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US 12,718,234 B2Granted
Data object compression and reduction
AssigneeChicago Mercantile Exchange Inc.
InventorsPeter Mattias Palm, Jesper Lars Wilhelm Hermodsson, Sven Marcus Dahlin, Carl Erik Thornberg
Life of this patent
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Abstract
A system is configured to implement data compression on a set of data objects. The system includes a processor configured to obtain the set of data objects. The data objects specify, source, type, size, and polarity data for a plurality of transactions. The processor is configured to implement an optimization procedure based on constraint data associated with the sources for the data object. The optimization procedure reduces aggregate size data for the set of data objects via operation on at least a subset of the data objects, the subset associate with a particular data source.
Claims20
A computer-implemented data compression method including:
- obtaining, by a processor, a set of data objects for a plurality of currency exchange transactions, wherein for each of the plurality of currency exchange transactions the set of data objects specify:
- two data sources as a party and a counterparty;
- a type that indicates a base currency and counter currency;
- transaction size;
- and
- a transaction polarity;
- obtaining, by the processor, constraint data based on configuration files for each data object;
- identifying, by the processor, a subset of data objects from among the set of data objects associated with a particular data source from among those specified within the plurality of data objects;
- automatically triggering and executing, responsive to determining that the set of data objects exceeds a data size threshold, an optimization procedure to determine a set of adjustments to the subset of data objects, the optimization procedure including:
- determining an offset that increases, based on the constraint data, an aggregate magnitude of the subset of data objects by increasing a net position size of a subset of the plurality of currency exchange transactions represented by the subset of data objects;
- and
- determining, based on the constraint data from the subset of data objects, at least one data object to remove from the subset of data objects;
- compressing, the subset of data objects by executing the determined set of adjustments on the subset of data objects by removing the at least one data object and adding the offset to obtain a compressed subset of data objects;
- and
- storing, by the processor and in memory, the compressed subset of data objects with the offset in accord with the set of adjustments and without the at least one data object of the subset of data objects,
- wherein compressing the subset of data objects by removing the at least one data object reduces a total bilateral risk for all parties and all counterparties in the subset of the plurality of currency exchange transactions but is risk neutral for the particular source, the reduction in total bilateral risk being at least at large as the increase to the net position size thereby also reducing a data link magnitude at least as much as the aggregate magnitude is increased without information loss.
13 more elements
Non-transitory machine-readable media configured to store instructions for data compression thereon, the instructions, when executed, configured to cause a processor to:
- obtain a set of data objects for a plurality of currency exchange transactions, wherein for each of the plurality of currency exchange transactions the set of data objects specify:
- two data sources as a party and a counterparty;
- a type that indicates a base currency and counter currency;
- transaction size;
- and
- a transaction polarity;
- obtain constraint data based on configuration files for each data object;
- identify a subset of data objects from among the set of data objects associated with a particular data source from among those specified within the plurality of data objects;
- automatically trigger and execute, responsive to determining that the set of data objects exceeds a data size threshold, an optimization procedure to determine a set of adjustments to the subset of data objects, the optimization procedure including:
- determining an offset that increases, based on the constraint data, an aggregate magnitude of the subset of data objects by increasing a net position size of a subset of the plurality of currency exchange transactions represented by the subset of data objects;
- and
- determining, based on the constraint data from the subset of data objects, at least one data object to remove from the subset of data objects;
- compress, the subset of data objects by executing the determined set of adjustments on the subset of data objects by removing the at least one data object and adding the offset to obtain a compressed subset of data objects;
- and
- store, in memory, the compressed set of data objects with the offset in accord with the set of adjustments and without the at least one data object of the subset of data objects,
- wherein compressing the subset of data objects by removing the at least one data object reduces a total bilateral risk for all parties and all counterparties in the subset of the plurality of currency exchange transactions but is risk neutral for the particular source, the reduction in total bilateral risk being at least at large as the increase to the net position size thereby also reducing a data link magnitude at least as much as the aggregate magnitude is increased without information loss.
13 more elements
A system for data compression including:
- means for obtaining a set of data objects for a plurality of currency exchange transactions,
- wherein for each of the plurality of currency exchange transactions the set of data objects specify:
- two data sources as a party and a counterparty;
- a type that indicates a base currency and counter currency;
- transaction size;
- and
- a transaction polarity;
- means for obtaining constraint data based on configuration files for each data object;
- means for identifying a subset of data objects from among the set of data objects with associated with a particular data source from among those specified within the plurality data objects;
- and
- means for automatically triggering and executing, responsive to determining that the set of data objects exceeds a data size threshold, an optimization procedure to determine a set of adjustments to the subset of data objects, the optimization procedure including:
- determining an offset that increases, based on the constraint data, an aggregate magnitude of the subset of data objects by increasing a net position size of a subset of the plurality of currency exchange transactions represented by the subset of data objects;
- and
- determining, based on the constraint data for the subset of data objects, at least one data object to remove from the subset of data objects;
- means for compressing, the subset of data objects by executing the determined set of adjustments on the subset of data objects by removing the at least one data object and adding the offset to obtain a compressed subset of data objects;
- and
- means for storing the compressed subset of data objects with the offset in accord with the set of adjustments and without the at least one data object of the subset of data objects,
- wherein compressing the subset of data objects by removing the at least one data object reduces a total bilateral risk for all parties and all counterparties in the subset of the plurality of currency exchange transactions but is risk neutral for the particular source, the reduction in total bilateral risk being at least at large as the increase to the net position size thereby also reducing a data link magnitude at least as much as the aggregate magnitude is increased without information loss.
15 more elements
Dependencies are inferred from the claim text.