Method and Apparatus for Managing Orders in Financial Markets

Abstract

An integrated order management engine is disclosed that reduces the latency associated with managing multiple orders to buy or sell a plurality of financial instruments. Also disclosed is an integrated trading platform that provides low latency communications between various platform components. Such an integrated trading platform may include a trading strategy offload engine.

What is claimed is: 
     
         1 . A system comprising:
 a trading platform, the trading platform configured to receive and process streaming financial market data, the trading platform comprising:   a host system, the host system comprising a host processor and host memory;   a ticker plant engine, wherein the ticker plant engine is deployed on a (1) a reconfigurable logic device, (2) a graphics processor unit (GPU), and/or (3) a chip multi-processor (CMP);   an order management engine, wherein the order management engine is deployed on a (1) a reconfigurable logic device, (2) a GPU, and/or (3) a CMP; and   a peer-to-peer hardware interconnect configured to interconnect the ticker plant engine and the order management engine; and   wherein the ticker plant engine is configured to communicate normalized financial market data to the order management engine via the peer-to-peer hardware interconnect without using the host processor and without using the host memory.   
     
     
         2 . The system of  claim 1  wherein the ticker plant engine is configured to communicate the normalized financial market data to the order management engine by writing the normalized financial market data to a shared memory via the peer-to-peer hardware interconnect without using the host processor and without using the host memory, wherein the shared memory is shared between the ticker plant engine and the order management engine. 
     
     
         3 . The system of  claim 1  wherein the ticker plant engine is deployed on a first computational platform, wherein the first computational platform comprises a reconfigurable logic device, GPU, and/or CMP; and
 wherein the order management engine is deployed on a second computational platform, wherein the second computational platform comprises a reconfigurable logic device, GPU, and/or CMP. 
 
     
     
         4 . The system of  claim 1  wherein the trading platform further comprises:
 a trading strategy offload engine, wherein the trading strategy offload engine is deployed on (1) a reconfigurable logic device, (2) a GPU, and/or (3) a CMP; 
 wherein the peer-to-peer hardware interconnect is further configured to interconnect the ticker plant engine and the trading strategy offload engine; and 
 wherein the ticker plant engine is configured to communicate normalized financial market data to the trading strategy offload engine by writing the normalized financial market data to a shared memory with the trading strategy offload engine via the peer-to-peer hardware interconnect without using the host processor and without using the host memory. 
 
     
     
         5 . The system of  claim 4  wherein the host processor is configured to execute a trading strategy via a software application, the trading platform further comprising:
 a shared memory between the ticker plant engine and the trading strategy software application; and 
 a hardware-software interconnect channel configured to interconnect the trading strategy software application and the trading strategy offload engine; 
 wherein the ticker plant engine is further configured to write normalized financial market data to the shared memory between the ticker plant engine and the trading strategy software application; 
 wherein the trading strategy software application is configured to (1) read the normalized financial market data from the shared memory between the ticker plant engine and the trading strategy software application, (2) offload a portion of the trading strategy to the trading strategy offload engine via the hardware-software interconnect channel, and (3) execute the trading strategy based on the read normalized financial market data and an interaction with the trading strategy offload engine via the hardware-software interconnect channel. 
 
     
     
         6 . The system of  claim 4  wherein the ticker plant engine is deployed on a first computational platform, wherein the first computational platform comprises a reconfigurable logic device, GPU, and/or CMP;
 wherein the order management engine is deployed on a second computational platform, wherein the second computational platform comprises a reconfigurable logic device, GPU, and/or CMP; and 
 wherein the trading strategy offload engine is deployed on a third computational platform, wherein the third computational platform comprises a reconfigurable logic device, GPU, and/or CMP. 
 
     
     
         7 . The system of  claim 1  wherein the ticker plant engine and the order management engine are each offloaded from the host system and deployed on one or more field programmable gate arrays (FPGAs). 
     
     
         8 . The system of  claim 7  wherein the ticker plant engine and the order management engine are deployed on different FPGAs. 
     
     
         9 . The system of  claim 1  wherein the order management engine is configured to (1) process a plurality of orders relating to a plurality of financial instruments based on a plurality of inputs, and (2) integrate at least two members of the group consisting of an order validation operation, a routing strategy operation, a position blotter operation, and an order entry optimization to thereby process the orders. 
     
     
         10 . The system of  claim 9  wherein the order management engine comprises a market view component, the market view component configured to ingest the normalized financial market data and provide a current market view to other components within the order management engine, the current market view comprising a current view of pricing and liquidity in one or more financial markets for one or more financial instruments. 
     
     
         11 . The system of  claim 10  wherein the market view component is further configured to generate the current market view from an input comprising financial market data relating to the one or more financial instruments. 
     
     
         12 . The system of  claim 10  wherein the market view component is further configured to generate a current market view that includes a pricing and liquidity statistics view from an input comprising financial market data relating to the one or more financial instruments. 
     
     
         13 . The system of  claim 10  wherein the market view component is further configured to generate a current market view that includes a last trade pricing view from an input comprising financial market data relating to the one or more financial instruments. 
     
     
         14 . The system of  claim 10  wherein the market view component is further configured to generate a current market view that includes a last trade statistics view from an input comprising financial market data relating to the one or more financial instruments. 
     
     
         15 . The system of  claim 10  wherein the order management engine comprises a memory configured to store the current market view. 
     
     
         16 . The system of  claim 10  wherein the current market view comprises a current, composite view of pricing and liquidity across a plurality of financial markets for one or more financial instruments. 
     
     
         17 . The system of  claim 1  wherein the host processor is configured to execute a trading strategy via a software application, the trading platform further comprising:
 a shared memory between the ticker plant engine and the trading strategy software application; 
 wherein the ticker plant engine is further configured to write normalized financial market data to the shared memory between the ticker plant engine and the trading strategy software application; and 
 wherein the trading strategy software application is configured to (1) read the normalized financial market data from the shared memory between the ticker plant engine and the trading strategy software application and (2) execute the trading strategy based on the read normalized financial market data. 
 
     
     
         18 . The system of  claim 1  wherein the order management engine is configured to track order states on a per-instrument basis using instrument keys that directly index the order states and uniquely identify the financial instruments associated with the orders, wherein the instrument keys comprise index numbers assigned by the ticker plant engine. 
     
     
         19 . The system of  claim 1  wherein the ticker plant engine and/or the order management engine are deployed on one or more GPUs. 
     
     
         20 . The system of  claim 1  wherein the ticker plant engine and/or the order management engine are deployed on one or more CMPs.