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.
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11 Claims
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1. (canceled)
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2. A method for compressing market data with a compression system in communication with an electronic exchange and a client entity, the compression system including a controller, a probability model, and an encoder, the method including:
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configuring by the controller of the compression system the probability model to be associated with a price parameter for a tradeable object, wherein the probability model includes a probability of occurrence of an input symbol associated with the price parameter; receiving by the compression system a price value for the price parameter for the tradeable object, wherein the price value is provided to the compression system by the electronic exchange; calculating by the compression system a difference, wherein the difference is a change in value between the price value for the price parameter for the tradeable object and a previous price value for the price parameter for the tradeable object; updating by the controller of the compression system the probability model associated with the price parameter for the tradeable object based on the calculated difference; encoding by the encoder of the compression system the calculated difference using a statistical data encoder to generate an encoded difference representing the calculated difference, wherein the calculated difference is an input symbol to the statistical data encoder, wherein the statistical data encoder is based on the probability model associated with the price parameter for the tradeable object; generating by the compression system an update message including the encoded difference; and sending by the compression system the update message to the client entity. - View Dependent Claims (3, 4, 5, 6, 7, 8, 9, 10, 11)
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Specification