Publish and subscribe system including buffer

• US 8,200,563 B2
• Filed: 08/06/2009
• Issued: 06/12/2012
• Est. Priority Date: 09/23/2005
• Status: Active Grant

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Moran, James P, Doornebos, Jacob, King, Michael
• Primary Examiner(s): Johnson, Gregory
• Application Number:
  US12/536,994
• Publication Number:
  US 20090299914A1
• Time in Patent Office: 1,041 Days
• Field of Search: None
• US Class Current: 705/36.R
• CPC Class Codes: G06F 15/16 Combinations of two or more digital computers each having at least an arithmetic unit, a program unit and a register, e.g. for a simultaneous processing of several programs coordinating program control therefor G06F9/52; in regulating and control system G05B
• CPC Class Codes: G06Q 10/10 Office automation; Time management
• 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
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

Systems and methods for delivering a plurality of trading data messages to a server in connection with the monitoring the trading of financial instruments are provided. A listener subscribes to a subset of the plurality of trading data messages generated by market participants or components within the trading platform. A buffer receives the subset of the plurality of trading data messages and stores the subset of the plurality of trading data messages. A server, such as a live alerts server, receives the subset of the plurality of trading data messages stored from the buffer and analyzes the subset of the plurality of trading data.

Claims

1. A system for delivering a plurality of messages to an external client device, the system comprising:

a trading engine configured to generate the plurality of messages and associate each of the plurality of messages with an attribute to define at least a first class of messages and a second class of messages;

a communication bus configured to receive the plurality of messages from the trading engine and asynchronously deliver the plurality of messages;

a first listener coupled to the communication bus and configured to subscribe to and receive the first class of messages;

a second listener coupled to the communication bus and configured to subscribe to and receive the second class of messages;

a buffering system configured to temporarily store the plurality of messages received from the first listener and the second listener for a first time period and configured to provide at least one of the stored messages to the external client device based upon a request from the external client device;

a database coupled to the buffering system configured to store the plurality of messages for a second time period subsequent to the first time period, configured to provide the at least one of the stored messages to the external client device based upon the request when the buffering system no longer stores the at least one of the stored messages;

a third listener coupled to the communication bus and configured to subscribe to and receive the first class of messages; and

a fourth listener coupled to the communication bus and configured to subscribe to and receive the second class of messages;

wherein when the first listener misses a message, the buffering system is further configured to store the corresponding message received from the third listener and when the second listener misses a message, the buffering system is further configured to store the corresponding message received from the fourth listener.

2. The system of claim 1, wherein the external client device is configured to subscribe and receive the first class of messages from the communication bus.

3. The system of claim 2, wherein when the external client does not receive a message of the first class of messages from the communication bus, the external device generates the request and sends the request to the buffering system.

4. The system of claim 1, wherein the buffering system stores the message on a first in first out basis.

5. The system of claim 1, further comprising:

a second trading engine configure to generate a second plurality of messages and associate each of the second plurality of messages with either the first class of messages or the second class of messages.

6. The system of claim 1, wherein the buffering system further includes a number (n) of buffers configured to temporarily store the messages received from the plurality of listeners and configured to provide the messages to the external client device based upon a request from the external client device.

7. The system of claim 6, wherein the messages received from the plurality of listeners are distributed among the buffers according to a modulus (n+1) function performed on a header of the message.

8. A method for delivering data comprising a plurality of messages from a trading engine to an external client device, the method comprising:

generating the plurality of messages by the trading engine;

processing each of the plurality of messages by the trading engine to associate each of the plurality of messages with an attribute to define at least a first class of messages and a second class of messages;

delivering asynchronously the plurality of messages along a communication bus;

subscribing a first listener coupled to the communication bus to receive the first class of messages;

subscribing a second listener coupled to the communication bus to receive the second class of messages;

storing the plurality of messages received from the first listener and the second listener in a buffering system for a time period;

providing a message stored in the buffering system to the external client device based upon a request from the external client device if the request is received during the time period;

storing the plurality of messages in a database coupled to the buffering system;

providing a message stored in the database to the external client device based upon the request from the external client device if the request is received after the time period;

subscribing a third listener coupled to the communication bus to receive the first class of messages; and

subscribing a fourth listener coupled to the communication bus to receive the second class of messages;

wherein when the first listener misses a message the buffering system is further configured to store the corresponding message received from the third listener and when the second listener misses a message the buffering system is further configured to store the corresponding message received from the fourth listener.

9. The method of claim 8, further comprising:

subscribing the external client device to receive the first class of messages from the communication bus.

10. The method of claim 9, further comprising:

generating the request to the buffering system when the external client does not receive a message of the first class of messages from the communication bus.

11. The method of claim 8, wherein the buffering system stores the message on a first in first out basis and the time period depends on a rate that the messages are received at the buffering system.

12. The method of claim 8, wherein the timer period comprises a user defined predetermined duration.

13. The method of claim 8, wherein the buffering system further includes a number (n) of buffers configured to temporarily store the messages received from the plurality of listeners and configured to provide the messages to the external client device based upon a request from the external client device.

14. The method of claim 13, further comprising:

distributing the messages received from the plurality of listeners among the buffers according to a modulus (n+1) function performed on a header of the message.

15. The method of claim 8, further comprising:

determining whether or not the request is received during the time period comprises indexing a sequence number of the message in the request in the buffer.