System and Method for Prioritized Data Delivery in an Electronic Trading Environment

• US 20080097887A1
• Filed: 10/20/2006
• Published: 04/24/2008
• Est. Priority Date: 10/20/2006
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: West, Robert A., Duquette, Douglas R.
• Granted Patent: US 7,747,513 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 30/06 Buying, selling or leasing transactions
• CPC Class Codes: G06Q 30/08 Auctions
• 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

A system and method for prioritized data delivery in an electronic trading environment are described herein. According to one example embodiment, by prioritizing the messages associated with a tradeable object, the bandwidth and system resource usage may be optimally reduced, and any loss of priority content in the messages sent between the network device and the client device may be reduced. An example method includes associating different priority levels with messages comprising market data. Messages containing market information related to the inside market may be associated to a higher priority level. Whereas messages containing market information relating to the quantities at prices outside the inside market may be associated with a lower priority level. Based on the priority level associated with a message, a network device may send the message directly to the client device or store the message in a data structure until a pre-defined condition is satisfied.

Claims

1. A method for prioritized data delivery to a client in an electronic trading environment, comprising:

receiving a plurality of messages associated with a tradeable object at an intermediary device, each message containing market data that is associated with a lower priority level; and

queuing the lower priority market data in a data structure;

receiving of a message containing market data that is associated with a higher priority level; and

upon receipt of the higher priority market data, sending the market data associated with the lower priority level and the market data associated with the higher priority level to the client.

2. The method of claim 1, wherein the market data associated with the higher priority level relates to an inside market, wherein the inside market comprises a highest bid price and a lowest ask price currently available in the market.

3. The method of claim 1, wherein the market data associated with the higher priority level relates to a last traded price and a last traded quantity currently available in the market.

4. The method of claim 1, wherein the market data associated with the higher priority level relates to a change in price or a change in quantity within the inside market.

5. The method of claim 1, wherein the market data associated with the higher priority level relates to change in price or change in quantity within a range of price levels, wherein the range of price levels is based on a user-defined value.

6. The method of claim 2, wherein the market data associated with the lower priority level relates to bid or ask quantity at prices outside of the inside market.

7. The method of claim 1, further comprising sending the market data associated with the lower priority level based on a pre-defined condition, wherein the pre-defined condition is user-defined.

8. The method of claim 7, wherein the pre-defined condition comprises sending the lower priority market data to the client when a time period expires.

9. The method of claim 7, wherein the pre-defined condition comprises sending all lower priority market data to the client when a time period has expired and when a message of either higher or lower priority is received.

10. The method of claim 7, wherein the pre-defined condition further comprises:

determining if the time period has expired and if so, determining if there is lower priority market data in the data structure waiting to be sent; and

sending the lower priority market data to the client.

11. The method of claim 1, wherein the pre-defined condition comprises a slow market, such that if the market is slow, sending the lower priority market data and the higher priority market data to the client.

12. The method of claim 1, wherein the pre-defined condition comprises a fast market, such that if the market is fast, queuing all received messages of the lower priority level in the data structure for a pre-defined time period or until a message of the higher priority level is received at the intermediary device.

13. The method of claim 1, further comprising coalescing the lower priority market data, such that more recent market information overwrites the less recent market information in the data structure.

14. The method of claim 12, wherein the step of sending the market data associated with the lower priority comprises sending only the coalesced market data such that only the recent market data is sent to the client.

15. The method of claim 1, wherein the intermediary device is a gateway.

16. The method of claim 1, wherein the intermediary device is located at the electronic exchange.

17. The method of claim 1, wherein the intermediary device is not located at the electronic exchange.

18. The method of claim 1, wherein the client comprises a client side network.

19. The method of claim 1, wherein the client comprises a computer.

20. A method for prioritized data delivery to a client in an electronic trading environment, comprising:

receiving a plurality of messages at an intermediary device, each message containing market data associated with a bid or ask quantity at prices outside of an inside market;

queuing the data associated with the bid or ask quantity at prices outside of the inside market in a data structure;

receiving a message, wherein the message comprises market data associated with the inside market, wherein the inside market comprises a highest bid price and a lowest ask price currently available in the market; and

sending the market data included in the plurality if messages together with the market data included in the message to a client device.

21. A computer readable medium having program code recorded thereon for execution on a computer to provide prioritized data delivery, comprising:

a first program code for receiving a plurality of messages associated with a tradeable object at an intermediary device, each message containing market data that is associated with a lower priority level;

a second program code for queuing the lower priority market data in a data structure;

a third program code for receiving of a message containing market data that is associated with a higher priority level; and

upon receipt of the higher priority market data, a fourth program code for sending the market data associated with the lower priority level and the market data associated with the higher priority level to the client.