System and Method for Providing Electronic Price Feeds For Tradeable Objects

• US 20080281669A1
• Filed: 05/10/2007
• Published: 11/13/2008
• Est. Priority Date: 05/10/2007
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: West, Robert A., Pratt, Jeffrey, Kahley, Kevin D.
• Granted Patent: US 8,204,817 B2
• Time in Patent Office: Days
• US Class Current: 705/10
• CPC Class Codes: G06Q 30/02 Marketing; Price estimation or determination; Fundraising
• CPC Class Codes: G06Q 30/0206 Price or cost determination based on market factors
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

System and methods for a price feed generation are described. According to an example method described herein, upon receiving market information including a plurality of linear prices and order quantities, a reference price level is selected and a price feed message is generated to include the reference price level and the plurality of order quantities. The price feed message is then provided to client terminals.

Claims

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

receiving market information for a tradeable object, the market information comprising a plurality of price levels, for which there are order quantities, and further comprising an order quantity pending at each of the plurality of price levels;

selecting a reference price level of the plurality of price levels; and

generating a price feed message comprising the reference price level and the order quantity pending at each of the plurality of price levels, such that the reference price level is used at a receiving terminal to map each of the order quantities to one of corresponding price level of the plurality of price levels.

2. The method of claim 1, wherein the market information comprises an inside market with a current highest bid price level and a current lowest ask price level, the method further comprising:

using the current highest bid price level or the current lowest ask price level as the reference price level.

3. The method of claim 1, wherein the order quantity at each of the plurality of price levels in the price feed message comprises an aggregate quantity of one or more orders.

4. The method of claim 1, wherein the order quantity at each of the plurality of price levels in the price feed message comprises one or more individual order quantities.

5. The method of claim 1, wherein the plurality of price levels are linear.

6. The method of claim 1, further comprising:

determining which of the plurality of price levels are non-linear in the received market information; and

generating a price feed message comprising the reference price level and non-linear price levels, in addition to the order quantity pending at each of the plurality of price levels, such that the reference price level and non-linear price levels are used at a receiving terminal to map each of the order quantities to one of corresponding price level of the plurality of price levels.

7. The method of claim 6, further comprising:

providing a plurality of mapping indicators in the price feed message, the mapping indicators being used to indicate the reference price level and the non-linear price levels.

8. The method of claim 7, further comprising:

generating a plurality of mapping indicators for bid price levels; and

generating a plurality of mapping indicators for ask price levels.

9. The method of claim 7, wherein the plurality of mapping indicators comprises a bitmap having a plurality of fields that are used at the receiving terminal to reconstruct the plurality of price levels for the order quantities specified in the price feed message.

10. The method of claim 6, further comprising:

providing a bitmap in the price feed message, wherein the bitmap is used to determine which of the plurality of price levels are included in the price feed message as the reference price level and the non-linear price levels.

11. The method of claim 1, further comprising:

providing a bitmap in the price feed message, wherein the bitmap is used to determine which of the plurality of price levels is included in the price feed message as the reference price level.

12. The method of claim 1, further comprising:

sending the price feed message to a client terminal; and

using the reference price level at the client terminal to reconstruct the plurality of price levels for the order quantities specified in the price feed message.

13. The method of claim 1, further comprising:

sending the price feed message to a gateway.

14. The method of claim 1, wherein the plurality of price levels comprises a plurality of direct price levels, and the plurality of order quantities comprises a plurality of direct order quantities.

15. The method of claim 1, wherein the plurality of price levels comprises a plurality of implied price levels, and the plurality of order quantities comprises a plurality of implied order quantities.

16. The method of claim 1, further comprising:

using a compression algorithm to compress the price feed message that represents the order quantities.

17. The method of claim 16, wherein the compression algorithm comprises an integer compression algorithm.

18. The method of claim 16, further comprising:

providing at least one byte to represent an order quantity pending at one of the plurality of price levels; and

using at least one bit of a first byte of the at least one bytes to represent how may bytes are used to represent the order quantity.

19. The method of claim 1, further comprising:

using a compression algorithm to compress the price feed message that represents the reference price level.

20. The method of claim 6, further comprising:

using a compression algorithm to compress the non-linear price levels provided in the price feed message.

21. The method of claim 1, further comprising:

defining an offset value for at least one of the plurality of order quantities at one of the plurality of price levels, the offset value defining a change in the at least one order quantity as compared to a quantity at the one of the plurality of price levels provided in a previous price feed message.