System and method for coalescing market data at a network device

• US 7,552,077 B1
• Filed: 06/26/2002
• Issued: 06/23/2009
• Est. Priority Date: 06/26/2002
• Status: Active Grant

• Current Assignee: Trading Technologies, Inc. (Trading Technologies International, Inc.), Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Schwartz, Stephen A., Schluetter, Jens-Uwe
• Primary Examiner(s): Dass; Harish T
• Assistant Examiner(s): Fields; Benjamin S
• Application Number:
  US10/183,845
• Time in Patent Office: 2,554 Days
• Field of Search: 709/224, 709/226, 709/227, 709/230, 709/231, 709/232, 709/233, 709/234
• US Class Current: 705/36.00R
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/03 Credit; Loans; Processing thereof
• 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
• CPC Class Codes: H04L 41/0896 Bandwidth or capacity management, i.e. automatically increasing or decreasing capacities flow or congestion control using dynamic resource allocation, e.g. in-call renegotiation, H04L47/76

Abstract

A network device coalesces data received from an exchange, and provides a user with the opportunity to receive fewer, but up-to-date, data updates from an exchange when duplicate prices become available or a large volume of prices becomes available suddenly. Accordingly, the trader can be assured of receiving non-duplicated prices that are fed at a rate that is cohesive with that trader'"'"'s connection speed. The present invention is designed to conserve on bandwidth thereby increasing the likelihood that bandwidth will be available to receive desirable market information.

Claims

1. A method for distributing price information corresponding to a tradeable object over a network, the method comprising:

receiving at a network device from an exchange a single price feed having a first data rate;

determining a connection capacity of a connection between the network device and a client device;

determining a second data rate that corresponds to the connection capacity of the connection, wherein the second data rate represents a slower connection speed than the first data rate;

establishing a time period according to the second data rate;

receiving at the network device during the time period a first price update in the single price feed having the first data rate;

blocking the first price update from being distributed to the client device to not exceed the second data rate;

storing the first price update in a data structure;

receiving at the network device during the time period a second price update in the single price feed having the first data rate;

blocking the second price update from being distributed to the client device to not exceed the second data rate;

coalescing the first price update and the second price update into a coalesced price update in the data structure; and

distributing a price feed with the coalesced price update at the second data rate to the client device over the connection when the time period expires.

2. The method of claim 1 wherein the step of determining a connection capacity of a connection comprises measuring bandwidth of the connection.

3. The method of claim 1 wherein the step of determining a connection capacity of a connection comprises measuring latency between the network device and the client device.

4. The method of claim 1 wherein the step of determining a connection capacity of a connection comprises manually entering a connection type between the network device and the client device.

5. The method of claim 4 wherein the connection type is greater than 500 Mbps (megabits per second), between 500 to 160 kbps (kilobytes per second), or less than 160 kbps.

6. The method of claim 4 wherein the connection type is a T1, ISDN (integrated services digital network), cable modem, DSL (digital subscriber line), wireless, or dial-up modem.

7. The method of claim 1 wherein the step of determining a second data rate comprises using a look-up table to match the second data rate with the determined connection capacity.

8. The method of claim 1 wherein the step of determining a second data rate comprises automatically adjusting the second data rate based on ping times.

9. The method of claim 1 wherein the price data feed having the second data rate is multicast to a plurality of client devices having a similar connection type.

10. The method of claim 1 where the price data feed having the second data rate is sent to the client device over a point-to-point connection.

11. A method for distributing price information corresponding to a tradeable object over a network, the method comprising:

receiving at a network device from an exchange a single price feed having a first data rate;

automatically determining a connection capacity of a connection between the network device and a client device;

determining a second data rate that corresponds to the connection capacity of the connection, wherein the second data rate represents a slower connection speed than the first data rate;

at the network device, dynamically adjusting the second data rate based on the determined connection capacity;

establishing a time period according to the second data rate;

receiving at the network device during the time period a first price update in the single price feed having the first data rate;

blocking the first price update from being distributed to the client device to not exceed the second data rate;

storing the first price update in a data structure;

receiving at the network device during the time period a second price update in the single price feed having the first data rate;

blocking the second price update from being distributed to the client device to not exceed the second data rate;

coalescing the first price update and the second price update into a coalesced price update in the data structure; and

distributing a price feed with the coalesced price update at the second data rate to the client device over the connection when the time period expires.

12. The method of claim 11 wherein automatically determining a connection capacity comprises the steps of:

measuring a first latency for an idle connection;

measuring a second latency for a loaded connection; and

comparing the first latency with the second latency,

dynamically adjusting the second data rate to a slower rate based on the step of comparing the first latency and the second latency when the second latency is exponentially greater than the first latency.

13. The method of claim 11 wherein automatically determining a connection capacity comprises the steps of:

measuring a first latency for an idle connection;

measuring a second latency for a loaded connection;

comparing the first latency with the second latency,

dynamically adjusting the second data rate to an increased rate based on the step of comparing the first latency and the second latency when the second latency is near the first latency.

14. A system for distributing price information corresponding to a tradeable object over a network, the system comprising:

an exchange for generating a single price feed;

a network device for receiving the single price feed from the exchange;

a client device for running a trading application; and

a network connection having a capacity that connects the client device with the network device,

wherein the network device adaptively tailors a first data rate of the single price feed to the capacity of the network connection, establishes a time period according to the first data rate, receives a first price update during the time period in the single price feed having the first data rate, blocks the first price update from being distributed to the client device to not exceed the first data rate, stores the first price update in a data structure, receives a second price update during the time period in the single price feed having the first data rate, blocks the second price update from being distributed to the client device, coalesces the first price update and the second price update into a coalesced price update in the data structure, and distributes a price feed with the coalesced price update at a second data rate to the client device over the network connection when the time period expires.

15. The system of claim 14 wherein the price feed represents an inside market for a single tradeable object.

16. The system of claim 14 wherein the price feed represents market depth for a single tradeable object.

17. The system of claim 14 wherein the network device is a gateway.

18. The system of claim 14 wherein the network device is located at the exchange.

19. The system of claim 14 wherein the network device is located remote from the exchange.

20. The system of claim 14 wherein the network connection is a dedicated line, cable, wireless, or a dial-up line.

21. A method for coalescing market data associated with a tradeable object for distribution over a network, the method comprising the steps of:

receiving at a network device from an exchange a first market data update;

publishing the first market data update to a client device;

starting a timer based on a timer value subsequent to the publishing of the first market update to the client device;

receiving at the network device a second market data update while the timer is running;

blocking the second market data update from being published to the client device;

storing the second market data update in a data structure;

receiving at the network device further market data updates while the timer is running;

blocking the further market updates from being published to the client device;

updating the data structure based on further market data updates received at the network device while the timer is running by coalescing the second market data update and the further market data updates into a coalesced market data update; and

publishing market data with the coalesced market data update to the client device based on the contents of the data structure when the timer expires.

22. The method of claim 21 wherein the step of updating comprises coalescing the second market update and the further market data updates into a coalesced market data update by overwriting the second market update with the further market updates.

23. The method of claim 21 wherein the step of coalescing comprises replacing those values in the data structure that have been superseded by values in the further market data updates and by adding new values from the further market data updates to the data structure.