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US 2024/0195748 A1Published application
Dynamic market data filtering
AssigneeChicago Mercantile Exchange Inc.
InventorsPaul J. Callaway, Dennis M. Genetski, Adrien Gracia, James Krause, Vijay Menon
Life of this patent
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Abstract
Networks, systems and methods for dynamically filtering market data are disclosed. Streams of market data may be buffered or stored in a queue when inbound rates exceed distribution or publication limitations. Inclusive messages in the queue may be removed, replaced or aggregated, reducing the number of messages to be published when distribution limitations are no longer exceeded.
Claims21
A computer implemented method comprising:
- receiving, by a processor from a computing system coupled via a computer network coupled therebetween, a data message generated based on an event by the computing system for immediate transmission to a recipient via the processor;
- determining, by the processor, that previously received messages for immediate transmission are currently stored in a memory coupled with the processor awaiting transmission thereby, the memory storing data messages awaiting transmission in an order in which they were received by the processor, indicative of a rate of receipt at which data messages from the computing system are being received by the processor exceeds a rate at which messages can be transmitted to the recipient;
- based on the determination that previously received messages for immediate transmission are currently stored in the memory awaiting transmission, determining, by the processor, that the received data message is related to a previously received, but not yet transmitted, data message stored in the memory;
- one of aggregating or replacing, by the processor in the memory, the previously received data message with the received data message, the aggregation or replacement assuming the same stored order despite being later received;
- and
- transmitting, by the processor, any data messages as stored in the memory to the recipient in the order in which they are stored upon a determination, by the processor, that data messages are able to be transmitted.
3 more elements
A system comprising:
- a non-transitory memory device storing instructions, that when executed by a processor coupled with the non-transitory memory device, cause the processor to:
- receive, from a computing system coupled via a computer network coupled therebetween, a data message generated based on an event by the computing system for immediate transmission to a recipient via the processor;
- determine that previously received messages for immediate transmission are currently stored in a memory coupled with the processor awaiting transmission thereby, the memory storing data messages awaiting transmission in an order in which they were received by the processor, indicative of a rate of receipt at which data messages from the computing system are being received by the processor exceeds a rate at which messages can be transmitted to the recipient;
- based on the determination that previously received messages for immediate transmission are currently stored in the memory awaiting transmission, determine that the received data message is related to a previously received, but not yet transmitted, data message stored in the memory;
- one of aggregate or replace, in the memory, the previously received data message with the received data message, the aggregation or replacement assuming the same stored order despite being later received;
- and
- transmit any data messages as stored in the memory to the recipient in the order in which they are stored upon a determination, by the processor, that data messages are able to be transmitted.
4 more elements
A system comprising:
- means for receiving, from a computing system coupled via a computer network coupled therebetween, a data message generated based on an event by the computing system for immediate transmission to a recipient via the processor;
- means for determining that previously received messages for immediate transmission are currently stored in a memory coupled with the processor awaiting transmission thereby, the memory storing data messages awaiting transmission in an order in which they were received by the processor, indicative of a rate of receipt at which data messages from the computing system are being received by the processor exceeds a rate at which messages can be transmitted to the recipient;
- means for, based on the determination that previously received messages for immediate transmission are currently stored in the memory awaiting transmission, determining that the received data message is related to a previously received, but not yet transmitted, data message stored in the memory;
- means for one of aggregating or replacing, in the memory, the previously received data message with the received data message, the aggregation or replacement assuming the same stored order despite being later received;
- and
- means for transmitting any data messages as stored in the memory to the recipient in the order in which they are stored upon a determination, by the processor, that data messages are able to be transmitted.
3 more elements
Dependencies are inferred from the claim text.