Generating Market Information Based on Causally Linked Events
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Abstract
Certain embodiments provide systems, apparatus, and methods to analyze incoming data messages and create market information constructs. An example method includes receiving a data message including an instruction to initiate a market event. The example method includes evaluating the instruction to determine whether it is associated with two or more causally linked market events. The example method also includes classifying the instruction based on the evaluating as part of a sequence of causally linked market events or as a single market event. The example method includes queuing the sequence of causally linked market events. The example method further includes detecting an end of the sequence of causally linked market events. The example method includes constructing a logically reduced market data message construct descriptive of the one or more market events represented by the queued sequence of causally linked events.
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Citations
11 Claims
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1. (canceled)
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2. A method including:
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receiving by a first computing device a data message including a command to initiate a market event, wherein the data message is provided to an electronic exchange, wherein the market event results in a sequence of causally related market data messages generated by the electronic exchange; detecting by the first computing device from the electronic exchange the sequence of causally related market data messages associated with the market event; queuing by the first computing device the sequence of causally related market data messages; detecting by the first computing device an end of the market event; generating by the first computing device a new logically reduced market data message including grouped market data in the queued causally related market data messages, wherein the grouped market data groups together the causally related market data messages related to the market event; and sending by the first computing device the new logically reduced market data message to a second computing device. - View Dependent Claims (3, 4, 5, 6, 7, 8, 9, 10, 11)
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Specification