US 11,676,206 B2
Method and apparatus for high-speed processing of financial market depth data
David E. Taylor, St. Louis, MO (US); Scott Parsons, St. Charles, MO (US); Jeremy Walter Whatley, Ballwin, MO (US); Richard Bradley, St. Louis, MO (US); Kwame Gyang, St. Louis, MO (US); and Michael DeWulf, St. Louis, MO (US)
Assigned to Exegy Incorporated, St. Louis, MO (US)
Filed by Exegy Incorporated, St. Louis, MO (US)
Filed on Feb. 22, 2021, as Appl. No. 17/181,097.
Application 14/315,571 is a division of application No. 13/154,804, filed on Jun. 7, 2011, granted, now 8,768,805, issued on Jul. 1, 2014.
Application 13/154,804 is a division of application No. PCT/US2009/067935, filed on Dec. 14, 2009.
Application 17/181,097 is a continuation of application No. 16/111,530, filed on Aug. 24, 2018, granted, now 10,929,930.
Application 16/111,530 is a continuation of application No. 14/315,571, filed on Jun. 26, 2014, granted, now 10,062,115, issued on Aug. 28, 2018.
Claims priority of provisional application 61/122,673, filed on Dec. 15, 2008.
Prior Publication US 2021/0174445 A1, Jun. 10, 2021
This patent is subject to a terminal disclaimer.
Int. Cl. G06Q 40/04 (2012.01); G06Q 40/00 (2023.01)
CPC G06Q 40/04 (2013.01) [G06Q 40/00 (2013.01)] 30 Claims
OG exemplary drawing
 
1. A system for applying specific computer technology to reduce latency and increase throughput with respect to updating a plurality of financial instrument order books in response to financial market data, the system comprising:
a memory for storing (1) a plurality of order data structures and (2) a plurality of price aggregation data structures, wherein the order data structures represent a plurality of order books for a plurality of financial instruments, wherein each order book corresponds to a financial instrument and comprises a plurality of limit order records for its corresponding financial instrument, wherein the limit order records of an order book comprise a plurality of fields that represent different limit orders for the order book's corresponding financial instrument, wherein the price aggregation data structures represent a plurality of price books for the financial instruments, wherein each price book corresponds to a financial instrument and comprises a plurality of price point records for its corresponding financial instrument, and wherein the price point records of a price book comprise a plurality of fields that represent aggregations of order information for limit orders at different price points for the price book's corresponding financial instrument; and
a field programmable gate array (FPGA) for processing financial market data, wherein the processed financial market data includes a plurality of limit order events for a plurality of financial instruments, and wherein the FPGA comprises an order engine and a price engine that are deployed on the FPGA for operation in parallel with each other; and
wherein the order engine and the price engine are configured to update and maintain the order data structures and the price aggregation data structures in parallel with each other based on the limit order events within the processed financial market data.