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
Product brief