System and method for providing market updates in an electronic trading environment

• US 7,783,559 B1
• Filed: 05/01/2006
• Issued: 08/24/2010
• Est. Priority Date: 12/28/2004
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Burns, Michael J., Schwarz, Stephen A.
• Primary Examiner(s): Patel; Jagdish N
• Assistant Examiner(s): BARTLEY, KENNETH
• Application Number:
  US11/415,450
• Time in Patent Office: 1,576 Days
• Field of Search: 705/37
• US Class Current: 705/37
• 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

Abstract

A system and method are provided for modifying how market updates are provided in an electronic trading environment upon detecting one or more triggering events. One example method includes defining an event to be used to trigger modification of how market updates are provided to a client entity, receiving a market update from an electronic exchange, and, when the event is detected, modifying how the market update is provided to the client entity. As an example, the modification of how the market update is provided to the client entity may include providing less data in relation to market updates, and sending the market updates less frequently.

Claims

1. A computer-implemented method for providing market updates in an electronic trading environment, the method including:

receiving by a gateway a definition for a first event, wherein the definition for the first event includes a rate market data is received from an electronic exchange;

receiving by the gateway market data from the electronic exchange, wherein the market data is related to a tradeable object being traded at the electronic exchange, wherein the market data includes market depth information for the tradeable object;

generating by the gateway a first market update to be sent to a client entity, wherein the first market update includes a first set of market depth levels, wherein each market depth level in the first set is based on the market depth information and includes a quantity available for trading the tradeable object at a price level, wherein the first set includes a first number of market depth levels;

sending by the gateway the first market update to the client entity;

determining by the gateway whether the first event has been detected, wherein the first event is detected when the rate market data is received from the electronic exchange conforms to the rate defined for the first event;

generating by the gateway a second market update to be sent to the client entity, wherein the second market update includes a second set of market depth levels, wherein each market depth level in the second set is based on the market depth information and includes a quantity available for trading the tradeable object at a price level, wherein the second set includes a second number of market depth levels, wherein the second number of market depth levels is determined based on detection of the first event, and wherein the second number of market depth levels is different from the first number of market depth levels in response to the first event being detected; and

sending by the gateway the second market update to the client entity.

2. The method of claim 1, wherein the first event is detected based at least in part on a moving average of the rate market data is received.

3. The method of claim 1, wherein the first event is detected when the rate market data is received exceeds a threshold.

4. The method of claim 1, wherein the first event is detected when the rate market data is received for a current time period is different from the rate market data is received for a preceding time period.

5. The method of claim 1, wherein the second set of market depth levels includes an equal number of market depth levels for bids and asks.

6. The method of claim 1, wherein the second set of market depth levels includes an unequal number of market depth levels for bids and asks.

7. The method of claim 1, wherein the second number of market depth levels is further based on a percentage.

8. The method of claim 1, wherein the second number of market depth levels is further based on a static value.

9. The method of claim 1, further including receiving by the gateway definitions for a plurality of events, wherein the plurality of events includes the first event, wherein the second number of market depth levels is determined based on the detection of at least one of the plurality of events.

10. The method of claim 1, wherein the gateway includes a plurality of processing components positioned at one or more locations on a network.

11. A computer-implemented method for providing market updates in an electronic trading environment, the method including:

receiving by a gateway a definition for a first event, wherein the definition for the first event includes a rate market data is received from an electronic exchange;

receiving by the gateway market data from the electronic exchange, wherein the market data is related to a tradeable object being traded at the electronic exchange;

generating by the gateway a first market update to be sent to a client entity, wherein the first market update includes a first set of market related parameters calculated based on the market data, wherein the first set includes a first number of market related parameters;

sending by the gateway the first market update to the client entity;

determining by the gateway whether the first event has been detected, wherein the first event is detected when the rate market data is received from the electronic exchange conforms to the rate defined for the first event;

generating by the gateway a second market update to be sent to the client entity, wherein the second market update includes a second set of market related parameters calculated based on the market data, wherein the second set includes a second number of market related parameters, wherein the second number of market related parameters is determined based on detection of the first event, and wherein the second number of market related parameters is different from the first number of market related parameters in response to the first event being detected; and

sending by the gateway the second market update to the client entity.

12. The method of claim 11, wherein the first event is detected based at least in part on a moving average of the rate market data is received.

13. The method of claim 11, wherein the first event is detected when the rate market data is received exceeds a threshold.

14. The method of claim 11, wherein the first event is detected when the rate market data is received for a current time period is different from the rate market data is received for a preceding time period.

15. The method of claim 11, wherein the second number of parameters is further based on a percentage.

16. The method of claim 11, wherein the second number of parameters is further based on a static value.

17. The method of claim 11, further including receiving by the gateway definitions for a plurality of events, wherein the plurality of events includes the first event, wherein the second number of market related parameters is determined based on the detection of at least one of the plurality of events.

18. The method of claim 11, wherein the gateway includes a plurality of processing components positioned at one or more locations on a network.

19. A computer readable medium having stored therein instructions for execution on a computer to perform the following method steps:

receiving by a gateway a definition for a first event, wherein the definition for the first event includes a rate market data is received from an electronic exchange;

receiving by the gateway market data from the electronic exchange, wherein the market data is related to a tradeable object being traded at the electronic exchange, wherein the market data includes market depth information for the tradeable object;

generating by the gateway a first market update to be sent to a client entity, wherein the first market update includes a first set of market depth levels, wherein each market depth level in the first set is based on the market depth information and includes a quantity available for trading the tradeable object at a price level, wherein the first set includes a first number of market depth levels;

sending by the gateway the first market update to the client entity;

determining by the gateway whether the first event has been detected, wherein the first event is detected when the rate market data is received from the electronic exchange conforms to the rate defined for the first event;

generating by the gateway a second market update to be sent to the client entity, wherein the second market update includes a second set of market depth levels, wherein each market depth level in the second set is based on the market depth information and includes a quantity available for trading the tradeable object at a price level, wherein the second set includes a second number of market depth levels, wherein the second number of market depth levels is determined based on detection of the first event, and wherein the second number of market depth levels is different from the first number of market depth levels in response to the first event being detected; and

sending by the gateway the second market update to the client entity.

20. A computer readable medium having stored therein instructions for execution on a computer to perform the following method steps:

receiving by a gateway a definition for a first event, wherein the definition for the first event includes a rate market data is received from an electronic exchange;

receiving by the gateway market data from the electronic exchange, wherein the market data is related to a tradeable object being traded at the electronic exchange;

generating by the gateway a first market update to be sent to a client entity, wherein the first market update includes a first set of market related parameters calculated based on the market data, wherein the first set includes a first number of market related parameters;

sending by the gateway the first market update to the client entity;

determining by the gateway whether the first event has been detected, wherein the first event is detected when the rate market data is received from the electronic exchange conforms to the rate defined for the first event;

generating by the gateway a second market update to be sent to the client entity, wherein the second market update includes a second set of market related parameters calculated based on the market data, wherein the second set includes a second number of market related parameters, wherein the second number of market related parameters is determined based on detection of the first event, and wherein the second number of market related parameters is different from the first number of market related parameters in response to the first event being detected; and

sending by the gateway the second market update to the client entity.