Methods and Systems for Low Latency Generation and Distribution of Quote Price Direction Estimates
AssigneeExegy Incorporated
InventorsDavid Edward Taylor, Andy Young Lee, David Vincent Schuehler
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Abstract
Systems and methods are disclosed herein that compute trading signals with low latency and high throughput using highly parallelized compute resources such as integrated circuits, reconfigurable logic devices, graphics processor units (GPUs), multi-core general purpose processors, and/or chip multi-processors (CMPs). For example, an estimation that estimates a quote price direction for a quote on a financial instrument can be generated from streaming financial market data.
Claims30
A system for accelerated processing of streaming financial market data to derive trading signals at low latency, the system comprising:
- at least one member of the group consisting of (1) a reconfigurable logic device, (2) a graphics processor unit (GPU), (3) a chip multi-processor (CMP), and (4) a multi-core general purpose processor (GPP);
- and
- the at least one member configured to (1) receive streaming financial market data pertaining to a plurality of financial instruments, (2) process the streaming financial market data through parallelized processing logic to compute a plurality of features of the streaming financial market data, and (3) compute a quote price direction estimation with respect to a price for a quote on a financial instrument based on the computed features.
The system of 2 wherein the features comprise features that are correlated to and predictive of the quote price direction estimation.
A method for accelerated processing of streaming financial market data to derive trading signals at low latency, the method comprising:
- streaming financial market data through at least one member of the group consisting of (1) a reconfigurable logic device, (2) a graphics processor unit (GPU), (3) a chip multi-processor (CMP), and (4) a multi-core general purpose processor (GPP), wherein the streaming financial market data pertains to a plurality of financial instruments;
- and
- the at least one member processing the streaming financial market data through parallelized processing logic to compute a plurality of features of the streaming financial market data;
- and
- the at least one member computing a quote price direction estimation with respect to a price for a quote on a financial instrument based on the computed features.
Dependencies are inferred from the claim text.