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Algo-Logic Systems Launches CME Futures & Options Order Book

Algo-Logic Systems, a recognized leader in providing hardware accelerated, deterministic, real-time, ultra low latency (ULL) solutions, announces the release of their latest CME Futures & Options (F&O) Order Book. Futures and options exchanges; market makers; hedge funds; and traders require real-time market data and knowledge of the best bid and ask prices for the instruments that they trade.

Algo-Logic Systems’ F&O Order Book is a Field Programmable Gate Array (FPGA) hardware accelerator for the futures and options trading markets implemented in FPGA logic. Algo-Logic’s 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.

The F&O Order Book can be integrated with CME Feed Handler; it has functions including A/B faster feed arbitration, multicast channel filter, UDP parser, and MDP3.0 parser. The CME Feed Handler receives MDP3.0 market data, rapidly processes, updates, and transfers Best Bid Offer (BBO) data in less than 100 nanoseconds. Integrating the F&O Order Book and Feed Handler with ULL 10GE PHY+MAC and 10G TCP Endpoint for order injection would provide a complete tick-to-trade solution, achieving sub-microsecond wire-to-wire latency.

Algo-Logic’s CME Futures & Options Order Book supports:

1. Book building for instruments that have actual orders

CME multiple depth (i.e. real) book up to 10 levels deep

2. Book building for instruments that have implied orders

CME implied book up to 2 levels deep and CME consolidated book up to 10 levels deep

3. Processing of CME MDP 3.0 messages

  • Market Data Incremental Refresh 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

4.       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

Algo-Logic’s CME Futures & Options Order Book use cases include:

  • High frequency market making that adds liquidity in fast moving markets
  • Algorithmic trading systems requiring both complexity and nanosecond speed
  • Highest performance, deterministic tick-to-trade systems
  • Low latency feed distributions allowing minimum bandwidth utilization
  • Profitable arbitrage opportunity discovery in the nanosecond timescale