Data feed without quantities

Patent metadata

Field	Value
Publication number	US-11049181-B2
Application number	US-201113012474-A
Country	US
Kind code	B2
Filing date	Jan 24, 2011
Priority date	Jan 24, 2011
Publication date	Jun 29, 2021
Grant date	Jun 29, 2021

Abstract

The present embodiments relate to an improved data feed. In an embodiment, an electronic exchange, when generating a data feed, in particular a price data feed, purposefully chooses to include the inside market and/or last traded price but purposefully leaves out the market depth. The market depth may be omitted to provide an optimal marketplace.

First claim

The invention claimed is:

1. A method comprising:
receiving, by a match engine at an electronic exchange, an order message from a remote electronic device specifying a trade order for a quantity of a tradeable object at a price;
processing, by the match engine, the received order to identify a match for the received order;
receiving, by a gateway in communication with the electronic exchange, a market data feed generated by the match engine according to a first data format, wherein the market data feed includes a plurality of matches at a plurality of prices for a plurality of tradeable objects;
extracting, by the gateway, a lowest available offer price and a highest available bid for each of the plurality of tradeable objects in the received market data feed;
generating, by the gateway, a data feed according to a second data format based on each of the extracted lowest available offer price and the highest available bid as a price spread for each of the plurality of tradeable objects, wherein the second data format of the generated data feed includes a plurality of market data feeds each having the generated price spread for one of a plurality of tradeable objects; and
multicasting, by the gateway, the generated data feed to a plurality of remote electronic devices in communication with the gateway.

2. The method of claim 1 , wherein the highest available bid is a best bid price for the tradeable object and the lowest available offer price and is a best offer price for the tradeable object and comprises an inside market for the tradeable object.

3. The method of claim 2 , wherein the market data feed further comprises a last traded price for each of the plurality of tradeable objects.

4. The method of claim 2 , wherein the remote electronic devices that receive the data feed do not receive the inside market from the electronic exchange.

5. The method of claim 4 , wherein the remote devices that receive the data feed estimate the market depth based on data that is not in the data feed.

Assignees

• Brumfield Harris C
• Trading Technologies Int Inc

Inventors

• Brumfield Harris C

Classifications

• G06Q40/04 Primary

  Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange · CPC title