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  • CME Futures & Options Order Book

    http://algo-logic.com/futures-options-orderbook

    Algo-Logic Systems’ Futures & Options (F&O) Order Book is an FPGA hardware accelerator with the entire feed processing module and Order Book implemented in logic. The single-FPGA platform architecture achieves deterministic, ultra low latency without jitter regardless of the number of tracked instruments at data rates of up to 10 Gbps.

    Algo-Logic’s Futures & Options Order Book Supports:

    • Book building for instruments that have actual orders
      • CME multiple depth (i.e. real) book up to 10 levels deep
    • Book building for instruments that have implied orders
      • CME implied book up to 2 levels deep
      • CME consolidated book up to 10 levels deep
    • Processing of CME MDP 3.0 messages
      • Market Data Incremental Refresh (35=X) MDP 3.0 message type, used for:
        • Updating real and implied books in normal operation throughout the trading day
        • Start-of-day book initialization
        • Late joiner book initialization
        • CME Natural Refresh recovery mechanism
    • Reporting L2 snapshots with the best bid/ask information up to 10 levels deep
      • L2 snapshots are generated when each repeating group with a market data update is processed
      • L2 snapshots contain corresponding Security ID field, along with sided Price and Size fields
      • Real book snapshot is generated for instruments that have no implied orders
      • Consolidated book snapshot is generated for instruments that have implied orders

    Order Book Building Process Includes:

    • Processing of Market Data Incremental Refresh (35=X) MDP 3.0 messages for start-of-day book initialization as well as updating real and implied books in normal operation throughout the trading day
    • Merging real and implied books into one consolidated book for instruments that have implied orders
    • Performing recovery using CME Natural Refresh mechanism in the event of packet loss
    • Reporting the L2 snapshots for consolidated books with the best bid/ask information

    CME Feed Handler Additional Functions:

    • A/B Feed Arbitration
    • Multicast Channel Filter
    • UDP Parser
    • MDP 3.0 Parser

     Product brief

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  • 原文地址:https://www.cnblogs.com/dhcn/p/12063830.html
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