System and Method for Providing Market Data in an Electronic Trading Environment
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Abstract
A system and methods are developed for providing market data in an electronic trading environment. One example method includes determining a probability model comprising a probability corresponding to a change in relation to a market data parameter, then, using the probability to generate a compressed bit stream representing the market data parameter, and providing the compressed bit stream to the client terminal.
39 Citations
42 Claims
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1-21. -21. (canceled)
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22. A method for providing market data to a client entity in an electronic trading environment, the method including:
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receiving by a computing device first market data in a first message from an electronic exchange, wherein the first market data includes a first price for a parameter for a tradeable object; storing by the computing device the first price; receiving by the computing device second market data in a second message from the electronic exchange, wherein the second market data includes a second price for the tradeable object, wherein the second price is for the same parameter as the first price; calculating by the computing device a difference, wherein the difference is the change in value between the first price and the second price; encoding by the computing device the calculated difference, wherein the calculated difference is encoded by providing the calculated difference to a statistical data encoder as an input symbol, wherein the statistical data encoder provides an encoded difference representing the calculated difference; generating by the computing device an update message including the encoded difference; and sending by the computing device the update message to a client entity. - View Dependent Claims (23, 24, 25, 26, 27, 28)
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29. A computer readable medium having stored therein instructions executable by a processor to perform a method including:
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receiving by a computing device first market data in a first message from an electronic exchange, wherein the first market data includes a first price for a parameter for a tradeable object; storing by the computing device the first price; receiving by the computing device second market data in a second message from the electronic exchange, wherein the second market data includes a second price for the tradeable object, wherein the second price is for the same parameter as the first price; calculating by the computing device a difference, wherein the difference is the change in value between the first price and the second price; encoding by the computing device the calculated difference, wherein the calculated difference is encoded by providing the calculated difference to a statistical data encoder as an input symbol, wherein the statistical data encoder provides an encoded difference representing the calculated difference; generating by the computing device an update message including the encoded difference; and sending by the computing device the update message to a client entity. - View Dependent Claims (30, 31, 32, 33, 34, 35)
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36. A system for providing market data to a client entity in an electronic trading environment, the system including:
a computing device adapted to receive first market data in a first message from an electronic exchange, wherein the first market data includes a first price for a parameter for a tradeable object, wherein the computing device is adapted to store the first price, wherein the computing device is adapted to receive second market data in a second message from the electronic exchange, wherein the second market data includes a second price for the tradeable object, wherein the second price is for the same parameter as the first price, wherein the computing device is adapted to calculate a difference, wherein the difference is the change in value between the first price and the second price, wherein the computing device is adapted to encode the calculated difference, wherein the calculated difference is encoded by providing the calculated difference to a statistical data encoder as an input symbol, wherein the statistical data encoder provides an encoded difference representing the calculated difference, wherein the computing device is adapted to generate an update message including the encoded difference, and wherein the computing device is adapted to send the update message to a client entity. - View Dependent Claims (37, 38, 39, 40, 41, 42)
Specification