CME Market Data Processing in FPGA

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