Abstract: Presently disclosed are systems and methods for generating customized filtered-and-partitioned market-data feeds. In an embodiment, an output-feed profile is maintained in data storage at a market-data-processing device (MDPD). The output-feed profile specifies a subset of ticker symbols and a ticker-symbol-based feed-partitioning scheme. An input feed of order-book updates to ticker symbols is received at the MDPD from an upstream device. At the MDPD, a customized market-data output feed is generated according to the maintained output-feed profile at least in part by filtering the input feed down to the order-book updates to ticker symbols in the specified subset and partitioning the filtered feed according to the specified ticker-symbol-based feed-partitioning scheme. The customized market-data output feed is transmitted from the MDPD to a downstream device.

Abstract: A market data processing device (MDPD) receives, from an upstream device, an input feed of order-book updates to ticker symbols. A first market-data feed is generated at the MDPD at least in part by: filtering the input feed down to order-book updates to a ticker-symbol subset; and inserting a sequence number into each such order-book update. Also generated at the MDPD is a second market-data feed that includes the order-book updates of the first market-data feed having the same sequence numbers inserted into the same order-book updates. The first market-data feed is transmitted to an arbitration device via a first communication path. The second market-data feed is transmitted to the arbitration device via a second communication path that is separate and distinct from the first communication path for use by the arbitration device in conducting sequence-number-based arbitration between the first and second market-data feeds.

Abstract: Presently disclosed are systems and methods for generating customized filtered-and-partitioned market-data feeds. In an embodiment, an output-feed profile is maintained in data storage at a market-data-processing device (MDPD). The output-feed profile specifies a subset of ticker symbols and a ticker-symbol-based feed-partitioning scheme. An input feed of order-book updates to ticker symbols is received at the MDPD from an upstream device. At the MDPD, a customized market-data output feed is generated according to the maintained output-feed profile at least in part by filtering the input feed down to the order-book updates to ticker symbols in the specified subset and partitioning the filtered feed according to the specified ticker-symbol-based feed-partitioning scheme. The customized market-data output feed is transmitted from the MDPD to a downstream device.

Abstract: Presently disclosed are systems and methods for targeted exchange emulation. In an embodiment, an output-feed profile that specifies a ticker-symbol subset is maintained at a market data processing device (MDPD). An input feed of order-book updates to respective ticker symbols is received at the MDPD from an upstream device. An output feed is generated at the MDPD at least in part by filtering the received input feed down to order-book updates to the ticker-symbol subset and generating output-feed messages that convey the remaining order-book updates. The generated output feed (including the generated output-feed messages) is transmitted from the MDPD to a downstream device. Cached copies of at least the order-book updates from the input feed that correspond with output-feed messages in the output feed are stored at the MDPD. A gap-fill service for the output feed is provided from the MDPD to the downstream device using the cached copies.

Abstract: A market-data processing device (MDPD) includes a line-rate processing module (LRPM) and a host. The LRPM is connected to an LRPM external-communication interface having a first port configured to receive a market-data input feed from an upstream device and a second port configured to transmit a market-data output feed to a downstream device. The LRPM includes a programmable logic circuit (PLC) configured to generate the output feed based on the input feed and transmit an archival copy of the input feed to the host via a communication bus. The host is connected to the LRPM via the communication bus and to a host external-communication interface. The host has a host processor configured to cache the archival copy of the input feed and use the cached archival copy of the input feed to provide, to the downstream device via the host external-communication interface, a gap-fill service for the output feed.