| CPC G06Q 40/04 (2013.01) [G06Q 30/0201 (2013.01)] | 19 Claims |
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1. A network appliance, comprising:
a field programmable gate array (FPGA) and/or application specific integrated circuit (ASIC) comprising a plurality of digital logic gates comprising:
comparator circuitry, comprising:
a first comparator input terminal configured to receive a first price value;
a second comparator input terminal configured to receive a second price value in parallel with the first comparator input terminal receiving the first price value; and
a comparator output terminal configured to, in response to the first comparator input terminal and the second comparator input terminal receiving the first price value and the second price value in parallel, respectively, provide an output indicating a comparison result of the first price value at the first comparator input terminal with respect to the second price value at the second comparator input terminal; and
multiplexing circuitry, comprising:
a first multiplexer input terminal configured to receive a first quantity value;
a second multiplexer input terminal configured to receive a second quantity value in parallel with the first multiplexer input terminal receiving the first quantity value; and
a multiplexer output terminal configured to, in response to the first multiplexer input terminal and the second multiplexer input terminal receiving the first quantity value and the second quantity value in parallel, respectively, provide an output quantity value from among at least the first multiplexer input terminal and the second multiplexer input terminal,
wherein the comparator output terminal is coupled to a terminal of the multiplexing circuitry such that the output from the multiplexer output terminal is based, at least in part, on the comparison result indicated by the comparator output terminal,
wherein the plurality of digital logic gates are configured to:
receive market data for a first instrument from a plurality of market data feeds, the market data comprising:
first market data comprising a first price of the first instrument and a first quantity of the first instrument at the first price from a first market data feed of the plurality of market data feeds; and
second market data comprising a second price of the first instrument and a second quantity of the first instrument at the second price from a second market data feed of the plurality of market data feeds;
process the first market data and the second market data in parallel, using the comparator circuitry to receive the first price of the first instrument at the first comparator input terminal and the second price of the first instrument at the second comparator input terminal in parallel with the first comparator input terminal receiving the first price of the first instrument, and using the multiplexing circuitry to receive the first quantity of the first instrument at the first multiplexer input terminal and the second quantity of the first instrument at the second multiplexer input terminal in parallel with the first multiplexer input terminal receiving the first quantity of the first instrument, to output, based on the comparison result output from the comparator output terminal and the output quantity value output from the multiplexer output terminal, consolidated market data comprising a consolidated price of the first instrument and a consolidated quantity of the first instrument at the consolidated price across at least the first market data feed and the second market data feed; and
communicate the consolidated market data for the first instrument to a market participant over a network with a consolidation latency of less than 5 microseconds.
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