US 2015/0032590 A1 · APPARATUS AND A METHOD FOR CREATING A HIGH SPEED FINANCIAL MARKET DATA MESSAGE STREAM

Abstract

A matching engine message stream generator of an electronic exchange platform generates protocol-specific market data messages use and includes a first interface created on a reconfigurable logic device that receives matching engine message(s) with a source specific format from a matching engine. Based on a set of pre-defined conditions, the first interface filters out and discards messages of source specific format. The message stream generator further includes a buffer on the logic device that stores undiscarded messages of source specific format. The message stream generator also includes logic on the logic device that converts stored message(s) in source specific format into a market data message in a standardized format and generates a stream of market data messages having that standardized format. The message stream generator includes a second interface on the logic device that transmits the stream of converted market data messages.

Claims13

Dependent claims

A market data message stream generator of an automated electronic exchange platform comprising:

a first communications interface created on a reconfigurable logic device and configured to
receive at least one matching engine message of source specific format from a matching engine of said automated electronic exchange platform, and
filter out and discard matching engine messages of source specific format based on a set of pre-defined conditions;
a data message memory buffer created on said reconfigurable logic device and configured to store un-discarded matching engine messages of source specific format;
a firmware logic, deployed on the reconfigurable logic device, and configured to
convert the stored matching engine data message of source specific format into a market data message of standardized market data message protocol format, and
generate, from the converted matching engine data messages of standardized market data message protocol format, a stream of market data messages having standardized market data protocol format;
and
a second communications interface created on the reconfigurable logic device and configured to transmit the stream of converted market data messages.

6 more elements

A computer-implemented method of generating a market data message stream comprising:

receiving, via a first communications interface of a reconfigurable logic device, at least one message of source specific format from a matching engine of said automated electronic exchange platform;
filtering out and discarding, by the first communications interface, source specific matching engine messages based on a set of pre-defined conditions;
storing, by a data message memory buffer of said reconfigurable logic device, un-discarded matching engine messages of source specific format;
converting, by a firmware logic deployed on the reconfigurable logic device, the stored matching engine message of source specific format into a market data message of a standardized market data message protocol format;
generating, by the firmware logic, from the converted matching engine messages, a stream of market data messages having standardized market data protocol format;
and
transmitting, by a second communications interface of said reconfigurable logic device, the generated stream of converted market data messages having said standardized market data protocol format.

4 more elements

Dependencies are inferred from the claim text.

Apparatus and a method for creating a high speed financial market data message stream

Life of this patent

Apparatus and a method for creating a high speed financial market data message stream

Life of this patent

Abstract

Claims13