Generating market information based on causally linked events
Certain embodiments provide systems, apparatus, and methods to analyze incoming data messages and create market information constructs. An example method includes receiving a data message including an instruction to initiate a market event. The example method includes evaluating the instruction to determine whether it is associated with two or more causally linked market events. The example method also includes classifying the instruction based on the evaluating as part of a sequence of causally linked market events or as a single market event. The example method includes queuing the sequence of causally linked market events. The example method further includes detecting an end of the sequence of causally linked market events. The example method includes constructing a logically reduced market data message construct descriptive of the one or more market events represented by the queued sequence of causally linked events.
1. A system comprising:
a computing device,
wherein the computing device is configured to initiate a start of a market event that results in a sequence of two or more causally related market data messages generated by an electronic exchange;
wherein the computing device is configured to detect the sequence of the two or more causally related market data messages associated with the market event;
wherein the computing device is configured to queue the sequence of the two or more causally related market data messages;
wherein the computing device is configured to detect an end of the market event;
wherein the computing device is configured to generate a new logically reduced market data message comprising grouped market data in the queued two or more causally related market data messages, wherein the grouped market data groups together the two or more casually related market data messages related to the market event; and
wherein the computing device is configured to send the new logically reduced market data message to a second computing device.
2. The system of claim 1 , wherein the computing device comprises the electronic exchange.
3. The system of claim 1 , wherein the computing device comprises a gateway.
4. The system of claim 1 , wherein the second computing device comprises a gateway that sends the new logically reduced market data message to a client device.
5. The system of claim 1 , wherein the sequence of the two or more causally related market data messages comprises two or more fill related messages.
6. The system of claim 1 , wherein the sequence of the two or more causally related market data messages is associated with a spread trading strategy.
7. The system of claim 1 , wherein the start of the market event is initiated in response to a trade order message being received at the computing device.
8. The system of claim 1 , wherein the end of the market event is detected upon receiving a market depth update message.
9. The system of claim 1 , wherein the end of the market event is detected upon receiving an indication that an order quantity corresponding to a trade order associated with the market event is fully filled.