Looking for breakthrough ideas for innovation challenges? Try Patsnap Eureka!

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

a technology of deep data and high-speed processing, applied in the field of deep data high-speed processing of financial market, can solve the problems of increasing affecting the system throughput, and affecting the overall system throughput, so as to increase the processing latency and the number of discrete systems, the effect of reducing the total system latency

Inactive Publication Date: 2012-04-19
EXEGY INC
View PDF12 Cites 122 Cited by
  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

AI Technical Summary

Benefits of technology

The patent text describes a method for generating an order book view from financial market depth data by maintaining a data structure representative of a plurality of order books and using a coprocessor to accelerate the processing of a plurality of financial market depth data messages. This method improves system throughput and decreases processing latency by performing order book processing in an integrated and accelerated fashion.

Problems solved by technology

Thus, level 1 data feeds from exchanges or other providers possess inherent latency relative to viewing “raw” order events on order book feeds.
The inventors believe that such a trading platform architecture increases processing latency and the number of discrete systems required to process order book feeds.

Method used

the structure of the environmentally friendly knitted fabric provided by the present invention; figure 2 Flow chart of the yarn wrapping machine for environmentally friendly knitted fabrics and storage devices; image 3 Is the parameter map of the yarn covering machine
View more

Image

Smart Image Click on the blue labels to locate them in the text.
Viewing Examples
Smart Image
  • Method and apparatus for high-speed processing of financial market depth data
  • Method and apparatus for high-speed processing of financial market depth data
  • Method and apparatus for high-speed processing of financial market depth data

Examples

Experimental program
Comparison scheme
Effect test

Embodiment Construction

[0073]Examples of suitable platforms for implementing exemplary embodiments of the invention are shown in FIGS. 8(a) and (b). FIG. 8(a) depicts a system 800 employs a hardware-accelerated data processing capability through coprocessor 840 to process financial market depth data. Within system 800, a coprocessor 840 is positioned to receive data that streams into the system 800 from a network 820 (via network interface 810). In a preferred embodiment, system 800 is employed to receive financial market limit order data and process financial market depth data. Network 820 thus preferably comprises a network through which system 800 can access a source for Level 2 financial data such as the exchanges themselves (e.g., NYSE, NASDAQ, etc.) or a third party provider (e.g., extranet providers such as Savvis or BT Radians). Such incoming data preferably comprises a series of financial market data messages, the messages representing events such as limit orders relating to financial instruments...

the structure of the environmentally friendly knitted fabric provided by the present invention; figure 2 Flow chart of the yarn wrapping machine for environmentally friendly knitted fabrics and storage devices; image 3 Is the parameter map of the yarn covering machine
Login to View More

PUM

No PUM Login to View More

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.

Description

CROSS-REFERENCE AND PRIORITY CLAIM TO RELATED PATENT APPLICATIONS[0001]This application claims priority to U.S. patent application 61 / 122,673, filed Dec. 15, 2008, entitled “Method and Apparatus for High-Speed Processing of Financial Market Depth Data”, the entire disclosure of which is incorporated herein by reference.[0002]This application is related to (1) U.S. patent application Ser. No. 12 / 013,302, filed Jan. 11, 2008, entitled “Method and System for Low Latency Basket Calculation”, published as U.S. Patent Application Publication 2009 / 0182683, (2) U.S. patent application Ser. No. 11 / 765,306, filed Jun. 19, 2007, entitled “High Speed Processing of Financial Information Using FPGA Devices”, published as U.S. Patent Application Publication 2008 / 0243675, (3) U.S. patent application Ser. No. 11 / 760,211, filed Jun. 8, 2007, entitled “Method and System for High Speed Options Pricing”, published as U.S. Patent Application Publication 2007 / 0294157, and (4) U.S. patent application Ser. ...

Claims

the structure of the environmentally friendly knitted fabric provided by the present invention; figure 2 Flow chart of the yarn wrapping machine for environmentally friendly knitted fabrics and storage devices; image 3 Is the parameter map of the yarn covering machine
Login to View More

Application Information

Patent Timeline
no application Login to View More
Patent Type & Authority Applications(United States)
IPC IPC(8): G06Q40/00
CPCG06Q40/04G06Q40/00
Inventor TAYLOR, DAVID E.PARSONS, SCOTTWHATLEY, JEREMY WALTERBRADLEY, RICHARDGYANG, KWAMEDEWULF, MICHAEL
Owner EXEGY INC
Who we serve
  • R&D Engineer
  • R&D Manager
  • IP Professional
Why Patsnap Eureka
  • Industry Leading Data Capabilities
  • Powerful AI technology
  • Patent DNA Extraction
Social media
Patsnap Eureka Blog
Learn More
PatSnap group products

Browse by: Latest US Patents, China's latest patents, Technical Efficacy Thesaurus, Application Domain, Technology Topic, Popular Technical Reports.

© 2024 PatSnap. All rights reserved.Legal|Privacy policy|Modern Slavery Act Transparency Statement|Sitemap|About US| Contact US: help@patsnap.com