Systems and methods for generating and arbitrating among multiple market-data feeds

A market-data-processing device (MDPD) comprising:

• a communication interface;
• a processor;
• and
• data storage containing instructions executable by the processor for causing the MDPD to carry out a set of functions, wherein the set of functions comprises:
• receiving, by a market data processing device (MDPD), from an upstream device, an input feed of order-book updates to respective ticker symbols in a plurality of ticker symbols;
• generating, at the MDPD, a first market-data feed at least in part by:
• filtering the received input feed down to a filtered feed of order-book updates by keeping only order-book updates to the respective ticker symbols in a ticker-symbol subset;
• and
• inserting a sequence number into each order-book update in the first market-data feed;
• generating, at the MDPD, a second market-data feed, wherein the second market-data feed comprises the order-book updates of the first market-data feed having the same respective sequence numbers inserted into the same respective order-book updates;
• transmitting the first market-data feed via a first communication path to an arbitration device;
• and
• transmitting the second market-data feed via a second communication path, separate and distinct from the first communication path, to the arbitration device for use by the arbitration device in conducting sequence-number-based arbitration between the first and second market-data feeds.

A market-data-processing device (MDPD) comprising:

• a communication module configured to receive, from an upstream device, an input feed of order-book updates to respective ticker symbols in a plurality of ticker symbols;
• and
• a feed-generation module configured to:
• generate a first market-data feed at least in part by:
• filtering the received input feed down to a filtered feed of order-book updates by keeping only order-book updates to the respective ticker symbols in a ticker-symbol subset;
• and
• inserting a sequence number into each order-book update in the first market-data feed;
• generate a second market-data feed, wherein the second market-data feed comprises the order-book updates of the first market-data feed having the same respective sequence numbers inserted into the same respective order-book updates,
• wherein the communication module is further configured to:
• transmit the first market-data feed via a first communication path to an arbitration device;
• and
• transmit the second market-data feed via a second communication path, separate and distinct from the first communication path, to the arbitration device for use by the arbitration device in conducting sequence-number-based arbitration between the first and second market-data feeds.

A method comprising:

• receiving, from an upstream device via a first communication path, a pre-arbitration first market-data feed of order-book updates to respective ticker symbols in a plurality of ticker symbols, wherein each order-book update in the pre-arbitration first market-data feed comprises a respective sequence number;
• receiving, from the upstream device, one or more supplemental market-data feeds of order-book updates to respective ticker symbols in the plurality of ticker symbols, wherein:
• each order-book update in each supplemental market-data feed comprises a respective sequence number;
• order-book updates having the same sequence numbers in both the pre-arbitration first market-data feed and a supplemental market-data feed represent the same updates to the same ticker symbols;
• and
• receiving the one or more supplemental market-data feeds comprises receiving a second market-data feed via a second communication path that is separate and distinct from the first communication path;
• generating a post-arbitration first market-data feed at least in part by:
• including all order-book updates received in the pre-arbitration first market-data feed in the post-arbitration first market-data feed;
• identifying gaps of one or more order-book updates missing from the pre-arbitration first market-data feed;
• and
• patching, in the post-arbitration first market-data feed, one or more of the gaps identified as missing from the pre-arbitration first market-data feed with one or more matching-sequence-numbered order-book updates received in at least one of the supplemental market-data feeds;
• and
• outputting the post-arbitration first market-data feed to a market-data processor.

A downstream device comprising:

• an arbitration module;
• and
• a feed-processing module,
• wherein the arbitration module is configured to:
• receive, from an upstream device via a first communication path, a pre-arbitration first market-data feed of order-book updates to respective ticker symbols in a plurality of ticker symbols, wherein each order-book update in the pre-arbitration first market-data feed comprises a respective sequence number;
• receive, from the upstream device, one or more supplemental market-data feeds of order-book updates to respective ticker symbols in the plurality of ticker symbols, wherein:
• each order-book update in each supplemental market-data feed comprises a respective sequence number;
• order-book updates having the same sequence numbers in both the pre-arbitration first market-data feed and a supplemental market-data feed represent the same updates to the same ticker symbols;
• and
• the arbitration module being configured to receive the one or more supplemental market-data feeds comprises the arbitration module being configured to receive a second market-data feed via a second communication path that is separate and distinct from the first communication path;
• generate a post-arbitration first market-data feed at least in part by:
• including all order-book updates received in the pre-arbitration first market-data feed in the post-arbitration first market-data feed;
• identifying gaps of one or more order-book updates missing from the pre-arbitration first market-data feed;
• and
• patching, in the post-arbitration first market-data feed, one or more of the gaps identified as missing from the pre-arbitration first market-data feed with one or more matching-sequence-numbered order-book updates received in at least one of the supplemental market-data feeds;
• and
• output the post-arbitration first market-data feed to the feed-processing module;
• and
• wherein the feed-processing module is configured to:
• receive the post-arbitration first market-data feed from the arbitration module;
• and
• process the post-arbitration first market-data feed.