Trade engine processing of mass quote messages and resulting production of market data

• US 8,626,625 B2
• Filed: 06/24/2011
• Issued: 01/07/2014
• 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
• Primary Examiner(s): Havan, Thu Thao
• Application Number:
  US13/168,595
• Publication Number:
  US 20110251944A1
• Time in Patent Office: 928 Days
• Field of Search: 705 35- 40
• 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 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 processing mass quote messages and generating market data. A mass quote message is received and individual orders are parsed and processed. Individual market data messages are stored in a market data message buffer. After all orders are processed, the contents of the market data message buffer is distributed as a single market data message.

Claims

1. A method comprising:

(a) compiling at a processor a group of orders for options contracts that belong to a common option class;

(b) accessing a first template that defines a message format that includes a plurality of fields separated by delimiters; and

(c) generating at a processor a single message that includes the group of orders and that is formatted in accordance with the first template.

2. The method of claim 1, further including:

(d) transmitting the single message to a computer device.

3. The method of claim 2, wherein the single message is transmitted to a computer device operated by an exchange.

4. The method of claim 1, further including receiving the first template from an exchange.

5. The method of claim 1, further including generating the first template.

6. The method of claim 5, further including transmitting the first template to the exchange.

7. The method of claim 6, further including generating a second template different from the first template.

8. The method of claim 7, further including transmitting the second template to the exchange.

9. The method of claim 8, further including generating at a computer device a single message that includes the group of orders and that is formatted in accordance with the second template.

10. The method of claim 9, further including transmitting to the exchange the single message that includes the group of orders and that is formatted in accordance with the second template.

11. A tangible computer-readable medium containing computer-executable instructions that when executed cause a computer device to perform the steps comprising:

(a) compiling a group of orders for options contracts that belong to a common option class;

(b) accessing a first template that defines a message format that includes a plurality of fields separated by delimiters; and

(c) generating at a computer device a single message that includes the group of orders and that is formatted in accordance with the first template.

12. The tangible computer-readable medium claim 11, further including computer-executable instructions that when executed cause a computer device to perform the step comprising:

(d) transmitting the single message to a computer device.

13. The tangible computer-readable medium claim 12, further including computer-executable instructions that when executed cause a computer device to perform the step comprising generating the first template.

14. The tangible computer-readable medium claim 13, further including computer-executable instructions that when executed cause a computer device to perform the step comprising transmitting the first template to the exchange.

15. The tangible computer-readable medium claim 14, further including computer-executable instructions that when executed cause a computer device to perform the step comprising generating a second template different from the first template.