AN APPARATUS AND A METHOD FOR CREATING A HIGH SPEED FINANCIAL MARKET DATA MESSAGE STREAM

摘要

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.