Optimized electronic match engine with external generation of market data using a minimum data set

A non-transitory computer-readable medium containing computer-executable instructions that, when executed by a processor, cause an exchange computer system to perform a method comprising:

• receiving an order entry message in a first data format;
• processing the order entry message in the first data format, by a match engine of the exchange computer system, to identify matches with one or more resting orders for a match engine event;
• selecting, by the match engine, a minimum data set for the match engine event, the minimum data set being derived from order attributes present at the match engine, wherein the minimum data set corresponds to a minimum number of data type fields required to fully represent market data for the match engine event;
• transforming, by the match engine, an outgoing message by inserting the minimum data set into the outgoing message, wherein the minimum data set is encoded in binary format, wherein the transformed order entry message reduces computing load on the match engine associated with market data generation;
• transmitting, by the match engine, the transformed outgoing message over an exchange network;
• receiving by a market data generation (MDG) processor positioned outside of the match engine, the transformed outgoing message;
• parsing, by the MDG processor of the exchange computer system, the transformed outgoing message to extract the minimum data set for the match engine event;
• updating, by the MDG processor, an order price book stored in a computer memory of the MDG processor in accordance with the extracted minimum data set;
• and
• generating, by the MDG processor using the order price book, market data messages.

A exchange computer system, comprising:

• an exchange network;
• an optimized match engine comprising a computer processor configured to perform a method comprising:
• processing an order entry message in a first data format to identify matches with one or more resting orders for a match engine event;
• selecting a minimum data set for the match engine event, the minimum data set being derived from order attributes present at the optimized match engine, wherein the minimum data set corresponds to a minimum number of data type fields required to fully represent market data for the match engine event;
• transforming the order entry message by inserting the minimum data set into the order entry message, wherein the minimum data set is encoded in binary format, wherein the transformed order entry message reduces computing load on the match engine associated with market data generation;
• transmitting the transformed order entry message over the exchange network;
• and
• a market data generation (MDG) processor comprising computer memory storing computer-executable instructions that, when executed by the MDG processor, causes the MDG processor to perform a method comprising:
• receiving the transformed order entry message;
• parsing the transformed order entry message to extract the minimum data set for the match engine event;
• updating an order price book stored in the computer memory of the MDG processor in accordance with the extracted minimum data set;
• and
• generating market data messages using the order price book;
• wherein the MDG processor is positioned outside of the optimized match engine.