Method and apparatus for high-speed processing of financial market depth data

US11676206B2 · kind B2 · utility

Assignee

• Exegy Incorporated · US

Inventors

• David E. Taylor · Chesterfield, US
• Scott Parsons · Holden, US
• Jeremy Walter Whatley · Ballwin, US
• Richard Bradley · Fairmont, US
• Kwame Gyang · Chesterfield, US
• Michael DeWulf · Chesterfield, US

Key dates

• Filing date: Feb 22, 2021
• Grant date: Jun 13, 2023
• Expiry date: Mar 6, 2041

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/00
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

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 and price 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 and price books.