Systems and methods for interpreting exchange data packets using a lookup table

• US 10,269,073 B1
• Filed: 03/29/2018
• Issued: 04/23/2019
• Est. Priority Date: 03/29/2018
• Status: Active Grant

• Current Assignee: Arbitrage Technologies Co.
• Original Assignee: Arbitrage Technologies Co.
• Inventors: Bodson, J C, Bodson, Dorine
• Primary Examiner(s): Lemieux, Jessica
• Application Number:
  US15/940,752
• Time in Patent Office: 390 Days
• Field of Search: 705 37
• CPC Class Codes: G06F 16/9017 using directory or table look-up use of a directory or look-up table in file systems G06F16/13
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: H04L 69/08 Protocols for interworking; Protocol conversion

Abstract

Systems and methods for interpreting exchange data include an exchange implemented according to a protocol. The exchange includes various exchange elements. Responsive to a request from a first remote source, use a dynamically updated lookup table, which includes descriptors for each element, provided from a second remote source. Translate the request, which is formatted according to a first grammar of a first client language, into a query, which is formatted according to a second grammar associated with the protocol, for corresponding elements. Use the query to obtain various data packets responsive to the request and encoded according to the protocol. Translate the various packets into a programming language according to a third grammar, dictated by the request. Translate data, using the table, in the various packets from the second to the third grammar. Form a translated construct for the various packets that includes the requested information. Communicate the construct to the first source.

Claims

1. A computer implemented method comprising:

at an electronic exchange operated on a first computer system and implemented in accordance with a first exchange protocol, wherein the first exchange protocol includes a plurality of exchange elements;

(A) responsive to a first client request, from a first source remote from the first computer system, using a dynamically updated lookup table provided from a second source other than the first source, the dynamically updated lookup table including a respective descriptor for each exchange element in at least a subset of the plurality of exchange elements of the first exchange protocol, translating the first client request into a first query for one or more exchange elements in the plurality of exchange elements, wherein the first client request is formatted in accordance with a first grammar of a first client language and the first query is formatted in accordance with a second grammar associated with the first exchange protocol;

(B) using the first query to obtain a first plurality of market feed data packets responsive to the first client request, wherein the first plurality of market feed data packets is encoded in accordance with the second grammar of the first exchange protocol;

(C) translating the first plurality of market feed data packets into a first programming language in accordance with a third grammar of the first programming language, which is dictated by the first client request, using the dynamically updated lookup table to translate data in the first plurality of market feed data packets from the second grammar of the first exchange protocol to the third grammar of the first programming language, thereby forming a first translated data construct for the first plurality of market feed data packets that includes information requested by the first client request; and

(D) communicating, to the first source, the first translated data construct.

2. The method of claim 1, wherein the electronic exchange is selected from the group consisting of a commodities exchange, a cryptocurrency exchange, a currency exchange, a dark pool, an energy exchange, an electronic communication network, a foreign exchange, a real estate exchange, a stock exchange, market participants, or an alternative investment exchange.

3. The method of claim 1, wherein the first client request is in the form of an application programming interface call.

4. The method of claim 1, wherein the first exchange protocol is a financial information exchange (FIX) protocol or a FIX Adapted for Streaming (FAST) protocol, wherein the FIX protocol and the FAST protocol each define a message header, a simple binary header, and a FIX message body.

5. The method of claim 1, wherein:

the first exchange protocol is a market data platform (MDP), and

a market feed data packet in the first plurality of market feed data packets comprises a message that includes event-based bid data, ask data, trade data, statistical data, or a combination thereof.

6. The method of claim 5, wherein:

the plurality of exchange elements comprises a plurality of types, and

the plurality of types comprises one or more of the group consisting of currency type, trading symbol, quantity type, price type, security exchange type, text type, and group-size type.

7. The method of claim 5, wherein at least one market feed data packet in the first plurality of market feed data packets comprises a message of the MDP.

8. The method of claim 5, wherein at least one market feed data packet in the first plurality of market feed data packets comprises a plurality of messages of the MDP.

9. The method of claim 5, wherein

at least two market feed data packets in the first plurality of market feed data packets collectively comprise a single event over the at least two market feed data packets, and

each market feed data packet in the at least two market feed data packets comprises a complete message as defined by the FIX protocol of the MDP.

10. The method of claim 7, wherein the using the dynamically updated lookup table comprises providing a decompiled version of the message in the form of the first translated data construct.

11. The method of claim 7, wherein the using the dynamically updated lookup table comprises providing a summarized version of the message in the form of the first translated data construct.

12. The method of claim 7, wherein the message comprises a trade summary message, a limits message, a top of book message, a best bid and ask message, or a combination thereof.

13. The method of claim 5, wherein the respective descriptor for an exchange element of the plurality of exchange elements comprises a futures descriptor, a spread descriptor, or an options descriptor.

14. The method of claim 5, wherein the using (A), using (B), and translating (C) collectively comprise commands for:

(i) receiving a market feed data packet in accordance with the MDP protocol, and

(ii) parsing and outputting the imported data in the form of the first translated data construct and in accordance with one or more templates of the MDP protocol.

15. The method of claim 5, wherein the using (A), using (B), and translating (C) collectively comprise commands for:

(i) receiving a market feed data packet in accordance with the MDP protocol,

(ii) importing at least a first portion of the dynamically updated lookup table related to the MDP protocol,

(iii) importing at least a second portion of the dynamically updated lookup table related to the first client language, and

(iv) parsing and outputting the imported data in the form of the first translated data construct.

16. The method of claim 5, wherein the first exchange protocol specifies that:

the first client connects to and transacts with the electronic exchange by creating a session,

the session is defined by a password, at least one Internet Protocol (IP) address, a port, a market identifier, and a sender identifier, and

a message is an administrative message configured to support connectivity between the first client and the electronic exchange, or an application message configured to support transactions on the electronic exchange.

17. The method of claim 16, wherein the first client request comprises a request to enter an order, a request to execute an order, a request to modify an order, a request to cancel an order, or a combination thereof.

18. The method of claim 16, wherein the using (A), using (B), and translating (C) collectively comprise commands for:

(i) receiving a market feed data packet formatted in accordance with the first exchange protocol,

(ii) importing at least a first portion of the dynamically updated lookup table related to a second exchange protocol different than the first exchange protocol,

(iii) importing at least a second portion of the dynamically updated lookup table related to the first client language, and

(iv) parsing and outputting the imported data in the form of the first translated data construct.

19. The method of claim 1, wherein the first exchange protocol is DropCopy that specifies a message is an application message comprising a trade execution report, an order entry acknowledgement, or a combination thereof.

20. The method of claim 19, wherein the first plurality of market feed data packets comprises an execution report, an acknowledgement, or a combination thereof.

21. The method of claim 19, wherein the using (A), using (B), and translating (C) collectively comprise commands for:

(i) receiving a market feed data packet formatted in accordance with the DropCopy protocol,

(ii) importing at least a first portion of the dynamically updated lookup table related to the DropCopy protocol,

(iii) importing at least a second portion of the dynamically updated lookup table related to the first client language, and

(iv) parsing and outputting the imported data in the form of the first translated data construct.

22. The method of claim 1, wherein the dynamically updated lookup table is updated in response to an update of the first exchange protocol.

23. The method of claim 1, wherein the dynamically updated lookup table is updated in response to an update of the first exchange protocol without altering the first grammar of the first client language.

24. The method of claim 1, the method further comprising updating the dynamically updated lookup table on a recurring basis to reflect changes in the second grammar over time.

25. The method of claim 1, wherein the method further comprises:

(E) responsive to a second client request from the first source, using the dynamically updated lookup table, thereby translating the second client request into a second query that includes one or more exchange elements in the plurality of exchange elements, wherein the second client request is formatted in accordance with the first grammar of the first client language and the second query is formatted in accordance with the second grammar associated with the first exchange protocol;

(F) using the second query to obtain a second plurality of market feed data packets responsive to the second client request, wherein the second query is responsive to the contents of the first translated data construct;

(G) translating the second plurality of market feed data packets into a second programming language format in accordance with a fifth grammar, dictated by the second client request, using the dynamically updated lookup table to translate data in the second plurality of market feed data packets from the second grammar to the fifth grammar, thereby forming a second translated data construct for the second plurality of market feed data packets; and

(H) communicating, to the first source, the second translated data construct.

26. The method of claim 25, wherein the second client request is an actionable event of the first translated data construct.

27. The method of claim 25, wherein the second client request is a portion of the first translated data construct.

28. A computer system comprising:

one or more processing units;

a controller;

a communications interface;

a power supply; and

a memory, coupled to at least one of the one or more processing units, the memory storing a compiler, the compiler executed by at least one of the one or more processing units, the compiler comprising instructions for;

at an electronic exchange operated on a first computer system and implemented in accordance with a first exchange protocol, wherein the first exchange protocol includes a plurality of exchange elements;

(A) responsive to a first client request, from a first source remote from the first computer system, using a dynamically updated lookup table provided from a second source other than the first source, the dynamically updated lookup table including a respective descriptor for each exchange element in at least a subset of the plurality of exchange elements of the first exchange protocol, translating the first client request into a first query for one or more exchange elements in the plurality of exchange elements, wherein the first client request is formatted in accordance with a first grammar of a first client language and the first query is formatted in accordance with a second grammar associated with the first exchange protocol;

(B) using the first query to obtain a first plurality of market feed data packets responsive to the first client request, wherein the first plurality of market feed data packets is encoded in accordance with the second grammar of the first exchange protocol;

(C) translating the first plurality of market feed data packets into a first programming language in accordance with a third grammar of the first programming language, which is dictated by the first client request, using the dynamically updated lookup table to translate data in the first plurality of market feed data packets from the second grammar of the first exchange protocol to the third grammar of the first programming language, thereby forming a first translated data construct for the first plurality of market feed data packets that includes information requested by the first client request; and

(D) communicating, to the first source, the first translated data construct.

29. A non-transitory computer readable storage medium for interpreting exchange data, wherein the non-transitory computer readable storage medium stores instructions, which when executed by a device compressing one or more processors, causes the one or more processors to perform a method comprising:

at an electronic exchange operated on a first computer system and implemented in accordance with a first exchange protocol, wherein the first exchange protocol includes a plurality of exchange elements;

(A) responsive to a first client request, from a first source remote from the first computer system, using a dynamically updated lookup table provided from a second source other than the first source, the dynamically updated lookup table including a respective descriptor for each exchange element in at least a subset of the plurality of exchange elements of the first exchange protocol, translating the first client request into a first query for one or more exchange elements in the plurality of exchange elements, wherein the first client request is formatted in accordance with a first grammar of a first client language and the first query is formatted in accordance with a second grammar associated with the first exchange protocol;

(B) using the first query to obtain a first plurality of market feed data packets responsive to the first client request, wherein the first plurality of market feed data packets is encoded in accordance with the second grammar of the first exchange protocol;

(C) translating the first plurality of market feed data packets into a first programming language in accordance with a third grammar of the first programming language, which is dictated by the first client request, using the dynamically updated lookup table to translate data in the first plurality of market feed data packets from the second grammar of the first exchange protocol to the third grammar of the first programming language, thereby forming a first translated data construct for the first plurality of market feed data packets that includes information requested by the first client request; and

(D) communicating, to the first source, the first translated data construct.