Method and apparatus for publishing market information

Patent metadata

Field	Value
Publication number	US-10636095-B2
Application number	US-201816100281-A
Country	US
Kind code	B2
Filing date	Aug 10, 2018
Priority date	Dec 23, 2011
Publication date	Apr 28, 2020
Grant date	Apr 28, 2020

Abstract

A method and apparatus for publishing market data for a financial instrument utilizes existing network layer acknowledgement feature to publish market data for the financial instrument to a client device at rates in which the client device is able to process the data. The publishing rate is dynamic, as opposed to being fixed, and is able to adjust “on-the-fly” so as to prevent message queue stagnation.

First claim

I claim:

1. A method comprising:
receiving, via an electronic network by a computing system from a server, data indicative of current market information for a financial instrument;
storing with the computing system in an electronic memory coupled therewith, the received data;
establishing with the computing system an electronic communication link between the computing system and a client device via the electronic network, said electronic communication link being configured to determine when the client device is ready for receiving market information based on receipt thereby of previously transmitted data and provide a feedback signal to the computing system via the electronic network indicative of the receipt of the previously transmitted data and for informing the computing system when the client device is ready to receive data;
receiving, via the electronic network by the computing system from the server, updated data indicative of current market information for the financial instrument;
storing with the computing system in the electronic memory, the received updated data; and
transmitting, with the computing system, the stored data to the client device when, based on the receipt of the feedback signal prior to the receipt of the updated data, the electronic communication link has determined that the client device is ready to receive market information, and transmitting the stored updated data to the client device when, based on the receipt of the feedback signal subsequent to the receipt of the updated data, the electronic communications link has determined that the client device is ready to receive market information, wherein the transmitting comprises serializing, by the computing system, the stored data or stored updated data for transmission to the client device via the electronic network and transmitting, by the computing system, the serialized data or updated data to the client device via the electronic network.

2. The method of claim 1 , wherein the storing of the received data, the receiving of the updated data, and the storing of the updated data are implemented by a first processing thread, and the establishing and transmitting are implemented by a second processing thread decoupled from the first processing thread.

3. The method of claim 2 , wherein the first processing thread operates in real time relative to the receipt of data from the server by the computing device and the second processing thread operates at a rate commensurate with a rate at which the client device can process the data.

4. The method of claim 3 , wherein the rate at which the client device can process the data is dynamic.

5. The method of claim 1 , wherein the electronic communication link comprises a combination of hardware and software that facilitates sending and receiving of data over a physical network.

6. The method of claim 1 further comprising compressing, by the computing device, the data prior to the serializing thereof.

7. The method of claim 1 further comprising de-serializing the data by the client device upon receipt.

8. The method of claim 1 , wherein said electronic communication link is a Transmission Control Protocol (TCP) communication link that provides a feedback signal in a form of a network layer acknowledgment (ACK) when the client device is ready to receive market information.

9. The method of claim 1 , wherein said step of storing the received updated data further includes replacing the stored data stored in the electronic memory with the received updated data.

10. The method of claim 1 , further comprising:
setting with the computing system an indicator when the data and updated data have been stored; and
checking with the computing system whether the indicator is set when the feedback signal indicates the client device is ready to receive market information; and
if the indicator is set, transmitting, with the computing system, the stored data or updated data when the feedback signal indicates the client device is ready to receive market information.

11. The method of claim 1 , wherein the data and updated data is stored in a form of a market book representing offers to sell and offers to buy the financial instrument at a plurality of prices.

12. The method of claim 11 , wherein said market book is transmitted to the client device when the client device is ready to receive market information.

13. A method comprising:
(a) receiving, via an electronic network at a computing system, a data feed from a server containing data indicative of current market information for a financial instrument;
(b) storing, with the computing system in an electronic memory coupled therewith, the received data in a market book representing offers to sell and offers to buy the financial instrument at a plurality of prices;
(c) establishing with the computing system an electronic communication link, via the electronic network, between the computing system and a client device that is to receive the market information, whereby electronic communication between the computing system and the client device occurs according to a feedback-oriented communication protocol implemented by the electronic communication link that determines when the client device is ready to receive market information based on receipt thereby of previously transmitted data and, based thereon, provides an acknowledgement signal via the electronic network when the client device receives market information from the computing system informing the computing system when the client device is ready to receive more market information;
(d) receiving at the computing system, via the data feed, data indicative of one or more market information updates for the financial instrument;
(e) storing, with the computing system in an electronic memory coupled therewith, the received data in place of any previously stored data for the financial instrument in the electronic memory;
(f) in response to storing the received data, setting with the computing system a market update indicator to indicate that a market information update is available;
(g) upon determining with the computing system that the market update indicator is set:
transmitting, by the computing system, the stored received data to the client device via the communication link by serializing, by the computing system, the stored received data for transmission to the client device via the electronic network and transmitting, by the computing system, the serialized data to the client device via the electronic network;
in response to transmitting the serialized data, resetting with the computing system the market update indicator to indicate that no market update is available; and
setting with the computing system the market update indicator to indicate that a market information update is available when any new market information update is received during the transmitting;

(h) receiving at the computing system via the communication link an acknowledgement that the serialized data has been received; and
(i) in response to receiving said acknowledgement, determining with the computing system whether the market information update indicator is set:
(j) if the market information update indicator is set to indicate that a market information update is available, repeating steps (g) through (i), and
(k) if the market information update indicator is not set to indicate that a market information update is available, repeating steps (d) through (i), wherein no new market information updates are transmitted until transmission of said serialized data is complete and the client device is ready to receive new market information updates.

14.

Assignees

• Chicago Mercantile Exchange Inc

Inventors

• Singh Inderdeep

Classifications

• G06Q50/00

  Information and communication technology [ICT] specially adapted for implementation of business processes of specific business sectors, e.g. utilities or tourism (healthcare informatics G16H) · CPC title

• G06Q40/06 Primary

  Asset management; Financial planning or analysis · CPC title