Market Data Recovery
AssigneeChicago Mercantile Exchange Inc.
InventorsDennis Genetski, Vijay Menon, Matt Simpson, Fred Malabre, Sreenivas Achanta
Life of this patent
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Abstract
Networks, systems and methods for recovering data messages from a market data stream and for building a book for a financial instrument are disclosed. An out-of-band data stream related to an as-of state of the market for one or more financial instruments is distributed parallel to a stream of market data for the financial instrument. The as-of data stream is referenced to the financial according to a unique identifier of the messages of the market data stream. The as-of data for a financial instrument may be provided at periodic rate that may be varied according to one or more factors.
Claims20
A computer-implemented system for updating market data, the system comprising:
- a data router configured to distribute a stream of data messages, wherein each of the data messages of the stream include a unique consecutive sequence identifier and are associated with a market event for a financial instrument;
- and
- an out of band market data recovery module configured to periodically distribute snapshot messages, wherein the snapshot messages include data related to a state of a market for at least one financial instrument, the snapshot messages referencing at least one unique sequence identifier,
- wherein the data messages of the stream are in-band and the data related to the state of the market are out of band.
A market data recovery system comprising:
- means for distributing data messages including a unique consecutive sequence identifier;
- and
- means for periodically compiling a snapshot message describing a state of a market for a financial instrument, wherein the snapshot message references at least one unique consecutive sequence identifier;
- and
- means for distributing the periodically compiled snapshot message,
- wherein the data messages are in-band and the snapshot messages are out of band.
A non-transitory computer-readable medium storing computer-executable instructions, which when executed by a processor, cause a system, comprising a book rebuilding component, to perform steps comprising:
- receiving data associated with a financial instrument;
- storing in computer memory the data associated with the financial instrument;
- and
- rebuilding an order book for the financial instrument using consecutive sequence identifiers of the data associated with the financial instrument;
- wherein the received data comprises market data and out of band data associated with the financial instrument, where the out of band data comprises a snapshot message.
Dependencies are inferred from the claim text.