Method and system for monitoring market data to identify user defined market conditions

• US 8,838,495 B2
• Filed: 06/02/2008
• Issued: 09/16/2014
• Est. Priority Date: 06/01/2007
• Status: Active Grant

• Current Assignee: FTEN, Inc. (Nasdaq, Inc.)
• Original Assignee: FTEN, Inc. (Nasdaq, Inc.)
• Inventors: Kittelsen, Douglas G.
• Primary Examiner(s): JOHNSON, GREGORY L
• Application Number:
  US12/131,921
• Publication Number:
  US 20080301061A1
• Time in Patent Office: 2,297 Days
• Field of Search: None
• US Class Current: 705/37
• 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

A method and system for monitoring market data are disclosed. The method includes collecting real time data that is related to conditions of a trading market. Collection occurs at an edge server associated with a liquidity destination trading at least one financial article of trade. In addition, the real time data that is collected is also normalized into a standard form. A user defined criteria is received from a centralized hub. The user defined criteria defines a particular event in the condition. It is then determined when a condition in the trading market matches the event. A response is generated providing notification of the occurrence of the event. The response is sent to the centralized hub for distribution to a user associated with the user defined criteria.

Claims

1. A method for consolidating and analyzing market data from multiple liquidity destinations, comprising:

collecting data related to conditions of a trading market at distributed edge servers, each distributed edge server being located at and dedicated to one of the multiple liquidity destinations trading at least one financial article of trade and collecting such data from its dedicated liquidity destination;

each dedicated distributed edge server storing its collected data;

each dedicated distributed edge server receiving from a centralized hub user defined criteria defining a particular event in the conditions;

each dedicated distributed edge server determining if a condition in the trading market matches the defined event received from the centralized hub; and

each dedicated distributed edge server detecting a match, generating a response providing notification of the occurrence of the defined event, and sending the response to the centralized hub for distribution by the centralized hub to a user associated with the user defined criteria.

2. The method of claim 1, wherein the collecting data comprises:

collecting Level 2 depth of book information as the data for symbols traded on the liquidity destination.

3. The method of claim 2, further comprising:

analyzing the Level 2 book information to determine Level 1 top of book information for symbols traded on the liquidity destination; and

sending the Level 1 top of book information to the centralized hub for distribution to interested users.

4. The method of claim 1, wherein the generating a response comprises:

generating a notification signal.

5. The method of claim 4, further comprising:

receiving the notification signal from the user, wherein the user defines the notification signal to indicate the event has occurred.

6. The method of claim 1, further comprising:

sending the data to a centralized hub in a one-to-one message ratio.

7. The method of claim 1, further comprising:

for a given time period, determining a net effect of trading activity on a symbol traded on the liquidity destination; and

sending a snapshot of the symbol including the net effect to the centralized hub for consolidation and updating, wherein the snapshot is combined with a previous state of a book of the symbol at the hub to update the state.

8. The method of claim 6, wherein the sending a snapshot further comprises:

declining to send the snapshot if the net effect is zero.

9. The method of claim 1, wherein the event is related to a particular symbol.

10. The method of claim 1, wherein the event is related to two or more symbols.

11. The method of claim 1, wherein the determining if a condition comprises:

comparing time stamps provided by the liquidity destination and as reported to determine if the market is falling behind.

12. The method of claim 1, further comprising:

allowing the user to define the user defined criteria in a request;

accepting the request at the centralized hub;

updating the request; and

distributing the request to the distributed edge server.

13. The method of claim 1, wherein the event is related to an SIC code.

14. The method of claim 1, wherein the collecting data further comprises collecting real time data.

15. A method for consolidating and analyzing market data of multiple liquidity destinations, comprising:

each of a plurality of distributed edge servers, located at and dedicated to one of the multiple liquidity destinations trading at least one financial article of trade, collecting data related to market conditions for the dedicated liquidity destination;

each of the distributed edge servers, storing the collected;

a centralized hub receiving a request from a user for monitoring an event in the market conditions, wherein the request includes user defined criteria that defines the event;

the centralized hub sending the user defined criteria to pertinent ones of the edge servers as defined in the request;

the centralized hub receiving from one or more of the pertinent edge servers a response to the request indicating an occurrence of the event; and

the centralized hub sending the response to the user.

16. The method of claim 15, wherein the centralized hub receiving a response comprises:

the centralized hub receiving a notification signal as the response, wherein the notification signal is defined by the user and previously sent to the pertinent edge servers.

17. The method of claim 15, further comprising:

the centralized huh receiving the data that is normalized from each of the plurality of edge servers in an approximate one-to-one message ratio for distribution to interested users.

18. The method of claim 15, further comprising:

the centralized hub storing the request; and

the centralized hub querying the pertinent edge servers for updates on the request.

19. The method of claim 15, further comprising:

receiving a plurality of snapshots of symbols traded on the plurality of liquidity destinations, wherein a snapshot comprises a net effect of trading activity on a corresponding symbol for a given time period; and

consolidating books of the symbols traded on the plurality of liquidity destinations using the plurality of snapshots by updating the books, wherein the snapshot is combined with a previous state of a corresponding book of the corresponding symbol for updating a current state the corresponding book for distribution to interested users.

20. The method of claim 19, wherein the consolidating books comprises:

consolidating Level 1 and Level 2 book information for the symbols traded on the plurality of liquidity destinations.

21. The method of claim 15, further comprising:

the centralized hub receiving Level 1 book information from the plurality of edge servers for symbols traded on the plurality of liquidity destinations for distribution to interested users.

22. The method of claim 15, wherein the collecting data further comprises collecting real time data.

23. A system for consolidating and analyzing market data, comprising:

a plurality of liquidity destinations each trading at least one financial article of trade;

a plurality of distributed edge servers, each distributed edge server being located at and dedicated to a corresponding one of the plurality of liquidity destinations, wherein at least one of the plurality of distributed edge servers comprises;

a collector configured to collect data related to market conditions at the corresponding liquidity destination;

a memory for storing the collected data;

a comparator configured to monitor an event in the market conditions at the corresponding liquidity destination as requested by a user;

a notification module configured to generate a notification signal providing notification of the occurrence of the event at the corresponding liquidity destination and sending the notification signal to a centralized hub;

wherein the centralized hub is configured to received a request from the user for monitoring the event,

wherein the request includes user defined criteria that defines the event,

wherein the centralized hub is configured to send the request to pertinent liquidity destinations as defined in the request, and

wherein the centralized hub is configured to receive the notification signal for distribution to the user.

24. The system of claim 23, wherein the centralized hub is configured to query edge servers associated with the pertinent liquidity destinations for updates on the request.

25. The system of claim 23, wherein the centralized hub comprises:

a consolidator configured to receive a plurality of snapshots of a plurality of symbols traded on the plurality of liquidity destinations, wherein a snapshot comprises a net effect of trading activity on a corresponding symbol for a given time period, and configured to consolidate a books of the plurality of symbols traded on the plurality of liquidity destinations using the plurality of snapshots by updating the books, wherein the snapshot is combined with a previous state of a corresponding book of the corresponding symbol for updating a current state the corresponding book for distribution to interested users.

26. The system of claim 23, wherein the centralized hub is configured to receive Level 1 book information from edge servers associated with the plurality of liquidity destinations for symbols traded on the plurality of liquidity destinations for distribution to interested users.

27. The system in claim 23, wherein the collector is configured to collect real time data.