Order feed message stream integrity

• US 10,152,751 B2
• Filed: 08/31/2015
• Issued: 12/11/2018
• Est. Priority Date: 09/02/2011
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Bradnick, Erica Joan Grant, Brody, Leslie Michael, Singer, Scott F.
• Primary Examiner(s): Pollack, Melvin H
• Application Number:
  US14/840,787
• Publication Number:
  US 20150371331A1
• Time in Patent Office: 1,198 Days
• Field of Search: 709217
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis
• CPC Class Codes: H04L 1/1642 Formats specially adapted for sequence numbers
• CPC Class Codes: H04L 43/08 Monitoring or testing based on specific metrics, e.g. QoS, energy consumption or environmental parameters
• CPC Class Codes: H04L 43/0847 Transmission error
• CPC Class Codes: H04L 43/10 Active monitoring, e.g. heartbeat, ping or trace-route

Abstract

Systems, methods, and computer-readable storage media are provided for improving order feed message stream integrity. Certain embodiments provide a method including sending, by a computing device, a first data message; sending a first stop message; clearing a message stream state; and sending a second data message. The first data message includes data related to an order for a tradeable object, a first sequence number with a value of a predefined initial sequence number, and a first phase number. The second data message includes data related to an order, a second sequence number with a value of the predefined initial sequence number, and a second phase number, wherein the second phase number is different than the first phase number. The message stream state is associated with the order.

Claims

1. A system including:

a phase number generator to provide a phase number for a message;

a sequence number generator to provide a sequence number for the message;

a first data message sender to send a first data message, wherein the first data message includes data related to an order for a tradeable object, wherein the first data message includes a first data message sequence number provided by the sequence number generator with a value of a predefined initial sequence number, wherein the first data message includes a first data message phase number provided by the phase number generator;

a first stop message sender to send a first stop message, wherein the first stop message includes a stop message phase number provided by the phase number generator, wherein the stop message phase number is the same as the first data message phase number, wherein the stop message indicates that no heartbeat messages will be sent after the stop message is sent and before another data message is sent; and

a second data message sender to send a second data message, wherein the second data message is sent after the first stop message, wherein the second data message includes data related to the order, wherein the second data message includes a second data message sequence number provided by the sequence number generator with a value of the predefined initial sequence number, wherein the second data message includes a second data message phase number provided by the phase number generator, wherein the second data message phase number is different than the first data message phase number.

2. The system of claim 1, wherein the first data message includes data related to the state of a server.

3. The system of claim 2, wherein the server includes the phase number generator, the sequence number generator, the first data message sender, the first stop message sender, and the second data message sender.

4. The system of claim 1, wherein the first stop message is sent after the first data message.

5. The system of claim 1, wherein the first data message includes a flag indicating that the first data message is also the first stop message.

6. The system of claim 1, further including a first heartbeat message sender to send a first heartbeat message, wherein the first heartbeat message is sent at a first time interval after the first data message is sent, wherein the first heartbeat message includes a first heartbeat message phase number provided by the phase number generator, wherein the first heartbeat message phase number is the same as the first data message phase number.

7. The system of claim 6, wherein the first heartbeat message includes a first heartbeat message sequence number provided by the sequence number generator, wherein the first heartbeat message sequence number is the same as the first data message sequence number.

8. The system of claim 6, wherein the first heartbeat message is sent before the first stop message is sent.

9. The system of claim 6, wherein the first heartbeat message includes a flag indicating that the first heartbeat message is also the first stop message.

10. The system of claim 6, further including a second heartbeat message sender to send a second heartbeat message, wherein the second heartbeat message is sent at a second time interval after the first heartbeat message is sent, wherein the second heartbeat message includes a second heartbeat message phase number provided by the phase number generator, wherein the second heartbeat message phase number is the same as the first data message phase number.

11. The system of claim 10, wherein the second time interval is increased from the first time interval by a fixed amount.

12. The system of claim 10, wherein the second time interval is increased from the first time interval according to one of a multiple of the first time interval, an exponential of the first time interval, a prime number sequence, and a Fibonacci sequence.

13. The system of claim 1, further including a message stream state clearer to clear message stream state associated with the order, wherein the message stream state is cleared after the stop message is sent, wherein the message stream state includes information particular to a message stream, wherein the message stream is a logical communications channel for messages related to the order.

14. The system of claim 13, wherein the information particular to the message stream includes the first data message phase number.

15. The system of claim 13, wherein clearing the message stream state includes de-allocating the message stream state from a memory of a computing device.

16. The system of claim 1, wherein the first data message sender, the first stop message sender, and the second data message sender are part of a same message sender.