Method and System for Monitoring Market Data to Identify User Defined Market Conditions

• US 20080301061A1
• Filed: 06/02/2008
• Published: 12/04/2008
• 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.
• Granted Patent: US 8,838,495 B2
• Time in Patent Office: Days
• US Class Current: 705/36R
• 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 method and system for monitoring market data. The method includes collecting real time data 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. In addition, the real time data that is collected is also normalized 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 monitoring market data, comprising:

collecting real time data related to conditions of a trading market at an edge server associated with a liquidity destination trading at least one financial article of trade;

normalizing said real time data that is collected into a standard form at said edge server;

storing said real time data that is normalized at said edge server;

receiving from a centralized hub user defined criteria defining a particular event in said conditions at said edge server;

determining if a condition in said trading market matches said event;

generating a response providing notification of the occurrence of said event; and

sending said response to said centralized hub for distribution to a user associated with said user defined criteria.

2. The method of claim 1, wherein said collecting real time data comprises:

collecting Level 2 depth of book information as said real time data for symbols traded on said liquidity destination.

3. The method of claim 2, further comprising:

analyzing said Level 2 book information to determine Level 1 top of book information for symbols traded on said liquidity destination; and

sending said Level 1 top of book information to said centralized hub for distribution to interested users.

4. The method of claim 1, wherein said generating a response comprises:

generating a notification signal.

5. The method of claim 4, further comprising:

receiving said notification signal from said user, wherein said user defines said notification signal to indicate said event has occurred.

6. The method of claim 1, further comprising:

sending said real time data to a centralized hub in a one-to-one message ratio.

7. The method of claim 1, further comprising:

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

sending a snapshot of said symbol including said net effect to said centralized hub for consolidation and updating, wherein said snapshot is combined with a previous state of a book of said symbol at said hub to update said state.

8. The method of claim 6, wherein said sending a snapshot further comprises:

declining to send said snapshot if said net effect is zero.

9. The method of claim 1, wherein said event is related to a particular symbol.

10. The method of claim 1, wherein said event is related to two or more symbols.

11. The method of claim 1, wherein said determining if a condition comprises:

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

12. The method of claim 1, further comprising:

allowing said user to define said user defined criteria in a request;

accepting said request at said centralized hub;

updating said request; and

distributing said request to said edge server.

13. The method of claim 1, wherein said event is related to an SIC code.

14. A method for monitoring market data, comprising:

at each of a plurality of edge servers associated with a plurality of liquidity destinations trading at least one financial article of trade, collecting real time data related to market conditions;

at each of said plurality of edge servers, normalizing said real time data that is collected to a standard form;

at each of said plurality of edge servers, storing said real time data that is normalized;

at a centralized hub, receiving a request from a user for monitoring an event in said market conditions, wherein said request includes user defined criteria that defines said event;

sending said user defined criteria to pertinent edge servers associated with corresponding liquidity destinations as defined in said request;

receiving a response to said request at said centralized hub indicating an occurrence of said event; and

sending said response to said user.

15. The method of claim 14, wherein said receiving a response comprises:

receiving a notification signal as said response, wherein said notification signal is defined by said user and previously sent to said pertinent edge servers.

16. The method of claim 14, further comprising:

receiving said real time data that is normalized from each of said plurality of edge servers at said centralized hub in an approximate one-to-one message ratio for distribution to interested users.

17. The method of claim 14, further comprising:

storing said request at said centralized hub; and

querying said pertinent edge servers for updates on said request.

18. The method of claim 14, further comprising:

receiving a plurality of snapshots of symbols traded on said plurality of liquidity destinations, wherein a snapshot comprises a net effect of trading activity on a corresponding symbol for a given time period; and

consolidating books of said symbols traded on said plurality of liquidity destinations using said plurality of snapshots by updating said books, wherein said snapshot is combined with a previous state of a corresponding book of said corresponding symbol for updating a current state said corresponding book for distribution to interested users.

19. The method of claim 18, wherein said consolidating books comprises:

consolidating Level 1 and Level 2 book information for said symbols traded on said plurality of liquidity destinations.

20. The method of claim 14, further comprising:

receiving Level 1 book information from said plurality of edge servers for symbols traded on said plurality of liquidity destinations for distribution to interested users.

21. A system for monitoring market data, comprising:

a plurality of liquidity destinations trading at least one financial article of trade;

a plurality of edge servers associated with said plurality of liquidity destinations, wherein at least one of said plurality of edge servers comprises;

a collector for collecting real time data related to market conditions;

a normalizing engine for normalizing said real time data that is collected to a standard form;

a comparator for monitoring an event in said market conditions as requested by a user;

a notification module for generating a notification signal providing notification of the occurrence of said event, and sending said notification signal to a centralized hub; and

said centralized hub for receiving a request from said user for monitoring said event, wherein said request includes user defined criteria that defines said event, wherein said centralized hub is configured to send said request to pertinent liquidity destinations as defined in said request, and wherein said centralized hub is configured to receive said notification signal for distribution to said user.

22. The system of claim 21, wherein said centralized hub is configured to query edge servers associated with said pertinent liquidity destinations for updates on said request.

23. The system of claim 21, wherein said centralized hub comprises a consolidator configured to receive a plurality of snapshots of a plurality of symbols traded on said plurality of liquidity destinations, wherein a snapshot comprises a net effect of trading activity on a corresponding symbol for a given time period, and configured to consolidate a books of said plurality of symbols traded on said plurality of liquidity destinations using said plurality of snapshots by updating said books, wherein said snapshot is combined with a previous state of a corresponding book of said corresponding symbol for updating a current state said corresponding book for distribution to interested users.

24. The system of claim 21, wherein said centralized hub is configured to receive Level 1 book information from edge servers associated with said plurality of liquidity destinations for symbols traded on said plurality of liquidity destinations for distribution to interested users.