System and Method for Prioritized Data Delivery in an Electronic Trading Environment

Abstract

A system and method for prioritized data delivery in an electronic trading environment are described herein. According to one example embodiment, by prioritizing the messages associated with a tradeable object, the bandwidth and system resource usage may be optimally reduced, and any loss of priority content in the messages sent between the network device and the client device may be reduced. An example method includes associating different priority levels with messages comprising market data. Messages containing market information related to the inside market may be associated to a higher priority level. Whereas messages containing market information relating to the quantities at prices outside the inside market may be associated with a lower priority level. Based on the priority level associated with a message, a network device may send the message directly to the client device or store the message in a data structure until a pre-defined condition is satisfied.

1 . (canceled) 
     
     
         2 . A computer readable medium having stored therein instructions executable by a processor, including instructions executable to:
 receive a plurality of messages associated with a tradeable object, each message containing market data that is associated with a lower priority level;   queue the lower priority market data in a data structure until a message containing market data associated with a higher priority level is received;   coalesce the lower priority market data in the plurality of messages into a coalesced message comprising coalesced lower priority market data, wherein coalescing comprises overwriting market data in a first message of the plurality of messages with at least one subsequent market data in the plurality of messages to generate the coalesced message comprising the coalesced lower priority market data;   receive a subsequent message and determining that the subsequent message contains market data that is associated with the higher priority level;   generate, in response to receipt of the subsequent message containing market data associated with the higher priority level, a combined message comprising the coalesced market data from the coalesced message and the market data associated with the higher priority level from the subsequent message; and   send to a client device the combined message comprising the coalesced market data together with the market data associated with the higher priority level.   
     
     
         3 . The computer readable medium of  claim 2 , wherein the market data associated with the higher priority level comprises inside market data, wherein the inside market data comprises a highest bid price and a lowest ask price currently available in the market. 
     
     
         4 . The computer readable medium of  claim 3 , wherein the market data associated with the higher priority level comprises at least one of a last traded price and a last traded quantity. 
     
     
         5 . The computer readable medium of  claim 2 , wherein the market data associated with the higher priority level comprises data related to a change in price or a change in quantity at an inside market. 
     
     
         6 . The computer readable medium of  claim 2 , wherein the market data associated with the higher priority level comprises a change in price or a change in quantity within a range of prices, wherein the range of prices is based on a user-defined value. 
     
     
         7 . The computer readable medium of  claim 2 , wherein the market data associated with the lower priority level comprises data related to quantity at a price outside an inside market. 
     
     
         8 . The computer readable medium of  claim 2 , wherein the coalesced message is sent upon detecting a predefined condition, wherein the predefined condition is user-defined. 
     
     
         9 . The computer readable medium of  claim 8 , wherein the coalesced message is sent when a time period expires. 
     
     
         10 . The computer readable medium of  claim 2 , wherein the coalesced message is sent upon detecting that a time period has expired and thereafter a message comprising market data is received. 
     
     
         11 . The computer readable medium of  claim 2 , further comprising instructions executable to:
 determine that a time period expired, and responsively, determine that there is market data associated with the lower priority level in the data structure; and   send the coalesced message to the client device.   
     
     
         12 . The computer readable medium of  claim 2 , further comprising instructions executable to:
 send the coalesced message when the market is slow.   
     
     
         13 . The computer readable medium of  claim 2 , wherein an intermediary device includes the processor. 
     
     
         14 . The computer readable medium of  claim 2 , wherein a gateway includes the processor. 
     
     
         15 . The computer readable medium of  claim 2 , wherein a computing device including the processor is located at an electronic exchange. 
     
     
         16 . The computer readable medium of  claim 2 , wherein a computing device including the processor is in communication with an electronic exchange.