further comprising (1) the order engine updating the limit order records based on the updated limit order data, and (2) the price engine updating the price point records based on the updated price point data; and
wherein the stream generating step comprises the coprocessor, 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 generate enriched limit order events.

24. The method of claim 23 wherein the mapped limit order record for at least one of the limit order events includes a limit order record field that comprises an identifier for an attribute with respect to the determined limit order record; and
wherein the appending step comprises the coprocessor appending the attribute identifier to the at least one limit order event.

25. The method of claim 24 wherein the attribute identifier is indicative of whether the determined limit order record pertains to an ephemeral regional order.

26. The method of claim 24 wherein the attribute identifier is indicative of whether the determined limit order record relates to an implied liquidity.

27. The method of claim 23 wherein the mapped limit order rec

Assignees

• Ip Reservoir Llc

Inventors

• Taylor David E
• Parsons Scott
• Whatley Jeremy Walter
• Bradley Richard
• Gyang Kwame
• Dewulf Michael

Classifications

• G06Q40/00

  Finance; Insurance; Tax strategies; Processing of corporate or income taxes · CPC title

• G06Q40/04 Primary

  Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange · CPC title