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