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

Patent metadata

Field	Value
Publication number	US-10242405-B2
Application number	US-201314094994-A
Country	US
Kind code	B2
Filing date	Dec 3, 2013
Priority date	Nov 5, 2003
Publication date	Mar 26, 2019
Grant date	Mar 26, 2019

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.

First claim

We claim:

1. A system comprising:
a computer device that includes a processor and is configured to compile a group of orders for derivative product financial instruments;
a memory accessible by the computer device and that stores a first template that defines a message structure format that includes a plurality of fields separated by delimiters that minimize message length;
wherein the processor is configured with computer-executable instructions to perform the steps comprising:
(a) generating the first template that defines the message structure format that includes a plurality of fields separated by delimiters;
(b) generating a single message that includes the group of orders and that is formatted in accordance with the first template;
(c) transmitting the single message that includes the group of orders and that is formatted in accordance with the first template; and
(d) generating multiple additional templates on a real-time per message basis that define message formats that includes a plurality of fields separated by delimiters and that is different from the first template;

an exchange computer system that includes a market data message buffer and that is configured with computer-executable instructions to perform the steps comprising:
(a) receiving, at an order book module of the exchange computer system, the single message that includes the group of orders and that is formatted in accordance with the first template, wherein the group of orders correspond to orders associated with a plurality of order books;
(b) processing, by the order book module, the single message that includes a group of orders wherein order book module includes a plurality of order book objects, and each of the plurality of order book objects processes in a different thread, a different portion of the group of orders;
(c) generating market data by each order book object;
(d) storing, by a market data module, the generated market data in the market data message buffer until a completion code is received from each of the order book objects, wherein each order book object generates the completion code when processing of its associated portion of the group of orders has finished; and
(e) transmitting, by the market data module upon receipt of the completion code from each of the plurality of order book objects, the contents of the market data message buffer as a single market data message.

2. The system of claim 1 , wherein the single message is transmitted to order book objects.

3. The system of claim 2 , wherein each of the order book objects corresponds to a financial instrument.

4. The system of claim 1 , wherein the financial instruments comprise option contracts.

5. The system of claim 1 , wherein the financial instruments comprise futures contracts.

6. The system of claim 1 , wherein the computer device is further configured with computer-executable instructions to receive the first template from the exchange computer system.

7. The system of claim 1 , wherein the computer device is further configured with computer-executable instructions to transmit the first template to the exchange computer system.

8. The system of claim 7 , wherein the computer device is further configured with computer-executable instructions to transmit the second template to the exchange computer system.

9. The system of claim 8 , wherein the computer device is further configured with computer-executable instructions to generate a single message that includes the group of orders and that is formatted in accordance with the second template.

10. The system of claim 9 , wherein the computer device is further configured with computer-executable instructions to transmit to the exchange computer system the single message that includes the group of orders and that is formatted in accordance with the second template.

Assignees

• Chicago Mercantile Exchange Inc

Inventors

• Newell Ron
• Menon Vijay
• Malabre Fred
• Lobraco Joe

Classifications

• G06Q30/0601

  Electronic shopping [e-shopping] · CPC title

• G06Q40/03

  Credit; Loans; Processing thereof · CPC title

• G06Q40/00

  Finance; Insurance; Tax strategies; Processing of corporate or income taxes · CPC title

• G06Q20/10

  specially adapted for electronic funds transfer [EFT] systems; specially adapted for home banking systems · CPC title

• H04L51/18

  Commands or executable codes · CPC title