A method receives incoming messages from data feed lines. The incoming messages have data on associated market events. The method includes receiving incoming messages from a feed line, translating the received incoming messages into market event messages having a common format, and publishing a portion of the translated messages on a network. Each market event message includes data on a market event and time data. The network has multiple devices capable of receiving the translated messages.
1. A method executed in a market surveillance computer system, the method comprising:
receiving, in the computer system, a message in a receiver object from one of a plurality of feed lines;
attaching, in the computer system, timing data from a timing object to the received message, the timing data including a time extracted from the received message and a stamp indicating a receipt time at the receiver object and;
activating, in the computer system, a translator object to translate the received message into a market event object;
assigning, in the computer system, the market event object to an entry in a queue object;
validating, in the computer system, the market event object entry; and
publishing, in the computer system, the validated market event object entry in a sender object to a plurality of alert engines that process the market event objects to detect possible alert conditions.
2. The method of claim 1 in which the other data comprises a message delta obtained by comparing the time extracted from the received message with times of previously received messages from the one of the plurality of feed lines.
3. The method of claim 1 in which assigning further comprises registering a message sequence number in an associated sequence state object, the associated sequence state object recording message order and gap data for the one of the plurality of feed lines.
4. The method of claim 3 in which validating comprises determining whether the market event object entry is valid using the message sequence number and gap data.
5. The method of claim 4 in which validating further comprises discarding duplicate messages.
6. The method of claim 5 in which validating further comprises tracking discarded duplicate messages.
7. The method of claim 1 in which publishing comprises a private network.
8. The method of claim 4 in which publishing further comprises updating the message sequence number.
9. The method of claim 1 in which the market event object comprises:
a time stamp field;
a message time field;
a market session data field;
a line field;
a feed field;
a feed sequence number field;
a message type field; and
an original identification field.
10. An apparatus comprising:
a processor; and
a memory, the memory comprising:
a receiver object for receiving a message form one of a plurality of feed lines;
a timing object for attaching timing data to the received message, the timing data including a time extracted from the received message, a stamp indicating a receipt time at the receiver object and timing data corresponding to the time extracted from the received message and the time from a previously received message from the same feed line, to provide an estimate of an actual event time to associate with the market event;
a translator object to translate the received message into a market event object;
a queue object for receiving the market event object;
a validation object for validating the market event object entry; and
a sender object to send the validated market event object entry to a plurality of alert engines.
11. The apparatus of claim 9 wherein the message delta provides an estimate of an actual event time to associate with the market event underlying the received message.
12. A computer program product, tangibly embodied in an information carrier, for line handling, the computer program product being operable to cause data processing apparatus to:
receive a message in a receiver object form one of a plurality of feed lines;
attach timing data from a timing object to the received message, the timing data including a time extracted from the received message, a stamp indicating a receipt time at the receiver object and timing data corresponding to the time extracted from the received message and the time from a previously received message from the same feed line, to provide an estimate of an actual event time to associate with the market event;
activate a translator object to translate the received message into a market event object;
assign the market event object to an entry in a queue object;
validate the market event object entry; and
publish the validated market event object entry in a sender object to a plurality of alert engines.
13. The computer program product of claim 12 in which the other data comprises a message delta obtained by comparing the time extracted from the received message with times of previously received messages from the one of the plurality of feed lines.
14. The computer program product of claim 12 in which assigning further comprises registering a message sequence number in an associated sequence state object, the associated sequence state object recording message order and gap data for the one of the plurality of feed lines.
15. The computer program product of claim 14 in which validating comprises determining whether the market event object entry is valid using the message sequence number and gap data.
16. The computer program product of claim 15 in which validating further comprises discarding duplicate messages.
17. The computer program product of claim 16 in which validating further comprises tracking discarded duplicate messages.
18. The computer program product of claim 12 in which publishing comprises a private network.
19. The article computer program product of claim 15 in which publishing further comprises updating the message sequence number.
20. The computer program product of claim 12 in which the market event object comprises:
a time stamp field;
a message time field;
a market session data field;
a line field;
a feed field;
a feed sequence number field;
a message type field; and
an original identification field.