System and Method for Processing Quotes Using an Integrated Circuit

Abstract

Systems, methods, and computer programs for receiving and processing messages for a financial exchange comprising a matcher server integrated circuit such as an FPGA or ASIC component configured to receive and process information associated with a financial instrument operatively connected to the matcher server, wherein the integrated circuit component is configured to receive and store a plurality of messages from at least one computer server, each message of the plurality of messages being comprised of at least one message type.

What is claimed is: 
     
         1 . A system for receiving and processing messages for a financial exchange comprising:
 a matcher server; and   a integrated circuit component configured to receive and process information associated with a financial instrument operatively connected to the matching server,   wherein the integrated circuit component is configured to receive and store a plurality of messages from at least one computer server, each message of the plurality of messages being comprised of at least one message type.   
     
     
         2 . The system of  claim 1 , wherein the message type includes an away market price update of the financial instrument, including a price from other markets for instruments, and wherein the integrated circuit component stores the most recent away market prices and exchange codes for the each instrument. 
     
     
         3 . The system of  claim 2 , wherein the server is configured to a query to the integrated circuit component and the integrated circuit component is configured to provide the most recent away market prices for the financial instrument in response to the query. 
     
     
         4 . The system of  claim 1 , wherein the plurality of messages are received via a consolidated market data feed. 
     
     
         5 . The integrated circuit component of  claim 1 , wherein the integrated circuit component comprises storage for storing a data storage record storing information comprising information associated with financial instruments and market makers. 
     
     
         6 . The system of  claim 5 , wherein the type of message for the plurality of messages includes a mass quote message, each mass quote message being sent from one of a plurality of market makers, and each mass quote message including a plurality of quotes for the financial instruments. 
     
     
         7 . The system of  claim 6 , wherein integrated circuit component is configured to receive the mass quote messages and wherein the integrated circuit component is configured to parse each of the mass quote messages to separate out the plurality of quotes for the financial instruments and store the most recent quote for each market maker for each of the financial instruments in the data storage. 
     
     
         8 . The system of  claim 1  wherein the integrated circuit component comprises an FPGA or an ASIC. 
     
     
         9 . The system of  claim 6  or  7 , wherein the integrated circuit component is configured to comprise a table comprising information associated with financial instruments and market makers
 each row of the table corresponds to each of a plurality of financial instruments and wherein each column corresponds to each of a plurality of market makers; or 
 each row of the table corresponds to each of a plurality of market makers and wherein each column corresponds to each of a plurality of financial instruments. 
 
     
     
         10 . The system of  claim 9 , wherein the integrated circuit component is configured to store at least one of the mass quote messages from each market maker in a corresponding column or row of a table, with portions of the mass quote message corresponding to the plurality of financial instruments stored in corresponding column or rows of the table. 
     
     
         11 . The system of  claim 6 , wherein the integrated circuit component is configured to generate market data from the plurality of quotes. 
     
     
         12 . The system of  claim 7 , wherein the matcher server is configured to send a query to the integrated circuit component, and the integrated circuit component is configured to provide the most recent information stored in the integrated circuit component corresponding to the financial instrument, and wherein the matcher server uses the most recent information to determine if an order has been processed. 
     
     
         13 . The system of  claim 12 , wherein the integrated circuit component is configured to send acknowledgement messages in response to the receipt of quote messages. 
     
     
         14 . The system of  claim 13 , wherein the acknowledgement messages include sequence numbers, and wherein the sequence numbers represent one or more quotes being processed by the matcher server and a more recent quote is received by the integrated circuit component. 
     
     
         15 . The system of  claim 1 , wherein the plurality of message types includes trading state messages, and wherein the integrated circuit component is configured to:
 receive the trading state messages;   determine if the trading state of the underlying market has changed; and   if trading state of underlying market has changed, send a notice to the matching server relating to the contents of the trading state message.   
     
     
         16 . The system of  claim 1 , wherein the plurality of message types includes underlying price messages comprising underlying financial instrument price information, and wherein the integrated circuit component is configured to:
 receive the underlying financial instrument price messages;   read the underlying financial instrument price messages for an update in the price of the underlying financial instrument; and   update information relating to the underlying financial instrument price.   
     
     
         17 . A method for generating market data by an integrated circuit component comprising:
 receiving order information from a matcher server;   electronically updating a quote for a financial instrument order in a data record;   pulling all information relating to market data from instruments contained in the data record;   generating the market data from the pulled information.   
     
     
         18 . The method of  claim 17 , wherein the method for generating market data by the integrated circuit component further comprises:
 upon updating a quote, determining a best bid and a lowest offer of all the quotes and the orders; and   generating a market data message for the instrument.   
     
     
         19 . The method of  claim 18 , wherein the method for generating market data by the integrated circuit component further comprises:
 updating a plurality of quotes via a mass quote message, and   generating a further update for each instrument quote comprising information that each quote updated and that the best bid or offer for the instrument changed.   
     
     
         20 . The method of  claim 17 , wherein the method for generating market data by the integrated circuit component further comprises:
 upon receipt of order and trade information for an instrument from the matcher server, updating the order information for the instrument,   updating the trade statistics for the instrument, and   adding a traded quantity against each quote that traded in the instrument.   
     
     
         21 . The method of  claim 20 , wherein the method for generating market data by the integrated circuit component further comprises:
 examining the orders, quotes, trade statistics and trading state for the instrument, and   generating a market data message for this instrument.   
     
     
         22 . The method of  claim 17 , wherein the integrated circuit component comprises an FPGA or an ASIC. 
     
     
         23 . A method for determining the state of an underlying market using an integrated circuit component comprising:
 receiving trading state messages in the integrated circuit component, wherein the trading states indicates that the state of an underlying financial instrument has changed; and   if trading state of underlying market has changed, sending a notice from the integrated circuit component to a matcher server relating to the contents of the trading state message.   
     
     
         24 . The method of  claim 23 , wherein the integrated circuit component comprises an FPGA or an ASIC.