Distribution of market data

• US 8,341,056 B2
• Filed: 05/09/2012
• Issued: 12/25/2012
• Est. Priority Date: 11/05/2003
• Status: Active Grant

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Newell, Ron, Menon, Vijay, Malabre, Fred, Lobraco, Joe, Northey, Jim
• Primary Examiner(s): Dixon, Thomas
• Assistant Examiner(s): Fields, Benjamin S
• Application Number:
  US13/467,675
• Publication Number:
  US 20120221488A1
• Time in Patent Office: 230 Days
• Field of Search: 705/35, 705/39
• US Class Current: 705/35
• CPC Class Codes: G06Q 20/10 specially adapted for electronic funds transfer [EFT] systems; specially adapted for home banking systems
• CPC Class Codes: G06Q 30/0601 Electronic shopping [e-shopping]
• CPC Class Codes: G06Q 30/0633 Lists, e.g. purchase orders, compilation or processing
• 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: H04L 51/18 Commands or executable codes

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.

Claims

1. A method of distributing market data using a computer, the method comprising:

(a) collecting market data for financial instruments;

(b) creating a plurality of templates that each define a variable length message structure;

(c) building at the computer device a plurality of market data messages that each include variable length fields separated by delimiters and a mechanism to match each market data message with a corresponding template that defines the variable length message structure used in the message; and

(d) disseminating from the computer device the plurality of market data messages.

2. The method of claim 1, further including:

disseminating the plurality of templates.

3. The method of claim 1, wherein at least one delimiter is used to identify a repeated group in a template.

4. The method of claim 1, wherein at least one delimiter is used to identify a repeated group in a template.

5. The method of claim 1, wherein (c) comprises building a market data message that includes a price in a binary code format.

6. The method of claim 1, wherein (c) comprises building a market data message that includes a price in a binary code format.

7. The method of claim 1, wherein (c) comprises building a market data message that includes data in a printable character set format.

8. The method of claim 1, wherein (c) comprises building a market data message that includes a plurality of orders for financial instruments.

9. The method of claim 1, wherein (c) comprises building a market data message that includes a mass quote.

10. The method of claim 1, wherein (c) comprises building a market data message that includes statistics.

18. The method of claim 1, wherein (c) comprises building a market data message that includes a mass quote.

19. The method of claim 1, wherein (c) comprises building a market data message that includes statistics.

11. A computer system configured to distribute market data, the system comprising:

a processor;

a computer-readable medium containing computer-executable instructions that, when executed by the processor, cause the system to perform the steps comprising;

(a) collecting market data for financial instruments;

(b) creating a plurality of templates that each define a variable length message structure;

(c) building a plurality of market data messages that each include variable length fields separated by delimiters and a mechanism to match each market data message with a corresponding template that defines the variable length message structure used in the message; and

(d) disseminating the plurality of market data messages.

12. The system of claim 11, wherein at least one delimiter is used to identify a repeated group in a template.

13. The system of claim 11, wherein at least one delimiter is used to identify a repeated group in a template.

14. The system of claim 11, wherein (c) comprises building a market data message that includes a price in a binary code format.

15. The system of claim 11, wherein (c) comprises building a market data message that includes a price in a binary code format.

16. The system of claim 11, wherein (c) comprises building a market data message that includes data in a printable character set format.

17. The system of claim 11, wherein (c) comprises building a market data message that includes a plurality of orders for financial instruments.

20. A non-transitory computer-readable medium containing computer-executable instructions that, when executed by a processor, cause a computer system to perform the steps comprising:

(a) collecting market data for financial instruments;

(b) creating a plurality of templates that each define a variable length message structure;

(c) building a plurality of market data messages that each include variable length fields separated by delimiters and a mechanism to match each market data message with a corresponding template that defines the variable length message structure used in the message; and

(d) disseminating the plurality of market data messages.