Algo-Logic performs market data processing within their Full Order Book, IBM POWER8 CAPI Order Book, and CME Futures & Options Order Book.

The Order Book building process includes 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, and CME Natural Refresh recovery mechanism. The building proces also includes 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, and reporting the L2 snapshots for consolidated books with the best bid/ask information.

  • Full Order Book

  • Performs all book building processing and reporting as logic inside a single FPGA; maintains L-3 order-level book while updating L-2 book with a default of 10 price levels.

  • IBM POWER8 CAPI Order Book

  • Performs all feed processing and book building in logic inside a single Stratix V FPGA on the Nallatech P385 card. The system enables software to directly receive order book snapshots in the coherent shared memory with the least possible latency.

  • CME Futures & Options Order Book

  • FPGA hardware trading accelerator with the entire feed processing module and Order Book implemented in logic.