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US 2021/0201414 A1Published application
System and method for providing intelligent market data snapshots
AssigneeChicago Mercantile Exchange Inc.
InventorsAri L. Studnitzer, Seshadri Sundaram, Kevin Kometer, Sana Fathallah-Shaykh, James Krause
Life of this patent
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Abstract
Systems and methods are provided for processing and distributing market data. Critical data, such as data showing that a market price has changed is distributed without further delay. When the market data does not result in a change in a market price or does not meet another critical criteria, the market data is aggregated with market data for similar events and distributed when the aggregated market data passes a quantity threshold.
Claims27
A computer implemented method comprising:
- receiving, by a processor, market data from a market data module, wherein the market data comprises order quantities for a financial instrument at a plurality of price levels:
- determining, by the processor, whether the received market data results in a change in market price of the financial instrument;
- when the received market data changes the market price of the financial instrument, initiating, by the processor, a data transmission of the received market data over a network;
- when the received market data does not change the market price of the financial instrument, not initiating the data transmission and, instead, aggregating, by the processor, the received market data with market data for the financial instrument stored in a memory coupled with the processor, and storing the aggregate of the received and stored market data in the memory in place of the stored market data;
- and
- initiating, by the processor, a data transmission of the stored market data over the network when the stored market data exceeds or falls below a threshold;
- wherein a number of data transmissions over the network are reduced and the conservation of bandwidth in the network is ensured by the combining of the received market data with the existing previously stored market data instead of immediate distribution of the received market data over the network.
4 more elements
A computer readable medium storing computer executable instructions that, when executed by a processor, cause the processor to:
- receive market data from a market data module, wherein the market data comprises order quantities for a financial instrument at a plurality of price levels:
- determine whether the received market data results in a change in market price of the financial instrument;
- when the received market data changes the market price of the financial instrument, initiate a data transmission of the received market data over a network;
- when the received market data does not change the market price of the financial instrument, not initiate the data transmission and, instead, aggregate the received market data with market data for the financial instrument stored in a memory coupled with the processor, and store the aggregate of the received and stored market data in the memory in place of the stored market data;
- and
- initiate a data transmission of the stored market data over the network when the stored market data exceeds or falls below a threshold;
- wherein a number of data transmissions over the network are reduced and the conservation of bandwidth in the network is ensured by the combining of the received market data with the existing previously stored market data instead of immediate distribution of the received market data over the network.
4 more elements
An apparatus comprising:
- a processor;
- and
- a non-transitory computer readable medium storing computer executable instructions that, when executed, cause the apparatus to:
- receive market data from a market data module, wherein the market data comprises order quantities for a financial instrument at a plurality of price levels:
- determine whether the received market data results in a change in market price of the financial instrument;
- when the received market data changes the market price of the financial instrument, initiate a data transmission of the received market data over a network;
- when the received market data does not change the market price of the financial instrument, not initiate the data transmission and, instead, aggregate the received market data with market data for the financial instrument stored in a memory coupled with the processor, and store the aggregate of the received and stored market data in the memory in place of the stored market data;
- and
- initiate a data transmission of the stored market data over the network when the stored market data exceeds or falls below a threshold;
- wherein a number of data transmissions over the network are reduced and the conservation of bandwidth in the network is ensured by the combining of the received market data with the existing previously stored market data instead of immediate distribution of the received market data over the network.
7 more elements
Dependencies are inferred from the claim text.