System and method for coalescing market data at a network device
AssigneeTrading Technologies International, Inc.
InventorsJens-Uwe Schluetter, Stephen A. Schwarz
Life of this patent
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Abstract
A network device coalesces data received from an exchange, and provides a user with the opportunity to receive fewer, but up-to-date, data updates from an exchange when duplicate prices become available or a large volume of prices becomes available suddenly. Accordingly, the trader can be assured of receiving non-duplicated prices that are fed at a rate that is cohesive with that trader's connection speed. The present invention is designed to conserve on bandwidth thereby increasing the likelihood that bandwidth will be available to receive desirable market information.
Claims14
A method including:
- receiving by a network device a first data feed update message from an electronic exchange over a data feed, wherein the first data feed update message includes data related to a first tradeable object at the electronic exchange;
- determining by the network device that a timer is running when the first data feed update message is received;
- coalescing by the network device, in response to determining that the timer is running, the first data feed update message by updating a data structure stored in a memory of the network device based on the first data feed update message;
- receiving by the network device a second data feed update message from the electronic exchange over the data feed, wherein the second data feed update message includes data related to the first tradeable object at the electronic exchange, wherein the second data feed update message is received after the first data feed update message, wherein the second data feed update message is received before the expiration of the timer;
- coalescing by the network device the second data feed update message by updating the data structure based on the second data feed update message;
- detecting by the network device an expiration of the timer;
- and
- sending by the network device, in response to detecting the expiration of the timer, a first coalesced update message to a client device, wherein the first coalesced update message is based on the updated data structure.
Dependencies are inferred from the claim text.