Market data message format
First Claim
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1. A method of processing a market data messages sent from an exchange, the method comprising:
- (a) receiving a first template at a computer, the first template defining a plurality of fields;
(b) receiving a first market data message having a plurality of fields separated by delimiters, the first template received from the same source as the first market data message;
(c) parsing the first market data message to extract the fields separated by the delimiters;
(d) interpreting the plurality of fields in the first market data message at the computer based on their order and information included in the first template;
(e) receiving a second template at the computer, the second template defining a plurality of fields and being different from the first template;
(f) receiving a second market data message having a plurality of fields separated by delimiters, the second template received from the same source as the first market data message;
(g) parsing the second market data message to extract the fields separated by the delimiters;
(h) interpreting the plurality of fields in the second market data message at the computer based on their order and information included in the second template.
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Abstract
Systems and methods are provided for communicating and processing market data. The market data may comprise quotes, orders, trades and/or statistics. A messaging structure allows for adding, re-ordering and/or expanding data, within the printable character set of any language. One or more delimiters are defined and used to delimit data elements within the message structure. The data is interpreted based on templates which may be disseminated prior to the sending of messages and used as an abstraction so that the meaning of data need not be conveyed in the message.
157 Citations
13 Claims
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1. A method of processing a market data messages sent from an exchange, the method comprising:
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(a) receiving a first template at a computer, the first template defining a plurality of fields; (b) receiving a first market data message having a plurality of fields separated by delimiters, the first template received from the same source as the first market data message; (c) parsing the first market data message to extract the fields separated by the delimiters; (d) interpreting the plurality of fields in the first market data message at the computer based on their order and information included in the first template; (e) receiving a second template at the computer, the second template defining a plurality of fields and being different from the first template; (f) receiving a second market data message having a plurality of fields separated by delimiters, the second template received from the same source as the first market data message; (g) parsing the second market data message to extract the fields separated by the delimiters; (h) interpreting the plurality of fields in the second market data message at the computer based on their order and information included in the second template. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8)
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9. A computer-readable medium containing computer-executable instructions that, when executed, cause a computer to perform a method comprising:
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(a) creating a first template at a computer, the first template defining a market data message format that includes a plurality of fields separated by delimiters; (b) transmitting the first template from the computer; (c) creating a first market data message formatted in accordance with the first template; (d) creating a second template at the computer, the second template defining a market data message format that includes a plurality of fields separated by delimiters and being different from the first template; (e) transmitting the second template from the computer; and (f) creating a second market data message formatted in accordance with the second template. - View Dependent Claims (10, 11, 12)
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13. A computer implemented method of processing market data messages having a plurality of fields separated by delimiters, the method comprising:
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(a) receiving a first template at a computer; (b) receiving a first market data message having a plurality of fields separated by delimiters; (c) processing the first market data message at the computer, the processing including parsing the market data message; (d) interpreting the plurality of fields in the first market data message at the computer based on their order and information provided in the first template; (e) storing the market data parsed from the first market data message (f) receiving at a computer a second template that is different from the first template; (g) receiving a second market data message having a plurality of fields separated by delimiters; (h) processing the second market data message at the computer, the processing including parsing the market data message; and (i) interpreting the plurality of fields in the second market data message at the computer based on their order and information provided in the second template.
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Specification