Publish and Subscribe System Including Buffer

• US 20120271749A1
• Filed: 05/08/2012
• Published: 10/25/2012
• Est. Priority Date: 09/23/2005
• Status: Active Grant

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Moran, James P., Doornebos, Jacob, King, Michael
• Granted Patent: US 8,468,082 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06F 15/16 Combinations of two or more digital computers each having at least an arithmetic unit, a program unit and a register, e.g. for a simultaneous processing of several programs coordinating program control therefor G06F9/52; in regulating and control system G05B
• CPC Class Codes: G06Q 10/10 Office automation; Time management
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• 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

Systems and methods for delivering a plurality of trading data messages to a server in connection with the monitoring the trading of financial instruments are provided. A listener subscribes to a subset of the plurality of trading data messages generated by market participants or components within the trading platform. A buffer receives the subset of the plurality of trading data messages and stores the subset of the plurality of trading data messages. A server, such as a live alerts server, receives the subset of the plurality of trading data messages stored from the buffer and analyzes the subset of the plurality of trading data.

Claims

1. A system for delivering a plurality of trading data messages to a server, the system comprising:

a trading engine configured to generate the plurality of trading data messages;

a listener that subscribes to a subset of the plurality of trading data messages according to a criterion;

a buffer that receives the subset of the plurality of trading data messages and stores the subset of the plurality of trading data messages; and

a server that receives the subset of the plurality of trading data messages stored from the buffer and configured to analyze the subset of the plurality of trading data.

2. The system of claim 1, further comprising:

a second listener that subscribes to a second subset of the plurality of trading data messages according to a second criterion.

3. The system of claim 1, wherein the criterion is one of message content or intended destination.

4. The system of claim 1, wherein the buffer is configured to match order messages with a corresponding acknowledgement messages to create a matched set of messages.

5. The system of claim 4, further

a memory module configured to store the matched set of messages.

6. The system of claim 1, wherein the server is a live alert server that receives the subset of the plurality of trading data messages and includes computer-executable instructions for comparing trading data to at least one rule and generating a rule message when a rule is violated.

7. The system of claim 6, further comprising:

an email server configured to receive the rule message and generate an email message that includes a link for a generating a report relating to the violated rule.

8. The system of claim 7, wherein the at least one rule is a position quantity, a risk level quantity, or an order type quantity.

9. The system of claim 1, wherein the trading engine is a match engine.

10. A system for delivering a plurality of messages to an external client device, the system comprising:

a trading engine configured to generate the plurality of messages and associate each of the plurality of messages with an attribute to define at least a first class of messages and a second class of messages;

a communication bus configured to receive the plurality of messages from the trading engine and asynchronously deliver the plurality of messages;

a plurality of listeners coupled to the communication bus and configured to subscribe to and receive the first class of messages and the second class of messages; and

a buffering system configured to temporarily store the plurality of messages received from the plurality of listeners for a first time period and configured to provide at least one of the stored messages to the external client device based upon a request from the external client device

wherein the buffering system is configured to determine when one of the plurality of listeners misses a message and to store a corresponding message received from a corresponding redundant listener.

11. The system of claim 10, wherein the external client device is configured to subscribe and receive the first class of messages from the communication bus.

12. The system of claim 11, wherein when the external client does not receive a message of the first class of messages from the communication bus, the external device generates the request and sends the request to the buffering system.

13. The system of claim 10, wherein the buffering system stores the message on a first in first out basis.

14. The system of claim 10, further comprising:

a second trading engine configure to generate a second plurality of messages and associate each of the second plurality of messages with either the first class of messages or the second class of messages.

15. The system of claim 10, wherein the buffering system further includes a number (n) of buffers configured to temporarily store the messages received from the plurality of listeners and configured to provide the messages to the external client device based upon a request from the external client device.

16. The system of claim 15, wherein the messages received from the plurality of listeners are distributed among the buffers according to a modulus (n+1) function performed on a header of the message.

17. A method for delivering data comprising a plurality of messages from a trading engine to an external client device, the method comprising:

generating the plurality of messages at the trading engine;

associating each of the plurality of messages with an attribute to define at least a first class of messages and a second class of messages;

delivering asynchronously the plurality of messages along a communication bus;

subscribing a first listener coupled to the communication bus to receive the first class of messages;

subscribing a second listener coupled to the communication bus to receive the second class of messages;

storing the plurality of messages received from the first listener and the second listener in a buffering system for a time period;

determining when the first listener misses a message and storing in the buffering system a corresponding message received from a corresponding redundant listener;

providing a message stored in the buffering system to the external client device based upon a request from the external client device if the request is received during the time period;

storing the plurality of messages in a database coupled to the buffering system; and

providing a message stored in the database to the external client device based upon the request from the external client device if the request is received after the time period.

18. The method of claim 17, further comprising:

subscribing the external client device to receive the first class of messages from the communication bus.

19. The method of claim 17, further comprising:

generating the request to the buffering system when the external client does not receive a message of the first class of messages from the communication bus.

20. The method of claim 17, wherein the buffering system stores the message on a first in first out basis and the time period depends on a rate that the messages are received at the buffering system.

21. The method of claim 17, wherein the time period comprises a user defined predetermined duration.

22. The method of claim 21, further comprising:

determining whether or not the request is received during the time period comprises indexing a sequence number of the message in the request in the buffer.

23. A publish and subscribe messaging system, comprising:

a publisher operable to asynchronously send a plurality of messages to a communication bus, each of the plurality of messages containing data from a trading engine and an attribute;

a first subscriber operable to receive, from the communication bus, a class of the plurality of messages according to the attribute;

a buffer to receive the class of the plurality of messages from the first subscriber and store the class of the plurality of messages for a predetermined time period; and

a second subscriber operable to receive, from the communication bus, the class of the plurality of messages according to the attribute and send a request to the buffer when one of the plurality of messages is received out of sequence.