Intelligent Switch for Processing Financial Market Data

A method comprising:

• receiving a plurality of incoming data packets via at least one port of a switch, the incoming data packets comprising a plurality of financial market data messages, the financial market data messages comprising data that describes financial market data for a plurality of financial instruments, and wherein at least a plurality of the received data packets comprise transmission control protocol (TCP) data packets, the switch comprising (1) a plurality of ports, (2) switching logic, and (3) a processor, wherein the switching logic and processor are co-resident within the switch;
• performing, by the processor, a TCP termination on at least a plurality of the received TCP data packets;
• determining, by the switching logic, at least one of the ports for a plurality of outgoing data packets with reference to the incoming data packets, the outgoing data packets comprising data that describes at least a portion of the financial market data;
• and
• outputting the outgoing data packets via the determined at least one port.

A system comprising:

• an intelligent switch for processing financial market data, the switch comprising (1) a plurality of ports, (2) switching logic, and (3) a processor, wherein the switching logic and processor are co-resident within the intelligent switch, wherein at least one of the ports is configured to receive a plurality of incoming data packets, the incoming data packets comprising a plurality of financial market data messages, the financial market data messages comprising data that describes financial market data for a plurality of financial instruments, wherein at least another of the ports being configured to output a plurality of outgoing data packets, the outgoing data packets comprising data that describes at least a portion of the financial market data, wherein the switching logic is configured to determine a port for the outgoing data packets with reference to the incoming data packets, and wherein the processor is configured to perform a processing operation on at least a portion of the data describing the financial market data, the processing operation comprising at least one selected from the group consisting of (1) a packet mapping operation, (2) a TCP termination operation, (3) a line arbitration operation, (4) a gap detection operation, (5) a packet parsing operation, (6) a message parsing operation, (7) a symbol mapping operation, (8) a sequencing operation, (9) a data normalization operation, (10) a symbol routing operation, (11) a repackaging operation, (12) a synthetic quote generation operation, (13) a last event caching operation, (14) an order book maintenance operation, (15) a data quality monitoring operation, (16) a field addition operation, and (17) a data distribution operation;
• an electronic trading platform downstream from the intelligent switch, the electronic trading platform configured to consume data output by the switch,
• a latency-sensitive trading application configured to receive processed financial market data directly from the intelligent switch and perform a trading operation in response to the processed financial market data from the intelligent switch;
• and
• wherein the switch offloads at least a portion of the data processing operation from the electronic trading platform.

A system comprising:

• an intelligent switch for processing financial market data, the switch comprising (1) a plurality of ports, (2) switching logic, and (3) a processor, wherein the switching logic and processor are co-resident within the intelligent switch, wherein at least one of the ports is configured to receive a plurality of incoming data packets, the incoming data packets comprising a plurality of financial market data messages, the financial market data messages comprising data that describes financial market data for a plurality of financial instruments, wherein at least another of the ports being configured to output a plurality of outgoing data packets, the outgoing data packets comprising data that describes at least a portion of the financial market data, wherein the switching logic is configured to determine a port for the outgoing data packets with reference to the incoming data packets, and wherein the processor is configured to perform a processing operation on at least a portion of the data describing the financial market data, the processing operation comprising at least one selected from the group consisting of (1) a packet mapping operation, (2) a TCP termination operation, (3) a line arbitration operation, (4) a gap detection operation, (5) a packet parsing operation, (6) a message parsing operation, (7) a symbol mapping operation, (8) a sequencing operation, (9) a data normalization operation, (10) a symbol routing operation, (11) a repackaging operation, (12) a synthetic quote generation operation, (13) a last event caching operation, (14) an order book maintenance operation, (15) a data quality monitoring operation, (16) a field addition operation, and (17) a data distribution operation;
• a feed handler downstream from the intelligent switch, the feed handler configured to consume data output by the switch,
• a latency-sensitive trading application configured to receive processed financial market data directly from the intelligent switch and perform a trading operation in response to the processed financial market data from the intelligent switch;
• and
• wherein the switch offloads at least a portion of the data processing operation from the feed handler.