System and Method for Controlled Market Data Delivery in an Electronic Trading Environment

A computer readable medium having stored therein instructions executable by a processor, wherein the instructions are executable to:

• receive at a network device a plurality of market updates comprising at least one of a price update, a quantity update, and a trade update corresponding to orders in an order book at an electronic exchange, wherein the trade update corresponds to an order executed at the electronic exchange, the electronic exchange comprising a computerized matching process for automatically matching electronic bids and offers for a tradeable object received from a plurality of trading stations;
• place the plurality of market updates in a queue, wherein the queue is arranged to receive and store market updates from the electronic exchange;
• determine a first update type corresponding to a first market update of the plurality of market updates in the queue, the first update type being determined based on at least one of a price update and a quantity update in the first market update;
• based on determination of the first update type, set a first number of market updates to be processed in the queue before any market information from the plurality of market updates is sent from the network device to receiving trading stations;
• based on the first number of market updates to be processed, schedule a data flush by setting a data-flush counter value to the first number of market updates;
• coalesce the market information from the first number of market updates to generate a coalesced market update, wherein coalescing comprises overwriting at least a first value corresponding to a price or a quantity in a first market update with a second value corresponding to the price or the quantity in a subsequent market update of the first number of updates;
• in response to coalescing the first number of market updates, detect that the data-flush counter value has been reached;
• and
• in response to detecting that the data-flush counter value has been reached, send the coalesced market update to the receiving trading stations.

A computer readable medium for controlled market data delivery in an electronic trading environment, comprising:

• receive at a network device a plurality of market updates comprising at least one of a price update, a quantity update, and a trade update corresponding to orders in an order book at an electronic exchange, wherein the trade update corresponds to an order executed at the electronic exchange, the electronic exchange comprising a computerized matching process for automatically matching electronic bids and offers for a tradeable object received from a plurality of trading stations;
• place the plurality of market updates in a queue, wherein the queue is arranged to receive and store market updates from the electronic exchange;
• determine a first update type corresponding to a first market update of the plurality of market updates in the queue, the first update type being determined based on at least one of a price update and a quantity update in the first market update;
• based on the determination of the first update type, set a data-flush counter value equal to a first number of market updates to be processed in the queue before any market information from the plurality of market updates is sent from the network device to receiving trading stations;
• schedule a data flush based on the data-flush counter value;
• coalesce the market information in the first number of market updates to generate a coalesced market update, wherein coalescing comprises overwriting at least a first value corresponding to a price or a quantity in a first market update with a second value corresponding to the price or the quantity in a subsequent market update of the first number of updates;
• while coalescing the market information corresponding to the first number of market updates in the queue, determine a second update type corresponding to a second market update, the second update type being determined based on at least one of a price update and a quantity update in the second market update, wherein the second update type is different than the first update type;
• based on the second update type, change the data-flush counter value to be equal to a second number of market updates to be processed in the queue before any market information from the plurality of market updates is sent from the network device to the receiving trading stations;
• schedule the data flush based on the changed data-flush counter value;
• and
• send the coalesced market update from the network device to the receiving trading stations when the number of market updates coalesced is equal to the changed data-flush counter value.