Dynamic market data filtering

Patent metadata

Field	Value
Publication number	US-11949600-B2
Application number	US-202217582141-A
Country	US
Kind code	B2
Filing date	Jan 24, 2022
Priority date	Aug 30, 2007
Publication date	Apr 2, 2024
Grant date	Apr 2, 2024

Abstract

Networks, systems and methods for dynamically filtering market data are disclosed. Streams of market data may be buffered or stored in a queue when inbound rates exceed distribution or publication limitations. Inclusive messages in the queue may be removed, replaced or aggregated, reducing the number of messages to be published when distribution limitations are no longer exceeded.

First claim

What is claimed is:

1. A computer implemented method comprising:
receiving, by a processor from a computing system coupled via a computer network coupled therebetween, a data message generated based on an event by the computing system for transmission to a recipient via the processor;
determining, by the processor, that a rate of receipt at which data messages from the computing system can be received by the processor exceeds a rate at which messages can be transmitted to the recipient thereby causing received messages to be stored in a memory coupled with the processor to await transmission, the memory storing data messages awaiting transmission in an order in accordance with an order of receipt;
based on the determination that the rate of receipt exceeds the rate of transmission, determining, by the processor, that the received data message is related to a previously received, but not yet transmitted, data message stored in the memory;
storing, in the memory by the processor in place of the previously received data message, one of an aggregation of the previously received data message with the received data message or the received data message; and
transmitting, by the processor, any data messages stored in the memory to the message recipient in the order in which they are stored upon a determination, by the processor, that data messages are able to be transmitted.

2. The computer implemented method of claim 1 , wherein the received message is one of a plurality of messages, each of which was generated by the computing system based on one of a plurality of events.

3. The computer implemented method of claim 1 , wherein the received data message is stored in the memory at a location in which the previously received data message is stored, wherein other received data messages unrelated to a previously received message that have not yet been transmitted are stored in the memory in an order in accordance with their order of receipt.

4. The computer implemented method of claim 1 , wherein the determination that the received data message is related to a previously received, but not yet transmitted, data message stored in the memory is based on comparing when the event, which resulted in generation of the received data message, occurred relative to when an event, which resulted in generation of the previously received data message, occurred.

5. The computer implemented method of claim 1 , wherein the event which resulted in generation of the received data message is related to an event which resulted in generation of the previously received data message.

6. The computer implemented method of claim 1 , wherein the determination that the rate of receipt exceeds the rate of transmission further comprises determining that there are untransmitted data messages stored in the memory at a time when the data message is received.

7. The computer implemented method of claim 1 , further comprising transmitting, upon receipt, the received message to the recipient when rate of receipt is less than or equal to the rate of transmission.

8. The computer implemented method of claim 1 , wherein the received data message is aggregated with the previously received data message when a content of the received data message supplements content of the previously received message and the received data message replaces the previously received data message when the content of the received data message is more current than the content of the previously received data message.

9. The computer implemented method of claim 1 , wherein fewer messages are transmitted than are received.

10. The computer implemented method of claim 1 , wherein the receiving is performed by a receiving thread executing on the processor and the transmitting is performed by a publishing thread executing on the processor.

11. A system comprising:
a non-transitory memory device storing instructions, that when executed by a processor coupled with the non-transitory memory device, cause the processor to:
receive, from a computing system coupled via a computer network coupled therebetween, a data message generated based on an event by the computing system for transmission to a recipient via the processor;
determine that a rate of receipt at which data messages from the computing system can be received by the processor exceeds a rate at which messages can be transmitted to the recipient thereby causing received messages to be stored in a memory coupled with the processor to await transmission, the memory storing data messages awaiting transmission in an order in accordance with an order of receipt;
based on the determination that the rate of receipt exceeds the rate of transmission, determine that the received data message is related to a previously received, but not yet transmitted, data message stored in the memory;
store, in the memory in place of the previously received data message, one of an aggregation of the previously received data message with the received data message or the received data message; and
transmit any data messages stored in the memory to the message recipient in the order in which they are stored upon a determination that data messages are able to be transmitted.

12. The system of claim 11 , wherein the received message is one of a plurality of messages, each of which was generated by the computing system based on one of a plurality of events.

13. The system of claim 11 , wherein the received data message is stored in the memory at a location in which the previously received data message is stored, wherein other received data messages unrelated to a previously received message that have not yet been transmitted are stored in the memory in an order in accordance with their order of receipt.

14. The system of claim 11 , wherein the determination that the received data message is related to a previously received, but not yet transmitted, data message stored in the memory is based on a comparison of when the event, which resulted in generation of the received data message, occurred relative to when an event, which resulted in generation of the previously received data message, occurred.

15. The system of claim 11 , wherein the event which resulted in generation of the received data message is related to an event which resulted in generation of the previously received data message.

16. The system of claim 11 , wherein the determination that the rate of receipt exceeds the rate of transmission further comprises a determination that there are untransmitted data messages stored in the memory at a time when the data message is received.

17. The system of claim 11 , wherein the instructions are further executable by the processor to cause the processor to transmit, upon receipt, the received message to the recipient when rate of receipt is less than or equal to the rate of transmission.

18. The system of claim 11 , wherein the received data message is aggregated with the previously received data message when a content of the received data message supplements content of the previously received message and the received data message replaces the previously received data message when the content of the received data message is more current than the content of the previously received data message.

19. The system of claim 11 , wherein fewer messages are transmitted than are received.

20. The system of claim 11 , wherein the reception is performed by a receiving thread executing on the processor and the transmission is performed by a publishing thread executing on the processor.

Assignees

• Chicago Mercantile Exchange Inc

Inventors

• Callaway Paul J
• Genetski Dennis M
• Gracia Adrien
• Krause James
• Menon Vijay

Classifications

• H04L47/62 Primary

  characterised by scheduling criteria · CPC title

• G06F16/9535

  Search customisation based on user profiles and personalisation · CPC title

• G06Q30/0201

  Market modelling; Market analysis; Collecting market data · CPC title

• G06Q40/04 Primary

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

• G06Q40/06

  Asset management; Financial planning or analysis · CPC title