Processing financial market data streams
AssigneeInternational Business Machines Corporation
InventorJason Mast
Life of this patent
Estimating the term…
Abstract
Method and apparatus for interfacing middleware applications with a financial market snapshot feed. Financial market data are retrieved from the snapshot feed and the retrieved data are stored in transactions. Prior to transmitting the financial market data to the middleware, the transactions are processed in order to determine value/added information. For example, errors in the financial market data may be determined or additional financial data may be calculated.
Claims21
A computer implemented method of processing data from a financial market snapshot feed, the method comprising:
- retrieving the financial market data from the snapshot feed, the snapshot feed providing price-level data for a plurality of financial instruments;
- extracting the price-level data for each financial instrument;
- associating each financial instrument with a respective transaction, wherein each transaction comprises a plurality of transaction elements;
- storing the price-level data of each financial instrument in respective transaction elements of the respective transaction;
- generating, from the price-level data stored in each transaction, and by operation of one or more computer processors, data characterizing the respective transactions;
- converting the transactions and the data characterizing the respective transactions into output messages;
- and
- transmitting the output messages to a middleware application.
A computer-readable storage medium storing an application, which, when executed on a processor, performs an operation for processing a financial market snapshot feed, the operation comprising:
- retrieving the financial market data from the snapshot feed, the snapshot feed providing price-level data for a plurality of financial instruments;
- extracting the price-level data for each financial instrument;
- associating each financial instrument with a respective transaction, wherein each transaction comprises a plurality of transaction elements;
- storing the price-level data of each financial instrument in respective transaction elements of the respective transaction;
- generating, from the price-level data stored in each transaction, data characterizing the respective transaction;
- converting the transactions and the data characterizing the respective transactions into output messages;
- and
- transmitting the output messages to a middleware application.
A system, comprising:
- a processor;
- and
- a memory storing a feed handler front-end tool for processing a financial market snapshot feed, which when executed on the processor is configured to perform an operation, comprising:
- retrieving the financial market data from the snapshot feed, the snapshot feed providing price-level data for a plurality of financial instruments,
- extracting the price-level data for each financial instrument,
- associating each financial instrument with a respective transaction, wherein each transaction comprises a plurality of transaction elements;
- storing the price-level data of each financial instrument in respective transaction elements of the respective transaction,
- generating, from the price-level data stored in each transaction, data characterizing the respective transaction,
- converting the transactions and the data characterizing the respective transactions into output messages, and
- transmitting the output messages to a middleware application.
A method for processing a raw financial market data stream, comprising:
- receiving form a snapshot feed a plurality of financial market data for one or more financial instruments;
- parsing the financial market data to identify a set of bid/ask offers for each of the one or more financial instruments;
- sorting the bid/ask offers for each of the one or more financial instruments according to a bid/ask amount in each offer;
- and
- publishing the sorted bid/ask offers for each of the one or more financial instruments for subsequent consumption by a middleware processing application.
Dependencies are inferred from the claim text.