System and Method for Controlled Market Data Delivery in an Electronic Trading Environment

• US 20080162324A1
• Filed: 12/29/2006
• Published: 07/03/2008
• Est. Priority Date: 12/29/2006
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: West, Robert A.
• Granted Patent: US 10,026,122 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

A system and methods for controlled market data delivery are described. According to one example embodiment, upon detecting a preset threshold of updates in a queue at a gateway, a predetermined number of market updates may be processed before any data is sent to a client terminal. According to one method, update types may be used to control how many updates are processed before any data is sent. Also, once the number of updates to be processed is set, a market update having a higher priority update type may be used to trigger a change in the number of market updates that was set for processing.

Claims

1. A method for controlled market data delivery in an electronic trading environment, comprising:

receiving at a network device a plurality of market updates sent from an electronic exchange, the electronic exchange comprising a computerized matching process for automatically matching electronic bids and offers for a tradeable object received from a plurality of trading stations, the market updates comprising market information related to the tradeable object;

placing the plurality of market updates in a queue at the network device;

determining a first update type corresponding to a first market update of the plurality of market updates, the first update type being determined based on the market information in the first market update;

based on the first update type, dynamically setting a first number of market updates to be processed in the queue before any market updates are sent from the network device to receiving trading stations;

processing the first number of updates in the queue to generate a coalesced market update data; and

sending the coalesced market update data from the network device to the receiving trading stations when the first number of updates is processed.

2. The method of claim 1, further comprising:

dynamically setting the first number of market updates to be processed in the queue before any market updates are sent from the network device to the receiving trading stations upon detecting that a market update threshold has been exceeded.

3. The method of claim 2, wherein the market update threshold comprises a number of market updates pending in the queue.

4. The method of claim 2, wherein the market update threshold comprises a rate at which market updates are received at the network device and placed in the queue.

5. The method of claim 1, further comprising:

detecting a second update type in the preset first number of updates;

dynamically changing the first number of market updates to be processed in the queue to a second number of updates before any market updates are sent to the client terminal;

upon processing the second number of updates in the queue and generating the coalesced market data, sending the coalesced market update data from the network device to the receiving trading stations.

6. The method of claim 5, wherein the first update type is of a lower priority update than the second update type, and wherein the second number of updates reduces the number of market updates that is processed before any market updates are sent to the receiving trading stations.

7. The method of claim 6, wherein the second number of updates increases the number of market updates that is processed before any market updates are sent to the receiving trading stations.

8. The method of claim 1, wherein the network device comprises a gateway.

9. The method of claim 1, wherein the first market update comprises an inside market update.

10. The method of claim 1, wherein the first market update comprises a depth update.

11. The method of claim 1, wherein the first market update comprises a trade update.

12. A method for controlled market data delivery in an electronic trading environment, comprising:

receiving at a network device a plurality of market updates from an electronic exchange, the electronic exchange comprising a computerized matching process for automatically matching electronic bids and offers for a tradeable object received from a plurality of trading stations, the market updates comprising market information related to the tradeable object;

placing the plurality of market updates in a queue at the network device;

determining a first update type corresponding to a first market update of the plurality of market updates, the first update type being determined based on the market information in the first market update;

based on the first update type, dynamically setting a first number of market updates to be processed in the queue before any market updates are sent from the network device to receiving trading stations;

processing market updates within the first number of market updates to generate a coalesced market update data;

determining a second update type as market updates are processed within the first number of market updates;

based on the second update type, dynamically changing the first number of updates to a second number of market updates to be processed in the queue before any market updates are sent from the network device to the receiving trading stations; and

sending the coalesced market update data from the network device to the receiving trading stations when the second number of updates is processed.

13. The method of claim 12, further comprising:

dynamically setting the first number of market updates to be processed in the queue before any market updates are sent from the network device to the receiving trading stations upon detecting that a market update threshold has been exceeded.

14. The method of claim 13, wherein the market update threshold comprises a number of market updates pending in the queue.

15. The method of claim 13, wherein the market update threshold comprises a rate at which market updates are received at the network device and placed in the queue.

16. The method of claim 12, wherein the first update type is of a lower priority update than the second update type, and wherein the second number of updates reduces the number of market updates that is processed before any market updates are sent to the receiving trading stations.

17. The method of claim 12, wherein the second number of updates increases the number of market updates that is processed before any market updates are sent to the receiving trading stations.

18. The method of claim 12, wherein the network device comprises a gateway.

19. The method of claim 18, wherein sending the market update data comprises sending the market update data from the gateway to the receiving trading stations.

20. The method of claim 12, wherein the first market update comprises an inside market related update.

21. The method of claim 12, wherein the first market update comprises a market depth update.

22. The method of claim 12, wherein the first market update comprises a trade update.