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