System and method for providing market updates in an electronic trading environment

• US 10,185,990 B2
• Filed: 10/07/2013
• Issued: 01/22/2019
• Est. Priority Date: 12/28/2004
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Schwarz, Stephen A., Burns, Michael J.
• Primary Examiner(s): Bartley, Kenneth
• Application Number:
  US14/048,010
• Publication Number:
  US 20140143118A1
• Time in Patent Office: 1,933 Days
• Field of Search: 705 37
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

A system and method are provided for modifying how market updates are provided in an electronic trading environment upon detecting one or more triggering events. One example method includes defining an event to be used to trigger modification of how market updates are provided to a client entity, receiving a market update from an electronic exchange, and, when the event is detected, modifying how the market update is provided to the client entity. As an example, the modification of how the market update is provided to the client entity may include providing less data in relation to market updates, and sending the market updates less frequently.

Claims

1. A method including:

receiving by a price server of a gateway a first market information message from an electronic exchange over a first network, wherein the first market information message is related to a tradeable object being traded at the electronic exchange, wherein the first market information message includes first market depth information for the tradeable object;

generating by a market update manager of the price server of the gateway a first market update message, wherein the generated first market update message includes a first set of market depth levels, wherein each market depth level in the first set is based on market depth information for the tradeable object in the first market information message and includes a quantity available for trading the tradeable object at a corresponding price level, wherein the first set includes a first number of market depth levels;

sending by the price server of the gateway the generated first market update message to the client entity over a second network;

determining by the market update manager of the price server of the gateway a new rate market data is received over the first network from the electronic exchange conforms to a defined rate;

determining by the market update manager of the price server of the gateway, in response to determining the new rate conforms to the defined rate, a new number of market depth levels associated with the defined rate, wherein the new number of market depth levels is less than the first number of market depth levels;

receiving by the price server of the gateway a second market information message from the electronic exchange over the first network, wherein the second market information message is related to the tradeable object, wherein the second market information message includes second market depth information for the tradeable object;

generating by the market update manager of the price server of the gateway a second market update message, wherein the generated second market update message includes a second set of market depth levels, wherein each market depth level in the second set is based on market depth information for the tradeable object in the second market information message and includes a quantity available for trading the tradeable object at a corresponding price level, wherein the second set includes a second number of market depth levels, wherein the second number of market depth levels is equal to the new number of market depth levels; and

sending by the price server of the gateway the second market update message to the client entity over the second network.

2. The method of claim 1, wherein determining the new rate market is based on a moving average of the rate market data is received.

3. The method of claim 1, wherein determining the new rate is based on the rate market data is received exceeding a threshold.

4. The method of claim 1, wherein determining the new rate is based on the rate market data is received for a current time period being different from the rate market data is received for a preceding time period.

5. The method of claim 1, wherein the first set of market depth levels includes an equal number of market depth levels for bids and asks.

6. The method of claim 1, wherein the first set of market depth levels includes an unequal number of market depth levels for bids and asks.

7. The method of claim 1, wherein the second set of market depth levels includes an equal number of market depth levels for bids and asks.

8. The method of claim 1, wherein the second set of market depth levels includes an unequal number of market depth levels for bids and asks.

9. The method of claim 1, wherein the new number of market depth levels is based on a percentage.

10. The method of claim 1, wherein the new number of market depth levels is based on a static value.

11. The method of claim 1, further including:

receiving by the market update manager of the price server of the gateway a plurality of defined rates, wherein the plurality of defined rates includes the defined rate, wherein each of the plurality of defined rates is associated with a different new number of market depth levels.

12. The method of claim 1, wherein the gateway includes a plurality of processing components positioned at one or more locations on a network.