System and method for providing market data in an electronic trading environment
First Claim
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1. A method for providing market data to a client entity in an electronic trading environment, the method including:
- receiving by a computing device first market data in a first message from an electronic exchange, wherein the first market data includes a first best bid price for a tradeable object;
storing by the computing device the first best bid 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 best bid price for the tradeable object;
calculating by the computing device a difference, wherein the difference is the change in value between the first best bid price and the second best bid 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.
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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.
18 Citations
5 Claims
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1. 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 best bid price for a tradeable object; storing by the computing device the first best bid 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 best bid price for the tradeable object; calculating by the computing device a difference, wherein the difference is the change in value between the first best bid price and the second best bid 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 (2, 3, 4)
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5. A computer readable medium having stored therein instructions for execution on a computer, the instructions causing a machine to perform the following method steps:
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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 best bid price for a tradeable object; storing by the computing device the first best bid 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 best bid price for the tradeable object; calculating by the computing device a difference, wherein the difference is the change in value between the first best bid price and the second best bid 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.
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Specification