Method and apparatus for publishing market information

• US 10,074,136 B2
• Filed: 01/20/2012
• Issued: 09/11/2018
• Est. Priority Date: 12/23/2011
• Status: Active Grant

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Singh, Inderdeep
• Primary Examiner(s): Kanervo, Virpi H
• Application Number:
  US13/355,092
• Publication Number:
  US 20130166427A1
• Time in Patent Office: 2,426 Days
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis
• CPC Class Codes: G06Q 50/00 Information and communication technology [ICT] specially adapted for implementation of business processes of specific business sectors, e.g. utilities or tourism healthcare informatics G16H

Abstract

A method and apparatus for publishing market data for a financial instrument utilizes existing network layer acknowledgement feature to publish market data for the financial instrument to a client device at rates in which the client device is able to process the data. The publishing rate is dynamic, as opposed to being fixed, and is able to adjust “on-the-fly” so as to prevent message queue stagnation.

Claims

1. A method implemented within a computing system for publishing data indicative of current market information relating to a financial instrument received from a financial market center to a client device over an electronic network, the method comprising:

receiving, via the electronic network by a network device of the computing system from a financial market center a market information data feed containing data indicative of current market information for the financial instrument;

storing with the computing system in an electronic memory coupled therewith, the received data indicative of current market information;

establishing with the computing system an electronic communication link between the network device and a client device via the electronic network, said electronic communication link being configured to determine when the client device is ready for receiving market information based on receipt thereby of previously transmitted data and provide a feedback signal to the network device via the electronic network indicative of the receipt of the previously transmitted data and for informing the network device when the client device is ready to receive market information;

receiving, via the electronic network by the network device of the computing system from the financial market center, the market information data feed containing updated data indicative of current market information for the financial instrument;

storing with the computing system in the electronic memory coupled therewith, the received updated data indicative of current market information; and

publishing, with the computing system, the stored data indicative of current market information to the client device when, based on the receipt of the feedback signal prior to the receipt of the updated data indicative of current market information, the electronic communication link has determined that the client device is ready to receive market information, and the stored updated data indicative of current market information to the client device when, based on the receipt of the feedback signal subsequent to the receipt of the updated data indicative of current market information, the electronic communication link has determined that the client device is ready to receive market information, wherein the publishing comprises serializing, by the computing system, the stored data or stored updated data indicative of current market information for transmission to the client device via the electronic network and transmitting, by the computing system, the serialized data or updated data indicative of current market information to the client device via the electronic network.

2. The method of claim 1, wherein said electronic communication link is a Transmission Control Protocol (TCP) communication link that provides a feedback signal in a form of a network layer acknowledgment (ACK) when the client device is ready to receive market information.

3. The method of claim 1, wherein said step of storing the received updated data indicative of current market information further includes replacing the stored data indicative of current market information stored in the electronic memory with the receive updated data indicative of current market information.

4. The method of claim 1, further comprising:

setting with the computing system an indicator when the data and updated data indicative of current market information has been stored; and

checking with the computing system whether the indicator is set when the feedback signal indicates the client device is ready to receive market information; and

if the indicator is set, publishing with the computing system the stored data or updated data indicative of current market information when the feedback signal indicates the client device is ready to receive market information.

5. The method of claim 1, wherein the data and updated data indicative of current market information is stored in a form of a market book representing offers to sell and offers to buy the financial instrument at a plurality of prices.

6. The method of claim 5, wherein said market book is published to the client device when the client device is ready to receive market information.

7. A method implemented within a computing system for publishing data indicative of current market information relating to a financial instrument received from a financial market center to a client device over an electronic network, the method comprising:

(a) receiving, via the electronic network, at a network device of the computing system a market information data feed from a financial market center containing data indicative of current market information for a financial instrument;

(b) storing with the computing system in an electronic memory coupled therewith, the received data indicative of current market information for the financial instrument in a market book representing offers to sell and offers to buy the financial instrument at a plurality of prices;

(c) establishing with the computing system an electronic communication link via the electronic network, between the network device and a client device that is ready to receive market information, whereby electronic communication between the network device and the client device occurs according to a feedback-oriented communication protocol implemented by the electronic communication link that determines when the client device is ready to receive market information based on receipt thereby of previously transmitted data and, based thereon, provides an acknowledgement signal via the electronic network when the client device receives market information from the network device informing the network device when the client device is ready to receive market information;

(d) receiving at the network device via the market information data feed data indicative of one or more market information updates for the financial instrument;

(e) storing with the computing system in an electronic memory coupled therewith the received data indicative of the one or more market information updates wherein any previously stored data for the financial instrument is overwritten in the electronic memory;

(f) in response to storing the data indicative of one or more market information updates, setting with the computing system a market update indicator to indicate that a market information update is available;

(g) upon determining with the computing system that the market update indicator is set;

publishing with the network device the data indicative of one or more market information updates to the client device via the communication link by serializing, by the computing system, the stored data indicative of one or more market information updates for transmission to the client device via the electronic network and transmitting, by the computing system;

the serialized data to the client device via the electronic network;

in response to publishing the one or more market information updates, resetting with the computing system the market update indicator to indicate that no market update is available; and

setting with the computing system the market update indicator to indicate that a market information update is available when any new market information update is received during publishing;

(h) receiving at the network device via the communication link an acknowledgement that the data indicative of one or more market information updates have been received; and

(i) in response to receiving said acknowledgement, determining with the computing system whether the market information update indicator is set;

(j) if the market information update indicator is set to indicate that a market information update is available, repeating steps (g) through (i), and

(h) if the market information update indicator is not set to indicate that a market information update is available, repeating steps (d) through (i),

wherein no new market information updates are published until publishing of said one or more market updates is complete and the client device is ready to receive new market information updates.

8. The method of claim 7, wherein said electronic communication link is a Transmission Control Protocol (TCP) communication link that provides a feedback signal in a form of a network layer acknowledgement when the client device is ready to receive market information.

9. The method of claim 7, wherein the data indicative of market information updates are stored in the market book representation for the financial instrument.

10. The method of claim 9, wherein the network device publishes the entire market book representation containing the market information updates to the client device.

11. The method of claim 7, wherein the data indicative of market information updates are stored in the market book representation.

12. The method of claim 11, further comprising:

locking the market book representation when a market information update is being stored to prevent publishing of the stored market information while the market book representation is being updated; and

unlocking the market book representation to enable publishing of the stored market information when the storing of market information update is complete.

13. An apparatus for publishing data indicative of market information relating to a financial instrument received from a financial market center to a client device over an electronic network, the apparatus comprising:

a market data publisher configured to publish data indicative of market information, received via the electronic network from a market information data feed generated by the financial market center, to a client device upon receipt of a feedback signal indicating that the client device is ready to receive market information, said market information data feed containing current market information for a financial instrument;

an electronic memory configured to store data indicative of current market information received by the market data publisher via the market information data feed updating previously received data indicative of current market information that has not yet been transmitted to the client device; and

an electronic communication link configured to link the market data publisher with the client device, the electronic communication link further configured to determine when the client device is ready to receive market information based on receipt thereby of previously transmitted data and, based thereon, provide the feedback signal to the market data publisher indicative of the receipt of the previously transmitted data and inform the market data publisher when the client device is ready to receive market information;

upon receipt of the feedback signal, the market data publisher configured to serialize the stored data indicative of current market information for transmission to the client device via the electronic network; and

the market data publisher configured to transmit the serialized data indicative of current market information to the client device via the electronic network.

14. The apparatus of claim 13, wherein said electronic communication link is a Transmission Control Protocol (TCP) communication link that provides a feedback signal in a form of a network layer acknowledgment (ACK) when the client device is ready to receive market information.

15. The apparatus of claim 13, wherein market information is stored and published by the market data publisher in a form of a market book representing offers to sell and offers to buy the financial instrument at a plurality of prices.