최소 단어 이상 선택하여야 합니다.
최대 10 단어까지만 선택 가능합니다.
다음과 같은 기능을 한번의 로그인으로 사용 할 수 있습니다.
NTIS 바로가기다음과 같은 기능을 한번의 로그인으로 사용 할 수 있습니다.
DataON 바로가기다음과 같은 기능을 한번의 로그인으로 사용 할 수 있습니다.
Edison 바로가기다음과 같은 기능을 한번의 로그인으로 사용 할 수 있습니다.
Kafe 바로가기국가/구분 | United States(US) Patent 등록 |
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국제특허분류(IPC7판) |
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출원번호 | US-0154804 (2011-06-07) |
등록번호 | US-8768805 (2014-07-01) |
발명자 / 주소 |
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출원인 / 주소 |
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대리인 / 주소 |
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인용정보 | 피인용 횟수 : 14 인용 특허 : 269 |
A variety of embodiments for hardware-accelerating the processing of financial market depth data are disclosed. A coprocessor, which may be resident in a ticker plant, can be configured to update order books based on financial market depth data at extremely low latency. Such a coprocessor can also b
A variety of embodiments for hardware-accelerating the processing of financial market depth data are disclosed. A coprocessor, which may be resident in a ticker plant, can be configured to update order books based on financial market depth data at extremely low latency. Such a coprocessor can also be configured to enrich a stream of limit order events pertaining to financial instruments with data from a plurality of updated order books.
1. A method comprising: streaming data representative of a plurality of limit order events pertaining to a plurality of financial instruments into a reconfigurable logic device;the reconfigurable logic device processing the streaming data to determine order book data associated with the limit order
1. A method comprising: streaming data representative of a plurality of limit order events pertaining to a plurality of financial instruments into a reconfigurable logic device;the reconfigurable logic device processing the streaming data to determine order book data associated with the limit order events; andthe reconfigurable logic device generating a stream of enriched limit order events by enriching the limit order events with data indicative of the determined order book data. 2. The method of claim 1 wherein the generating step comprises the reconfigurable logic device appending a plurality of data fields to a plurality of limit order events to generate the enriched limit order events. 3. The method of claim 2 wherein the appending step comprises the reconfigurable logic device appending at least one price volume field to a limit order event. 4. The method of claim 3 wherein the at least one price volume field comprises a regional price volume field. 5. The method of claim 3 wherein the at least one price volume field comprises a composite price volume field. 6. The method of claim 2 wherein the appending step comprises the reconfigurable logic device appending at least one price order count field to a limit order event. 7. The method of claim 6 wherein the at least one price order count field comprises a regional price order count field. 8. The method of claim 6 wherein the at least one price order count field comprises a composite price order count field. 9. The method of claim 2 wherein the appending step comprises the reconfigurable logic device appending at least one order attribute vector field to a limit order event, the order attribute vector indicative of an impact of an attribute on an order book associated with the limit order event. 10. The method of claim 2 wherein the appending step comprises the reconfigurable logic device appending at least one price attribute vector field to a limit order event, the price attribute vector indicative of an impact of an attribute on a price point order book associated with the limit order event. 11. The method of claim 10 wherein the at least one price attribute vector field comprises a regional price attribute vector field. 12. The method of claim 10 wherein the at least one price attribute vector field comprises a composite price attribute vector field. 13. The method of claim 2 wherein the appending step comprises the reconfigurable logic device appending at least one sort order field to a limit order event, the sort order field being indicative of a relative position of the limit order event within an associated order book. 14. The method of claim 13 wherein the sort order field is indicative of a relative position of the limit order event within an associated price aggregated order book. 15. The method of claim 13 wherein the sort order field is indicative of a relative position of the limit order event within an associated composite price aggregated order book. 16. The method of claim 2 wherein the appending step comprises the reconfigurable logic device appending at least one interest vector field to a limit order event, the interest vector field being indicative of which of a plurality of client applications are interested in receiving the enriched limit order event. 17. The method of claim 16 wherein the interest vector field is further indicative of which fields of the enriched limit order event each of the plurality of client applications are interested in receiving. 18. The method of claim 1 wherein the processing step comprises: the reconfigurable logic device resolving each of a plurality of limit order events to at least one record associated with an order book in a data structure andthe reconfigurable logic device updating the records based on the content of the plurality of limit order events. 19. The method of claim 1 wherein the enriched limit order events comprises a stream view of a plurality of order books associated with the limit order events. 20. The method of claim 1 wherein the enriched limit order events comprises a summary view of a plurality of order books associated with the limit order events. 21. The method of claim 1 wherein the reconfigurable logic device is resident within a ticker plant. 22. The method of claim 1 wherein each of the limit order events is associated with a limit order for the financial instrument to which it pertains, the method further comprising: accessing the order book data in a memory, the order book data comprising (1) a plurality of limit order records corresponding to a plurality of limit orders for a plurality of financial instruments and (2) a plurality of price point records corresponding to financial instruments for which there are limit order records, the limit order records comprising a plurality of limit order record fields, and the price point records comprising a plurality of price point record fields;wherein the processing step comprises the reconfigurable logic device (1) mapping a plurality of the limit order events to the limit order records corresponding to their associated limit orders, (2) mapping a plurality of the limit order events to the price point records corresponding to the financial instruments for their associated limit orders, and (3) updating the mapped limit order records and the mapped price point records based on the limit order events; andwherein the generating step comprises the reconfigurable logic device, for those limit order events that are mapped to limit order records and price point records, appending at least one limit order record field from the updated limit order records and at least one price point record field from the updated price point records to those limit order events to generate enriched limit order events. 23. The method of claim 22 wherein the reconfigurable logic device performs the method steps at hardware processing speeds as the limit order events stream through the reconfigurable logic device, wherein the generating step comprises the reconfigurable logic device directly generating the stream of enriched limit order events from the received streaming data, and wherein the method further comprises communicating the stream of enriched limit order events downstream. 24. The method of claim 22 wherein the mapped limit order record for at least one of the limit order events includes a limit order record field that comprises an identifier for an attribute with respect to the determined limit order record; and wherein the appending step comprises the reconfigurable logic device appending the attribute identifier to the at least one limit order event. 25. The method of claim 24 wherein the attribute identifier is indicative of whether the determined limit order record pertains to an ephemeral regional order. 26. The method of claim 24 wherein the attribute identifier is indicative of whether the determined limit order record relates to an implied liquidity. 27. The method of claim 22 wherein the mapped limit order record for at least one of the limit order events includes a limit order record field that comprises an attribute identifier indicative of whether the mapped limit order record pertains to an ephemeral regional order and a limit order record field that comprises an attribute identifier indicative of whether the mapped limit order record relates to an implied liquidity, the ephemeral regional order attribute identifier and the implied liquidity attribute identifier serving as an attribute vector; and wherein the appending step comprises the reconfigurable logic device appending the attribute vector to the at least one limit order event. 28. The method of claim 22 wherein the mapped price point record for at least one of the limit order events includes a price point record field that comprises an identifier for an attribute with respect to the mapped price point record; and wherein the appending step comprises the reconfigurable logic device appending the attribute identifier to the at least one limit order event. 29. The method of claim 28 wherein the attribute identifier is indicative of whether the mapped price point record includes price data pertaining to one or more ephemeral regional orders; wherein the mapped price point record for the at least one limit order event further includes a price point record field that comprises a volume for the one or more ephemeral regional orders and a price point record field that comprises a count for the one or more ephemeral regional orders; andwherein the appending step further comprises the reconfigurable logic device appending the ephemeral regional order volume and the ephemeral regional order count to the at least one limit order event. 30. The method of claim 28 wherein the attribute identifier is indicative of whether the mapped price point record includes price data that relates to implied liquidity; wherein the mapped price point record for the at least one limit order event further includes a price point record field that comprises a volume for the implied liquidity and a price point record field that comprises a count for the implied liquidity; andwherein the appending step further comprises the reconfigurable logic device appending the implied liquidity volume and the implied liquidity count to the at least one limit order event. 31. The method of claim 22 wherein the mapped price point record for at least one of the limit order events includes (1) a price point record field that comprises an attribute identifier indicative of whether the mapped price point record includes price data pertaining to one or more ephemeral regional orders, (2) a price point record field that comprises a volume for the one or more ephemeral regional orders, (3) a price point record field that comprises a count for the one or more ephemeral regional orders, (4) a price point record field that comprises an attribute identifier indicative of whether the mapped price point record includes price data that relates to implied liquidity, (5) a price point record field that comprises a volume for the implied liquidity and (6) a price point record field that comprises a count for the implied liquidity; wherein the ephemeral regional order attribute identifier, the ephemeral regional order volume, the ephemeral regional order count, the implied liquidity attribute identifier, the implied liquidity volume, and the implied liquidity count serve as an attribute vector; andwherein the appending step comprises the reconfigurable logic device appending the attribute vector to the at least one limit order event. 32. The method of claim 22 wherein the mapped price point record for at least one of the limit order events includes a price point record field that comprises a price volume and a price point record field that comprises a price count; wherein the updating step comprises the reconfigurable logic device (1) computing an updated price volume and an updated price count for the mapped price point record based on the at least one limit order event, and (2) updating the mapped price point record with the updated price volume and the updated price count; andwherein the appending step comprises the reconfigurable logic device appending the updated price volume and the updated price count to the at least one limit order event. 33. The method of claim 22 wherein the price point records comprise a plurality of regional price point records and a plurality of composite price point records; wherein the price point records mapping step comprises the reconfigurable logic device mapping a plurality of the limit order events to the regional and composite price point records corresponding to the financial instruments for their associated limit orders;wherein the updating step comprises the reconfigurable logic device updating the determined limit order records, the determined regional price point records, and the determined composite price point records based on the limit order events; andwherein the appending step comprises the reconfigurable logic device, for those limit order events that are mapped to limit order records, regional price point records, and composite price point records, appending at least one limit order record field from the updated limit order records, at least one price point record field from the updated regional price point records, and at least one price point record field from the updated composite price point records to the limit order events to generate the enriched limit order events. 34. The method of claim 33 wherein the mapped regional price point record for at least one of the limit order events includes a regional price point record field that comprises a regional price volume and a regional price point record field that comprises a regional price count; wherein the mapped composite price point record for the at least one limit order event includes a composite price point record field that comprises a composite price volume and a composite price point record field that comprises a composite price count;wherein the updating step comprises the reconfigurable logic device (1) computing an updated regional price volume and an updated regional price count for the mapped regional price point record based on the at least one limit order event, (2) computing an updated composite price volume and an updated composite price count for the mapped composite price point record based on the at least one limit order event, (3) updating the mapped regional price point record with the updated regional price volume and the updated regional price count, and (4) updating the mapped composite price point record with the updated composite price volume and the updated composite price count; andwherein the appending step comprises the reconfigurable logic device appending the updated regional price volume, the updated regional price count, the updated composite price volume, and the updated composite price count to the at least one limit order event. 35. The method of claim 22 wherein the mapped limit order record for at least one of the limit order events includes a limit order record field that comprises an interest vector indicative of which of a plurality of subscribers are interested in the mapped limit order record, and wherein the mapped price point record for the at least one limit order event includes a price point record field that comprises an interest vector indicative of which of the subscribers are interested in the mapped price point record; wherein the processing step further comprises the reconfigurable logic device combining the interest vectors from the mapped limit order record and the mapped price point record into a consolidated interest vector; andwherein the appending step comprises the reconfigurable logic device appending the consolidated interest vector to the at least one limit order event. 36. The method of claim 35 further comprising selectively communicating the streaming enriched limit order events to a plurality of downstream subscribers in accordance with their appended consolidated interest vectors. 37. The method of claim 22 wherein the updating step comprises the reconfigurable logic device updating the mapped limit order records and the mapped price point records in parallel using separate hardware logic to update the mapped limit order records and the mapped price point records. 38. The method of claim 22 wherein at least one of limit order events includes data indicative of whether the at least one limit order event is an addition, modification, or deletion event; and wherein the appending step comprises the reconfigurable logic device appending data from the mapped limit order record for the at least one limit order event based on the data indicative of whether the limit order event is an addition, modification, or deletion event. 39. The method of claim 22 wherein the generating step further comprises the reconfigurable logic device normalizing the enriched limit order event, the method further comprising: communicating the streaming normalized enriched limit order events to a plurality of downstream subscribers. 40. The method of claim 22 wherein the memory comprises a first physical memory in which the limit order records are stored and a second physical memory in which the price point records are stored. 41. An apparatus comprising: a reconfigurable logic device configured to (1) receive streaming data representative of a plurality of limit order events pertaining to a plurality of financial instruments, (2) process the streaming data to determine order book data associated with the limit order events, and (3) generate a stream of enriched limit order events, wherein the enriched limit order events are enriched with data indicative of the determined order book data. 42. The apparatus of claim 41 wherein the reconfigurable logic device is further configured to generate the stream of enriched limit order events by appending a plurality of data fields to a plurality of limit order events. 43. The apparatus of claim 42 wherein the reconfigurable logic device is further configured to generate the stream of enriched limit order events by appending at least one price volume field to a limit order event. 44. The apparatus of claim 43 wherein the at least one price volume field comprises a regional price volume field. 45. The apparatus of claim 43 wherein the at least one price volume field comprises a composite price volume field. 46. The apparatus of claim 42 wherein the reconfigurable logic device is further configured to generate the stream of enriched limit order events by appending at least one price order count field to a limit order event. 47. The apparatus of claim 46 wherein the at least one price order count field comprises a regional price order count field. 48. The apparatus of claim 46 wherein the at least one price order count field comprises a composite price order count field. 49. The apparatus of claim 42 wherein the reconfigurable logic device is further configured to generate the stream of enriched limit order events by appending at least one order attribute vector field to the limit order event, the order attribute vector indicative of an impact of an attribute on an order book associated with a limit order event. 50. The apparatus of claim 42 wherein the reconfigurable logic device is further configured to generate the stream of enriched limit order events by appending at least one price attribute vector field to the limit order event, the price attribute vector indicative of an impact of an attribute on a price point order book associated with a limit order event. 51. The apparatus of claim 50 wherein the at least one price attribute vector field comprises a regional price attribute vector field. 52. The apparatus of claim 49 wherein the at least one price attribute vector field comprises a composite price attribute vector field. 53. The apparatus of claim 42 wherein the reconfigurable logic device is further configured to generate the stream of enriched limit order events by appending at least one sort order field to a limit order event, the sort order field being indicative of a relative position of the limit order event within an associated order book. 54. The apparatus of claim 53 wherein the sort order field is indicative of a relative position of the limit order event within an associated price aggregated order book. 55. The apparatus of claim 53 wherein the sort order field is indicative of a relative position of the limit order event within an associated composite price aggregated order book. 56. The apparatus of claim 42 wherein the reconfigurable logic device is further configured to generate the stream of enriched limit order events by appending at least one interest vector field to a limit order event, the interest vector field being indicative of which of a plurality of client applications are interested in receiving the enriched limit order event. 57. The apparatus of claim 56 wherein the interest vector field is further indicative of which fields of the enriched limit order event each of the plurality of client applications are interested in receiving. 58. The apparatus of claim 41 wherein the reconfigurable logic device is further configured to (1) resolve each of a plurality of limit order events to at least one record associated with an order book in a data structure, and (2) update the records based on the content of the plurality of limit order events. 59. The apparatus of claim 41 wherein the enriched limit order events comprises a stream view of a plurality of order books associated with the limit order events. 60. The apparatus of claim 41 wherein the enriched limit order events comprises a summary view of a plurality of order books associated with the limit order events. 61. The apparatus of claim 41 wherein the reconfigurable logic device is resident within a ticker plant. 62. The apparatus of claim 41 wherein each of the limit order events is associated with a limit order for the financial instrument to which it pertains, the apparatus further comprising: a memory in which the order book data is stored, the order book data comprising (1) a plurality of limit order records corresponding to a plurality of limit orders for a plurality of financial instruments and (2) a plurality of price point records corresponding to financial instruments for which there are limit order records, the limit order records comprising a plurality of limit order record fields, and the price point records comprising a plurality of price point record fields;wherein the reconfigurable logic device is further configured to (1) perform the processing operation by (i) mapping a plurality of the limit order events to the limit order records corresponding to their associated limit orders, (ii) mapping a plurality of the limit order events to the price point records corresponding to the financial instruments for their associated limit orders, and (iii) updating the mapped limit order records and the mapped price point records based on the limit order events, and perform the generation operation by, for those limit order events that are mapped to limit order records and price point records, appending at least one limit order record field from the updated limit order records and at least one price point record field from the updated price point records to those limit order events to generate enriched limit order events. 63. The apparatus of claim 62 wherein the reconfigurable logic device is further configured to (1) perform the processing operation and the generation operation at hardware processing speeds as the limit order events stream through the reconfigurable logic device, (2) directly generate the stream of enriched limit order events from the received streaming data, and (3) communicate the stream of enriched limit order events downstream. 64. The apparatus of claim 62 wherein the mapped limit order record for at least one of the limit order events includes a limit order record field that comprises an identifier for an attribute with respect to the mapped limit order record; and wherein the reconfigurable logic device is further configured to append the attribute identifier to the at least one limit order event. 65. The apparatus of claim 64 wherein the attribute identifier is indicative of whether the mapped limit order record pertains to an ephemeral regional order. 66. The apparatus of claim 64 wherein the attribute identifier is indicative of whether the mapped limit order record relates to an implied liquidity. 67. The apparatus of claim 62 wherein the mapped limit order record for at least one of the limit order events includes a limit order record field that comprises an attribute identifier indicative of whether the mapped limit order record pertains to an ephemeral regional order and a limit order record field that comprises an attribute identifier indicative of whether the mapped limit order record relates to an implied liquidity, the ephemeral regional order attribute identifier and the implied liquidity attribute identifier serving as an attribute vector; and wherein the reconfigurable logic device is further configured to append the attribute vector to the at least one limit order event. 68. The apparatus of claim 62 wherein the mapped price point record for at least one of the limit order events includes a price point record field that comprises an identifier for an attribute with respect to the mapped price point record; and wherein the reconfigurable logic device is further configured to append the attribute identifier to the at least one limit order event. 69. The apparatus of claim 68 wherein the attribute identifier is indicative of whether the mapped price point record includes price data pertaining to one or more ephemeral regional orders; wherein the mapped price point record for the at least one limit order event further includes a price point record field that comprises a volume for the one or more ephemeral regional orders and a price point record field that comprises a count for the one or more ephemeral regional orders; andwherein the reconfigurable logic device is further configured to append the ephemeral regional order volume and the ephemeral regional order count to the at least one limit order event. 70. The apparatus of claim 68 wherein the attribute identifier is indicative of whether the mapped price point record includes price data that relates to implied liquidity; wherein the mapped price point record for the at least one limit order event further includes a price point record field that comprises a volume for the implied liquidity and a price point record field that comprises a count for the implied liquidity; andwherein the reconfigurable logic device is further configured to append the implied liquidity volume and the implied liquidity count to the at least one limit order event. 71. The apparatus of claim 62 wherein the mapped price point record for at least one of the limit order events includes (1) a price point record field that comprises an attribute identifier indicative of whether the mapped price point record includes price data pertaining to one or more ephemeral regional orders, (2) a price point record field that comprises a volume for the one or more ephemeral regional orders, (3) a price point record field that comprises a count for the one or more ephemeral regional orders, (4) a price point record field that comprises an attribute identifier indicative of whether the mapped price point record includes price, data that relates to implied liquidity, (5) a price point record field that comprises a volume for the implied liquidity and (6) a price point record field that comprises a count for the implied liquidity; wherein the ephemeral regional order attribute identifier, the ephemeral regional order volume, the ephemeral regional order count, the implied liquidity attribute identifier, the implied liquidity volume, and the implied liquidity count serve as an attribute vector; andwherein the reconfigurable logic device is further configured to append the attribute vector to the at least one limit order event. 72. The apparatus of claim 62 wherein the mapped price point record for at least one of the limit order events includes a price point record field that comprises a price volume and a price point record field that comprises a price count; wherein the reconfigurable logic device is further configured to perform the update operation by (1) computing an updated price volume and an updated price count for the mapped price point record based on the at least one limit order event, and (2) updating the mapped price point record with the updated price volume and the updated price count; andwherein the reconfigurable logic device is further configured to append the updated price volume and the updated price count to the at least one limit order event. 73. The apparatus of claim 62 wherein the price point records comprise a plurality of regional price point records and a plurality of composite price point records; wherein the reconfigurable logic device is further configured to perform the price point records mapping operation by mapping a plurality of the limit order events to the regional and composite price point records corresponding to the financial instruments for their associated limit orders;wherein the reconfigurable logic device is further configured to perform the update operation by updating the mapped limit order records, the mapped regional price point records, and the mapped composite price point records based on the limit order events; andwherein the reconfigurable logic device is further configured to, for those limit order events that are mapped to limit order records, regional price point records, and composite price point records, append at least one limit order record field from the updated limit order records, at least one price point record field from the updated regional price point records, and at least one price point record field from the updated composite price point records to the limit order events to generate the enriched limit order events. 74. The apparatus of claim 73 wherein the mapped regional price point record for at least one of the limit order events includes a regional price point record field that comprises a regional price volume and a regional price point record field that comprises a regional price count; wherein the mapped composite price point record for the at least one limit order event includes a composite price point record field that comprises a composite price volume and a composite price point record field that comprises a composite price count;wherein the reconfigurable logic device is further configured to perform the update operation by (1) computing an updated regional price volume and an updated regional price count for the mapped regional price point record based on the at least one limit order event, (2) computing an updated composite price volume and an updated composite price count for the mapped composite price point record based on the at least one limit order event, (3) updating the mapped regional price point record with the updated regional price volume and the updated regional price count, and (4) updating the mapped composite price point record with the updated composite price volume and the updated composite price count; andwherein the reconfigurable logic device is further configured to append the updated regional price volume, the updated regional price count, the updated composite price volume, and the updated composite price count to the at least one limit order event. 75. The apparatus of claim 62 wherein the mapped limit order record for at least one of the limit order events includes a limit order record field that comprises an interest vector indicative of which of a plurality of subscribers are interested in the mapped limit order record, and wherein the mapped price point record for the at least one limit order event includes a price point record field that comprises an interest vector indicative of which of the subscribers are interested in the mapped price point record; wherein the reconfigurable logic device is further configured to perform the processing operation by combining the interest vectors from the mapped limit order record and the mapped price point record into a consolidated interest vector; andwherein the reconfigurable logic device is further configured to append the consolidated interest vector to the at least one limit order event. 76. The apparatus of claim 75 wherein the reconfigurable logic device is further configured to selectively communicate the streaming enriched limit order events to a plurality of downstream subscribers in accordance with their appended consolidated interest vectors. 77. The apparatus of claim 62 wherein the reconfigurable logic device comprises order engine hardware logic and price engine hardware logic, wherein the order engine hardware logic is configured update the mapped limit order records, wherein the price engine hardware logic is configured to update the mapped price point records, wherein the order engine hardware logic and the price engine hardware logic are configured to operation in parallel. 78. The apparatus of claim 62 wherein at least one of limit order events includes data indicative of whether the at least one limit order event is an addition, modification, or deletion event; and wherein the reconfigurable logic device is further configured to append data from the mapped limit order record for the at least one limit order event based on the data indicative of whether the limit order event is an addition, modification, or deletion event. 79. The apparatus of claim 62 wherein the reconfigurable logic device is further configured to (1) perform the generation operation by normalizing the enriched limit order event, and (2) communicate the streaming normalized enriched limit order events to a plurality of downstream subscribers. 80. The apparatus of claim 62 wherein the memory comprises a first physical memory in which the limit order records are stored and a second physical memory in which the price point records are stored. 81. A method comprising: streaming data representative of a plurality of limit order events into a reconfigurable logic device, wherein each of the limit order events is associated with a limit order for a financial instrument;accessing order book data in a memory, the order book data comprising (1) a plurality of limit order records corresponding to a plurality of limit orders for a plurality of financial instruments and (2) a plurality of price point records corresponding to financial instruments for which there are limit order records, the limit order records comprising a plurality of limit order record fields, and the price point records comprising a plurality of price point record fields;the reconfigurable logic device mapping a plurality of the limit order events to the limit order records corresponding to their associated limit orders;the reconfigurable logic device mapping a plurality of the limit order events to the price point records corresponding to the financial instruments for their associated limit orders;the reconfigurable logic device updating the mapped limit order records and the mapped price point records based on the limit order events;the reconfigurable logic device, for those limit order events that are mapped to limit order records and price point records, appending at least one limit order record field from the updated limit order records and at least one price point record field from the updated price point records to those limit order events to directly generate a plurality of enriched limit order events from the streaming data; andthe reconfigurable logic device sending the enriched limit order events downstream; wherein the reconfigurable logic device performs its respective steps at hardware processing speeds as the limit order events stream through. 82. The method of claim 81 further comprising: the reconfigurable logic device, for each limit order event that does not map to any limit order record and does not map to any price point record, creating and storing a limit order record and a price point record in the memory for that limit order event; andthe reconfigurable logic device, for each limit order event that maps to a limit order record and does not map to any price point record, (1) creating and storing a price point record in the memory for that limit order event, and (2) appending at least one limit order record field from the updated limit order record for that limit order event to directly generate an enriched limit order event from the streaming data for that limit order event.
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