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Generating market information based on causally linked events

  • US 10,032,222 B2
  • Filed: 06/27/2017
  • Issued: 07/24/2018
  • Est. Priority Date: 06/13/2011
  • Status: Active Grant
First Claim
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1. A method comprising:

  • initiating by a first computing device a start of a market event that results in a sequence of two or more causally related market data messages generated by an electronic exchange;

    detecting by the first computing device the sequence of the two or more causally related market data messages associated with the market event;

    queuing by the first computing device the sequence of the two or more causally related market data messages;

    detecting by the first computing device an end of the market event;

    generating by the first computing device a new logically reduced market data message comprising grouped market data in the queued two or more causally related market data messages, wherein the grouped market data groups together the two or more casually related market data messages related to the market event; and

    sending by the first computing device the new logically reduced market data message to a second computing device.

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