| 摘要 |
Embodiments of present invention disclose computer implemented method and an apparatus for generating protocol specific market data messages. Embodiments include a computer-implemented method for market data message generation and a matching engine data message stream generator (300) of an automated electronic exchange platform. The matching engine data message stream generator (300) comprises a first communications interface (301) which is created on a reconfigurable logic device and configured to receive at least one matching engine message of source specific format from a matching engine (141) of the automated electronic exchange platform (140).Based on a set of pre-defined conditions, the first communications interface of the matching engine data message stream generator is configured to filter out and discard matching engine messages of source specific format. The matching engine data message stream generator further includes a data message memory buffer (302) created on said reconfigurable logic device and configured to store un-discarded matching engine messages of source specific format. The matching engine data message stream generator moreover includes a firmware logic (303), 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 to 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. The matching engine data message stream generator further includes a second communications interface (306) created on the reconfigurable logic device and configured to transmit the stream of converted market data messages. |
