×

Trade engine processing of mass quote messages and resulting production of market data

  • US 10,242,405 B2
  • Filed: 12/03/2013
  • Issued: 03/26/2019
  • Est. Priority Date: 11/05/2003
  • Status: Active Grant
First Claim
Patent Images

1. A system comprising:

  • a computer device that includes a processor and is configured to compile a group of orders for derivative product financial instruments;

    a memory accessible by the computer device and that stores a first template that defines a message structure format that includes a plurality of fields separated by delimiters that minimize message length;

    wherein the processor is configured with computer-executable instructions to perform the steps comprising;

    (a) generating the first template that defines the message structure format that includes a plurality of fields separated by delimiters;

    (b) generating a single message that includes the group of orders and that is formatted in accordance with the first template;

    (c) transmitting the single message that includes the group of orders and that is formatted in accordance with the first template; and

    (d) generating multiple additional templates on a real-time per message basis that define message formats that includes a plurality of fields separated by delimiters and that is different from the first template;

    an exchange computer system that includes a market data message buffer and that is configured with computer-executable instructions to perform the steps comprising;

    (a) receiving, at an order book module of the exchange computer system, the single message that includes the group of orders and that is formatted in accordance with the first template, wherein the group of orders correspond to orders associated with a plurality of order books;

    (b) processing, by the order book module, the single message that includes a group of orders wherein order book module includes a plurality of order book objects, and each of the plurality of order book objects processes in a different thread, a different portion of the group of orders;

    (c) generating market data by each order book object;

    (d) storing, by a market data module, the generated market data in the market data message buffer until a completion code is received from each of the order book objects, wherein each order book object generates the completion code when processing of its associated portion of the group of orders has finished; and

    (e) transmitting, by the market data module upon receipt of the completion code from each of the plurality of order book objects, the contents of the market data message buffer as a single market data message.

View all claims
  • 1 Assignment
Timeline View
Assignment View
    ×
    ×