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 method including:
receiving by a gateway a data message including a command to initiate a market event, wherein the data message is provided to an electronic exchange, wherein the market event results in a sequence of causally related market data messages generated by the electronic exchange;
detecting by the gateway from the electronic exchange the sequence of causally related market data messages associated with the market event;
queuing by the gateway the sequence of causally related market data messages;
detecting by the gateway an end of the market event;
generating by the gateway a new logically reduced market data message including grouped market data in the queued causally related market data messages, wherein the grouped market data groups together the causally related market data messages related to the market event; and
sending by the gateway the new logically reduced market data message to a client device.
2. The method of claim 1 , wherein the data message is a trade order message.
3. The method of claim 1 , wherein the sequence of causally related market data messages includes fill related messages.
4. The method of claim 1 , wherein the sequence of causally related market data messages is associated with a spread trading strategy.
5. The method of claim 1 , wherein the end of the market event is detected upon receiving a market depth update message.
6. The method 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.