System, method, and FPGA circuit for processing electronic messages in a distributed computer system
Abstract:
A distributed computer system includes a matcher server that stores an order book of pending orders and a gateway that routes an order message to the matcher server for matching. The gateway also receives individual quote messages bundled into a mass quote message, each individual quote message including a price value for one of a plurality of different instrument identifiers. The gateway routes the mass quote message to a field programmable gate array (FPGA) circuit without involving the matcher server. The FPGA parses and stores data for each individual quote message to a data structure located in the memory of the FPGA. The parsed data is organized in the data structure according to both the instrument identifier and a client identifier that corresponds to a client that sent the mass quote message. The FPGA receives away market feed messages that each include a price value and a corresponding instrument identifier without first being routed through the matcher server or the gateway and updates the data structure. The FPGA delivers, in response to a query sent as part of the matching process performed on the matcher server for the instrument, information stored in the data structure regarding the instrument.
Information query
Patent Agency Ranking
0/0