Method and Apparatus for High-Speed Processing of Financial Market Depth Data

摘要

A variety of embodiments for hardware-accelerating the processing of financial market depth data are disclosed. A coprocessor, which may be resident in a ticker plant, can be configured to update order books based on financial market depth data at extremely low latency. Such a coprocessor can also be configured to enrich a stream of limit order events pertaining to financial instruments with data from a plurality of updated order books.

主权项

1. A method comprising:
streaming data representative of a plurality of limit order events pertaining to a plurality of financial instruments into a coprocessor; processing the streaming data with the coprocessor to determine order book data associated with the limit order events; generating a stream of enriched limit order events with the coprocessor, wherein the enriched limit order events are enriched with data indicative of the determined order book data.