TWI874161B - A field-programmable logical gate array that aggregates financial product trading information - Google Patents

Abstract

A field programmable logic gate array for aggregating financial product trading market conditions includes a transceiver unit, an operation unit connected to the transceiver unit, and an order book storage unit connected to the operation unit. The transceiver unit communicates with a centralized market server and receives order data published by the centralized market server. The operation unit obtains the order data from the transceiver unit, extracts an order number message from the order data, and operates the order number message to obtain a hash message, the data volume of the hash message is less than the data volume of the order number message, and the operation unit uses the hash message as a logical address to record the order data in an order book memory unit.

Description

A field-programmable logical gate array that aggregates financial product trading information

The present invention relates to a field programmable logic gate array (FPGA) used for financial transactions, and in particular to a field programmable logic gate array that can aggregate financial product transaction prices.

The centralized market releases market data (Market date) to market participants in real time via multicast or snapshot. The aforementioned market data includes order data. Market participants can analyze the market data through the software running on the computing terminal and then participate in transactions.

High Frequency Trading (HFT) is implemented through high-computing terminal equipment, which analyzes market data and seeks price differences in the rapidly changing trading market to achieve arbitrage. High-frequency trading is very particular about the delay speed of market data calculation. A delay of a few microseconds may lose the opportunity. However, the current market data interpretation and calculation is still implemented in software, which is executed by the central processing unit (CPU) in the terminal device. Before the central processor calculates, it needs to go through the calculation of network cards and other devices, and the calculation needs to be implemented with corresponding software. This will still cause a certain calculation delay, which is not conducive to high-frequency trading.

The main purpose of the present invention is to solve the problem that the current high-frequency trading is still implemented in a soft solution manner and still has a long computational delay.

To achieve the above-mentioned purpose, the present invention provides a field programmable logic gate array for aggregating financial product trading market conditions, comprising a transceiver unit, an operation unit connected to the transceiver unit, and an order book storage unit connected to the operation unit. The transceiver unit communicates with a centralized market server, and the transceiver unit receives an order data issued by the centralized market server. The operation unit obtains the order data from the transceiver unit, extracts an order number message from the order data, and operates the order number message to obtain a hash message, and the data volume of the hash message is less than the data volume of the order number message. The operation unit uses the hash information as a logic address to record the order data in an order book memory unit, and the order data includes the order number information, a price information and a quantity information.

In one embodiment, the field programmable logic gate array includes a market information storage unit, and the operation unit also records the price information and the quantity information in the market information storage unit when recording the order data.

In one embodiment, the operation unit uses at least two hash expressions and at least two variables as operators to operate on the order number information to generate a plurality of hash messages to be selected. The operation unit uses these hash messages to be selected to find out whether the corresponding memory address of the order book memory unit has been used. If the memory address corresponding to one of the hash messages to be selected is not used, the hash message to be selected is used as the logical address.

In one embodiment, when the memory addresses corresponding to the hash messages to be selected have all been used, the calculation unit reads the order data currently recorded in the memory address corresponding to one of the hash messages to be selected, performs calculations, and changes its memory address.

Through the aforementioned implementation of the present invention, compared with the conventional method, the present invention has the following characteristics: the present invention allows the order data, which is originally too large to be calculated by the field programmable logic gate array, to be quickly recorded in the order book memory unit, so that the field programmable logic gate array can quickly respond to market conditions, solving the problem of long data processing delays in the past, which is not conducive to high-frequency trading. In addition to the aforementioned, the field programmable logic gate array itself has limited memory space, and the present invention can effectively use the memory space through the process described in the previous paragraph.

The detailed description and technical contents of the present invention are as follows with reference to the accompanying drawings:

Please refer to FIG. 1 . The present invention provides a field programmable gate array 100 (Field Programmable Gate Array, abbreviated as FPGA), which is used in the field of financial transactions and can summarize financial product transaction trends. The field programmable gate array 100 can be configured in a server device. The field programmable gate array 100 implements hardware acceleration, so that information can be processed in the data link layer to meet the needs of high-frequency financial transactions.

As mentioned above, the FPLG 100 includes a transceiver unit 11, an operation unit 12 informationally connected to the transceiver unit 11, and an order book storage unit 13 connected to the operation unit 12. The transceiver unit 11 is a window for the FPLG 100 to communicate with the outside. Furthermore, the transceiver unit 11 is informationally connected to a terminal device through an Internet 20 (not shown in the figure). The terminal device can be a centralized market server 21. The transceiver unit 11 establishes communication with the centralized market server 21 to receive an order data 211 issued by the centralized market server 21. The aforementioned centralized market server 21 may be owned by NASDAQ, Japan Exchange Group (JPX), Singapore Exchange (SGX), Chicago Mercantile Exchange (CME), Hong Kong Stock Exchange (HKEX) or European Futures Exchange (EUREX).

Furthermore, the operation unit 12 is a part of the FPLG 100 that is programmed to perform operations. The operation unit 12 can perform multiple program operations based on a control program memory unit 14. The control program memory unit 14 is included in the FPLG 100, and the control program memory unit 14 is informationally connected to the operation unit 12.

Referring to FIG. 1 and FIG. 2 , the operation unit 12 of the field programmable logic gate array 100 of the present invention obtains the decoded order data 211 from the transceiver unit 11. The order data 211 is issued for a specific financial product. The order data 211 at least includes the order number message 212, a price message 213, and a quantity message 214. The operation unit 12 extracts the order number message 212 from the order data 211, and performs operations on the order number message 212 to obtain a hash message 121. The data volume of the hash message 121 is smaller than the data volume of the order number message 212. Specifically, in the data format specified by the NASDAQ, the order number message 212 is 32 bits, and the hash message 121 of the present invention is 11 bits in one embodiment. The operation unit 12 uses the hash message 121 as a logical address to record the order data 211 in the order book memory unit 13.

The field programmable logic gate array 100 of the present invention uses the front-end description process to quickly record the order data 211, which is originally too large to be calculated by the field programmable logic gate array 100, in the order book memory unit 13, so that the field programmable logic gate array 100 can quickly respond to market conditions and solve the problem of long data processing delays in the past, which is not conducive to high-frequency transactions. In addition to the above, the field programmable logic gate array 100 itself has limited memory space, and the present invention can effectively use the memory space through the front-end description process.

Referring again to FIG. 1 and FIG. 2 , in one embodiment, the field programmable logic gate array 100 includes a market information memory unit 15, and the market information memory unit 15 is connected to the operation unit 12. When the operation unit 12 uses the hash message 121 as the logic address to store the order data 211, the price message 213 and the quantity message 214 are recorded in the market information memory unit 15. Since the market memory unit 15 only records the price and quantity, the amount of computational information is simplified, so that the field programmable logic gate array 100 can quickly respond to current market sentiments based on the data in the market memory unit 15 during high-frequency trading.

Please refer to FIG. 3 , in one embodiment, the operation unit 12 uses at least two hash equations 40 and at least two variables 41 as operators to operate on the order number message 212 to generate a plurality of hash messages 122 to be selected. The operation unit 12 uses the hash messages 122 to find out whether the corresponding memory addresses of the order book memory unit 13 have been used. If the memory address corresponding to one of the hash messages 122 to be selected is not used, the hash message 122 to be selected is used as the logical address. Furthermore, when the memory addresses corresponding to the hash messages 122 to be selected have all been used, the operation unit 12 reads the order data 211 currently recorded in the memory address corresponding to one of the hash messages 122 to perform operation and change its memory address. If there is still a conflict in the memory address after the change calculation, the above operation is executed again until there is no conflict.

Please refer to FIG. 1 . In one embodiment, the computing unit 12 executes a strategic trading program, and the parameters related to the strategic trading program are stored in the control program memory unit 14. When the computing unit 12 executes the strategic trading program, it can issue an order to the centralized market server via the transceiver unit 11. The computing unit 12 can determine the price volume distribution and market sentiment based on the data in the market memory unit 15 to make strategic investments. Compared with the past method in which data must be calculated by the central processing unit (CPU) before strategic investments are made, the calculation delay is significantly reduced, which can more effectively increase the success rate of strategic investments.

100: Field programmable logic gate array 11: Transceiver unit 12: Operation unit 121: Hash message 122: Hash message to be selected 13: Order book memory unit 14: Control program memory unit 15: Market memory unit 20: Internet (not shown) 21: Centralized market server 211: Order data 212: Order number message 213: Price message 214: Quantity message 40: Hash formula 41: Variable

Figure 1 is a schematic diagram of the unit composition of an embodiment of the field programmable logic gate array of the present invention. Figure 2 is a schematic diagram of the composition of an embodiment of the order data of the present invention. Figure 3 is a schematic diagram of the implementation of an embodiment of the field programmable logic gate array of the present invention.

100: Field programmable logic gate array

11: Transceiver unit

12: Arithmetic unit

13: Order book memory unit

14: Control program memory unit

15: Market memory unit

21: Centralized Market Server

211: Order information

Claims (4)

A field programmable logic gate array for aggregating financial product trading market conditions includes a transceiver unit and an operation unit connected to the transceiver unit. The transceiver unit communicates with a centralized market server and receives order data published by the centralized market server. The field programmable logic gate array is characterized in that: The field programmable logic gate array includes an order book memory unit connected to the operation unit information, and a control program memory unit connected to the operation unit information. The operation unit obtains the order data from the transceiver unit, the operation unit extracts an order number message in the order data, and operates the order number message to obtain a hash message, the data volume of the hash message is less than the data volume of the order number message, and the operation unit The order data is recorded in an order book memory unit using the hashed message as a logical address. The order data includes the order number message, a price message and a quantity message. When the calculation unit executes a strategy trading program, the calculation unit determines the investment strategy based on the price message and the quantity message, and issues the order to the centralized market server through the transceiver unit. The relevant parameters of the strategy trading program are stored in the control program memory unit. A field programmable logic gate array for aggregating financial product trading quotes as described in claim 1, wherein the field programmable logic gate array includes a quote memory unit, and the calculation unit also records the price information and the quantity information in the quote memory unit when recording the order data. A field programmable logical gate array for aggregating financial product trading quotes as described in claim 1 or 2, wherein the operation unit uses at least two hash expressions and at least two variables as operators to operate on the order number message to generate a plurality of hash messages to be selected, and the operation unit uses the hash messages to be selected to find out whether the corresponding memory address of the order book memory unit has been used. If the memory address corresponding to one of the hash messages to be selected is not used, the hash message to be selected is used as the logical address. A field programmable logical gate array for aggregating financial product trading quotes as described in claim 3, wherein the operation unit reads the order data currently recorded in the memory address corresponding to one of the hash messages to be selected, performs operations, and changes its memory address when the memory addresses corresponding to the hash messages to be selected have all been used.

Images