Methods and systems for monitoring market data to identify user defined market conditions

• US 10,296,974 B2
• Filed: 08/18/2014
• Issued: 05/21/2019
• Est. Priority Date: 06/01/2007
• Status: Active Grant

• Current Assignee: FTEN, Inc. (Nasdaq, Inc.)
• Original Assignee: FTEN, Inc. (Nasdaq, Inc.)
• Inventors: Kittelsen, Douglas G.
• Primary Examiner(s): Felten, Daniel S
• Application Number:
  US14/461,646
• Publication Number:
  US 20150006354A1
• Time in Patent Office: 1,737 Days
• Field of Search: 705 37
• 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

Abstract

Methods and systems for monitoring market data are disclosed. Real time data is collected that is related to conditions of a trading market. Collection occurs at an edge server associated with a liquidity destination trading at least one financial article of trade. The real time data that is collected can also be normalized if desired into a standard form. A user defined criteria is received from a centralized hub. The user defined criteria defines a particular event in the condition. It is then determined when a condition in the trading market matches the event. A response is generated providing notification of the occurrence of the event. The response is sent to the centralized hub for distribution to a user associated with the user defined criteria.

Claims

1. A method for consolidating and analyzing volumes of market data generated by multiple liquidity destination market centers at different locations remote from each other, the market data generated by each of the multiple liquidity destination market centers including trading interest information, trading match information, and trading condition information, the method comprising:

at each of a plurality of dedicated edge servers, wherein each dedicated edge server is physically or communicatively near a corresponding one of the multiple liquidity destination market centers, and each dedicated edge server is configured to communicate over a network with a central processing system, performing the following steps;

collecting the market data generated by the corresponding liquidity destination market center;

receiving over the network user-defined information defining particular market data events associated with different users;

processing the market data received from the corresponding liquidity destination market center to determine when conditions identified by the dedicated edge server in the market data generated by the corresponding liquidity destination market center match ones of the defined market data events;

detecting matches of ones of the defined market data events in the market data generated by the corresponding liquidity destination market center;

generating notification signals for each matched defined market data event;

sending over the network a first one of the notification signals to the central processing system for distribution to a first user node indicating an occurrence of a matched defined market data event associated with user-defined information for a first user; and

sending over the network a second one of the notification signals to the central processing system for distribution to a second user node indicating an occurrence of a matched defined market data event associated with user-defined information for a second user.

2. The method of claim 1, wherein the collecting the market data step comprises each dedicated edge server:

collecting Level 2 depth of book information as the data for symbols traded on the corresponding liquidity destination market center.

3. The method of claim 2, further comprising each dedicated edge server:

analyzing the Level 2 book information to determine Level 1 top of book information for symbols traded on the corresponding liquidity destination market center; and

sending the Level 1 top of book information to the central processing system for distribution.

4. The method of claim 1, further comprising each dedicated edge server:

sending the first notification signal to the central processing system in a one-to-one message ratio, and

sending the first notification signal to the central processing system in a one-to-one message ratio.

5. The method of claim 1, further comprising each dedicated edge server:

for a given time period, determining a net effect of trading activity on a symbol traded on the liquidity destination market center; and

sending a snapshot of the symbol including the net effect to the central processing system for consolidation and updating,

wherein the snapshot is combined with a previous state of a book of the symbol at the hub to update the state.

6. The method of claim 5, wherein the sending a snapshot further comprises:

declining to send the snapshot when the net effect is zero.

7. The method of claim 1, further comprising each dedicated edge server:

comparing time stamps provided by the liquidity destination market center and as reported to determine when the market is falling behind.

8. The method of claim 1, wherein the collecting the market data step further comprises each dedicated edge server collecting real time data from the corresponding liquidity destination market center.

9. A method for consolidating and analyzing volumes of market data generated by multiple liquidity destination market centers at different locations remote from each other, the market data generated by each of the multiple liquidity destination market centers including trading interest information, trading match information, and trading condition information, the method comprising:

at a central processing system, wherein the central processing system is configured to communicate over a network with a plurality of dedicated edge servers, and wherein each dedicated edge server is physically or communicatively near a corresponding one of the multiple liquidity destination market centers, performing the steps of;

receiving a first request data message associated with a first user for monitoring a first event in market conditions, where the request data message includes user-defined information that defines the first event;

receiving a second request data message associated with a second user for monitoring a second event in market conditions, where the request data message includes user-defined information that defines the second event;

sending the user-defined information as defined in the request data message to ones of the plurality of dedicated edge servers;

receiving from a first dedicated edge server a first response data message to the first request data message indicating an occurrence of the first event;

receiving from a second dedicated edge server a second response data message to the second request data message indicating an occurrence of the second event;

in response to receiving the first response data message, transmitting to a first node associated with the first user a first notification message indicating an occurrence of the first event; and

in response to receiving the second response data message, transmitting to a second node associated with the second user a second notification message indicating an occurrence of the second event.

10. The method of claim 9, further comprising the central processing system:

receiving data that is normalized from each of the plurality of dedicated edge servers in an approximate one-to-one message ratio for distribution to users.

11. The method of claim 9, further comprising the central processing system:

storing the first and second request data messages; and

querying dedicated edge servers for updates on the first and second request data messages.

12. The method of claim 9, further comprising the central processing system:

receiving Level 1 book information from the plurality of dedicated edge servers for symbols traded on the plurality of liquidity destination market centers for distribution to users.

13. A dedicated edge server physically or communicatively near a corresponding one of a plurality of liquidity destination market centers, each of the plurality of liquidity destination market centers being located at different locations remote from each other, the dedicated edge server comprising:

one or more computer processing units coupled to one or more memories and configured to;

collect market condition data related to market conditions generated by the corresponding liquidity destination market center, the market condition data including trading interest information, trading match information, and trading condition information;

store the collected market condition data;

receive over a network user-defined information defining particular market data events associated with different users;

processing the market data received from the corresponding liquidity destination market center to determine when a condition identified by the dedicated edge server in the market data generated by the corresponding liquidity destination market center matches ones of the defined market data events;

detect matches of ones of the defined market data events in the market data generated by the corresponding liquidity destination market center;

generate notification signals for each matched defined market data event;

send a first one of the notification signals over a network to a central processing system for distribution to a first user node indicating an occurrence of a matched defined market data event associated with user-defined information for a first user; and

send a second one of the notification signals over the network to the central processing system for distribution to a second user node indicating an occurrence of a matched defined market data event associated with user-defined information for a second user.

14. The distributed edge server of claim 13, wherein the one or more computer processing units is configured to:

determine a net effect of trading activity on a symbol traded on the liquidity destination market center for a given time period; and

send a snapshot of the symbol including a net effect to the central processing system for consolidation and updating.

15. The distributed edge server of claim 14, wherein the one or more computer processing units is configured to decline to send the snapshot to the central processing system when the net effect is zero.

16. The distributed edge server of claim 13, wherein the one or more computer processing units is configured to compare time stamps provided by the liquidity destination market center and as reported to determine when the market is falling behind.

17. A centralized hub comprising:

a computer system configured to;

receive a first request data message associated with a first user for monitoring a first event in market conditions, where the request data message includes user-defined information that defines the first event;

receive a second request data message associated with a second user for monitoring a second event in market conditions, where the request data message includes user-defined information that defines the second event;

send the user-defined information as defined in the request data message to ones of a plurality of dedicated edge servers, each dedicated edge server being physically or communicatively near a corresponding one of multiple liquidity destination market centers and communicates over a network with the computer system, where the multiple liquidity destination market centers are at different locations remote from each other, where each of the multiple liquidity destination market centers generates market data including trading interest information, trading match information, and trading condition information, and where each dedicated edge server collects data related to market conditions for theme corresponding liquidity destination market center;

receive from a first dedicated edge server a first response data message to the first request data message indicating an occurrence of the first event;

receive from a second dedicated edge server a second response data message to the second request data message indicating an occurrence of the second event;

in response to receiving the first response data message, transmit to a first node associated with the first user a first notification message indicating an occurrence of the first event; and

in response to receiving the second response data message, transmit to a second node associated with the second user a second notification message indicating an occurrence of the second event.

18. The centralized hub of claim 17, wherein the computer system is configured to receive data that is normalized from each of the plurality of dedicated edge servers in an approximate one-to-one message ratio for distribution to users.

19. The centralized hub of claim 17, wherein the computer system is configured to receive Level 1 book information from the plurality of dedicated edge servers for symbols traded on the plurality of liquidity destination market centers for distribution to users.

20. The centralized hub of claim 17, wherein the computer system is configured to receive a plurality of snapshots of a plurality of symbols traded on the plurality of liquidity destination market centers, wherein a snapshot comprises a net effect of trading activity on a corresponding symbol for a given time period, and configured to consolidate books of the plurality of symbols traded on the plurality of liquidity destination market centers using the plurality of snapshots by updating the books, wherein the snapshot is combined with a previous state of a corresponding book of the corresponding symbol for updating a current state the corresponding book for distribution to users.