Fault-tolerant central ticker plant system for distributing financial market data

• US 5,987,432 A
• Filed: 12/29/1997
• Issued: 11/16/1999
• Est. Priority Date: 06/29/1994
• Status: Expired due to Term

• Current Assignee: Reuters Limited (The Woodbridge Co. Ltd.)
• Original Assignee: Reuters Limited (The Woodbridge Co. Ltd.)
• Inventors: Zusman, Joseph, Tang, Jennifer L., Verbeck, Stephen L., Nakelsky, Raymond S., Azizian, David
• Primary Examiner(s): Weinhardt, Robert A.
• Application Number:
  US08/998,983
• Time in Patent Office: 687 Days
• Field of Search: 705/35, 705/36, 705/37, 705/1, 707/10, 707/104, 380/49, 395/500.44, 395/500.48, 709/247, 709/260, 370/242, 370/216
• US Class Current: 705/35
• 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: H04L 12/1804 for stock exchange and similar applications

Abstract

A central ticker plant system for distributing financial market data that receives ticker feed data from many exchanges throughout the world, processes and formats the received data and then distributes or broadcasts the data to regional customers in the form of securities transactional data denoting the security identity and related transactional data. The central ticker plant system is fault-tolerant because of novel hardware redundancy and multi-thread software processing architecture and operates continuously during hardware and software maintenance and repair, ensuring that every financial market data message received from the exchanges is included within 500 milliseconds in broadcast output.

Claims

1. A Central Ticker Plant (CTP) system for processing financial market data associated with a plurality of securities each belonging to a plurality of security classes, said CTP system comprising:

a plurality of input means each for accepting input messages from a financial market data source, wherein each said input message represents financial market data according to an input message protocol;

a plurality of message conversion means each coupled to at least one said input means for converting said each input message to an internal message representing financial market data according to an internal message protocol;

a plurality of transaction processing means each coupled to said plurality of message conversions means for converting a plurality of said internal messages to a plurality of transaction messages associated with one of said plurality of security classes, each said transaction message representing financial market data according to a transaction message protocol;

broadcast means coupled to said plurality of transaction processing means for duplicating each said transaction message to provide a copy for each corresponding said message destination and for producing and sending to each of a plurality of said message destinations a plurality of data blocks each including one or more said transaction messages, each such transaction message being formatted by the broadcast means in accordance with a format compatible with the destination type; and

Data Quality Assurance (DQA) means coupled to said plurality of transaction processing means for detecting and allowing correction of error conditions in said transaction messages.

2. The CTP system of claim 1 further comprising:

input spooling means coupled to said plurality of input means for storing each said input message in a format substantially equivalent to the corresponding said input message protocol;

market data file means coupled to said plurality of transaction processing means for storing financial market data associated with said plurality of securities;

kickout file means coupled to said plurality of transaction processing means for storing said transaction messages that are rejected as erroneous by said plurality of transaction processing means;

transaction spooling means coupled to said broadcast means for storing each said transaction message in a format substantially equivalent to the corresponding said transaction message protocol;

output spooling means coupled to said broadcast means for storing a plurality of said output data blocks produced by said broadcast means;

market data processing means in each said transaction processing means for making changes to said financial market data stored in said market data file means responsive to each said transaction message; and

refresh message generation means in each said transaction processing means for creating transaction messages representing existing market data for a selected plurality of said securities responsive to said market activity for said selected plurality of securities.

3. The CTP system of claim 2 further comprising:

market statistics computing means coupled to said broadcast means and to said DQA means for computing statistical data having a predetermined protocol responsive to a sequence of said transaction messages produced during at least one predetermined contiguous time interval and for creating additional said transaction messages representing said statistical data;

broadcast feed recovery means coupled to said output spooling means for producing and sending selected ones of said plurality of output data blocks responsive to commands from at least one said message destination; and

custom feed management means coupled to said DQA means and to said plurality of transaction processing means for designating message destinations for selected ones of said transaction messages responsive to commands from said DQA means and responsive to commands from at least one said message destination.

4. The CTP system of claim 3 further comprising:

envelope validation means in each said input means for marking as erroneous each said input message that does not conform to the corresponding said input message protocol;

data field validation means in each said message conversion means for marking as erroneous each said internal message corresponding to an input message having one or more invalid data fields and for requesting retransmission of said corresponding input message by the corresponding said financial market data source;

transaction validation means in each said transaction processing means for rejecting each said transaction message that does not conform to said transaction message protocol wherein said nonconforming transaction messages include each said transaction message related to an earlier message marked as erroneous; and

correction processing means in said market data processing means for creating transaction messages representing one or more said financial market data changes corresponding to at least one said input message representing a correction issued by one of said plurality of financial market data sources.

5. The CTP system of claim 4 further comprising:

input message arbitration means in each said message conversion means for discarding all but one of a plurality of identical said input messages;

custom feed list update means in each said transaction processing means for storing, in said market data file means, data representing said message destinations designated by said custom feed management means;

current recovery means in said broadcast feed recovery means for recalculating and sending current market data for each of said plurality of securities represented by said financial market data in said selected ones of said plurality of output data blocks; and

ticker recovery means in said broadcast feed recovery means for resending a copy of said selected ones of said plurality of output data blocks.

6. The CTP system of claim 5 further comprising:

input line status means in each said input means for reporting statistical data representing the input message traffic conditions at said input means;

message accounting means in each said message conversion means for reporting statistical data representing the input message error conditions at said message conversion means; and

exception reporting means in said DQA means for reporting all financial market data error conditions.

7. The CTP system of claim 6 further comprising:

CTP control interface means coupled to an external system management facility (SMF) for transferring data related to the manual control of said CTP system;

manual DQA interface means coupled to said DQA means for transferring data related to the manual control of said DQA means; and

audit log means in said DQA means for reporting data representing each manual action represented by said data transferred through said manual DQA interface means.

8. The CTP system of claim 3 further comprising:

input message arbitration means in each said message conversion means for discarding all but one of a plurality of identical said input messages;

custom feed list update means in each said transaction processing means for storing in said market data file means, data representing said message destinations designated by said custom feed management means;

current recovery means in said broadcast feed recovery means for recalculating and sending current market data for each of said plurality of securities represented by said financial market data in said selected ones of said plurality of output data blocks; and

ticker recovery means in said broadcast feed recovery means for resending a copy of said selected ones of said plurality of output data blocks.

9. The CTP system of claim 1 further comprising:

envelope validation means in each said input means for marking as erroneous each said input message that does not conform to the corresponding said input message protocol;

data field validation means in each said message conversion means for marking as erroneous each said internal message corresponding to an input message having one or more invalid data fields and for requesting retransmission of said corresponding input message by the corresponding said financial market data source;

transaction validation means in each said transaction processing means for rejecting each said transaction message that does not conform to said transaction message protocol wherein said nonconforming transaction messages include each said transaction message related to an earlier message marked as erroneous; and

correction processing means in said market data processing means for creating transaction messages representing one or more said financial market data changes corresponding to at least one said input message representing a correction issued by one of said plurality of financial market data sources.

10. The CTP system of claim 1 further comprising:

market statistics computing means coupled to said broadcast means and to said DQA means for computing statistical data having a predetermined protocol responsive to a sequence of said transaction messages produced during at least one predetermined contiguous time interval and for creating additional said transaction messages representing said statistical data;

broadcast feed recovery means coupled to said output spooling means for producing and sending selected ones of said plurality of output data blocks responsive to commands from at least one said message destination; and

custom feed management means coupled to said DQA means and to said plurality of transaction processing means for designating message destinations for selected ones of said transaction messages responsive to commands from said DQA means and responsive to commands from at least one said message destination.

11. The Central Ticker Plant of claim 1, wherein each said transaction message includes data specifying one or more message destinations.

12. A financial data processing system for processing financial market data associated with a plurality of securities each belonging to at least one of a plurality of security classes, said system having redundant financial data processing means including first and second central ticker plants, each said central ticker plant (CTP) having an active status and a standby status, and said financial data processing system further having assignor means for switching said first central ticker plant from said active status to said standby status and for switching said second central ticker plant from said standby status to said active status, whereby operation of said financial data processing system continues without interruption upon failure of said first central ticker plant, wherein said first and second central ticker plants each comprise:

a plurality of input means each for accepting input messages from a financial market data source, wherein each said input message represents financial market data according to an input message protocol;

a plurality of message conversion means each coupled to at least one said input means for converting said each input message to an internal message representing financial market data according to an internal message protocol;

a plurality of transaction processing means each coupled to said plurality of message conversions means for converting a plurality of said internal messages to a plurality of transaction messages associated with one of said plurality of security classes, each said transaction message representing financial market data according to a transaction message protocol, wherein each said transaction message includes data specifying one or more message destinations;

broadcast means coupled to said plurality of transaction processing means for duplicating each said transaction message to provide a copy for each corresponding said message destination and for producing and sending to each of a plurality of said message destinations a plurality of data blocks each including one or more said transaction messages each such transaction message being formatted by the broadcast means in accordance with a format compatible with the destination type; and

Data Quality Assurance (DQA) means coupled to said plurality of transaction processing means for detecting and allowing correction of error conditions in said transaction messages.

13. The financial data processing system of claim 12 wherein said first and second central ticker plants each further comprise:

input spooling means coupled to said plurality of input means for storing each said input message in a format substantially equivalent to the corresponding said input message protocol;

market data file means coupled to said plurality of transaction processing means for storing financial market data associated with said plurality of securities;

kickout file means coupled to said plurality of transaction processing means for storing said transaction messages that are rejected as erroneous by said plurality of transaction processing means;

transaction spooling means coupled to said broadcast means for storing each said transaction message in a format substantially equivalent to the corresponding said transaction message protocol;

output spooling means coupled to said broadcast means for storing a plurality of said output data blocks produced by said broadcast means;

market data processing means in each said transaction processing means for making changes to said financial market data stored in said market data file means responsive to each said transaction message; and

refresh message generation means in each said transaction processing means for creating transaction messages containing existing market data for a selected plurality of said securities responsive to said market activity for said selected plurality of securities.

14. The financial data processing system of claim 12 wherein said first and second central ticker plants each further comprise:

market statistics computing means coupled to said broadcast means and to said DQA means for computing statistical data having a predetermined protocol responsive to a sequence of said transaction messages produced during at least one predetermined contiguous time interval and for creating additional said transaction messages representing said statistical data;

broadcast feed recovery means coupled to said output spooling means for producing and sending selected ones of said plurality of output data blocks responsive to commands from at least one said message destination; and

custom feed management means coupled to said DQA means and to said plurality of transaction processing means for designating message destinations for selected ones of said transaction messages responsive to commands from said DQA means and responsive to commands from at least one said message destination.

15. The financial data processing system of claim 12 wherein said first and second central ticker plants each further comprise:

envelope validation means in each said input means for marking as erroneous each said input message that does not conform to the corresponding said input message protocol;

data field validation means in each said message conversion means for marking as erroneous each said internal message corresponding to an input message having one or more invalid data fields and for requesting retransmission of said corresponding input message by the corresponding said financial market data source;

transaction validation means in each said transaction processing means for rejecting each said transaction message that does not conform to said transaction message protocol wherein said nonconforming transaction messages include each said transaction message related to an earlier message marked as erroneous; and

correction processing means in said market data processing means for creating transaction messages representing one or more said financial market data changes corresponding to at least one said input message representing a correction issued by one of said plurality of financial market data sources.

16. The financial data processing system of claim 12 wherein said first and second central ticker plants each further comprise:

input message arbitration means in each said message conversion means for discarding all but one of a plurality of identical said input messages;

custom feed list update means in each said transaction processing means for storing, in said market data file means, data representing said message destinations designated by said custom feed management means;

current recovery means in said broadcast feed recovery means for recalculating and sending current market data for each of said plurality of securities represented by said financial market data in selected ones of said plurality of output data blocks; and

ticker recovery means in said broadcast feed recovery means for resending a copy of said selected ones of said plurality of output data blocks.

17. The financial data processing system of claim 12 wherein said first and second central ticker plants each further comprise:

input line status means in each said input means for reporting statistical data representing the input message traffic conditions at said input means;

message accounting means in each said message conversion means for reporting statistical data representing the input message error conditions at said message conversion means; and

exception reporting means in said DQA means for reporting all financial market data error conditions.

18. The financial data processing system of claim 12 wherein said first and second central ticker plants each further comprise:

CTP control interface means coupled to an external system management facility (SMF) for transferring data related to the manual control of said CTP system;

manual DQA interface means coupled to said DQA means for transferring data related to the manual control of said DQA means; and

audit log means in said DQA means for reporting data representing each manual action represented by said data transferred through said manual DQA interface means.