System and method for pre-marshalling messages in an electronic trading environmen
System and methods for pre-marshalling messages in an electronic trading environment are provided. Specifically, pre-marshalling messages allows for client and network devices to create messages in response to a defined first condition. Pre-marshalling messages allows a trading system to do more processing up front before the message is needed and when a second condition is satisfied. Thus, when the message is needed no further or very little processing must be performed to generate and send the message. The client and/or network device may allocate a separate, unused, or under-utilized processing thread to the task of creating pre-marshalled messages. Pre-marshalled messages may be stored in memory at the network device until it is determined that the second condition has been satisfied. Once a pre-marshalled message is sent, the unused pre-marshalled messages that were stored in memory may be deleted or may be overwritten with newly pre-marshalled messages.
1. A method including:
detecting by a computing device a first condition for determining whether to assemble a first portion of a message for an order for a tradeable object, wherein the message includes the first portion and a second portion;
assembling by the computing device, in response to detecting the first condition, the first portion of the message;
storing by the computing device, in response to detecting the first condition, the message with the first portion and without the second portion of the message, wherein the stored message with the first portion is incomplete;
detecting by the computing device a second condition for transmitting the message to an electronic exchange;
assembling by the computing device, in response to detecting the second condition, the second portion of the message for the tradeable object according to a second set of information available at a second time;
appending by the computing device, in response to detecting the second condition, the second portion of the message to the stored incomplete message with the first portion;
generating by the computing device, in response to appending, a complete message, wherein the complete message includes at least the first portion and the second portion; and
sending by the computing device, in response to generating, the complete message to the electronic exchange.
2. The method of claim 1 , wherein the complete message includes an order request message.
3. The method of claim 2 , wherein the second condition includes a trader submitting the order request message and the second portion includes price information for the tradeable object selected by the trader at the second time.
4. The method of claim 1 , wherein the complete message includes a delete order message.
5. The method of claim 4 , wherein the second condition includes a trigger to send the delete order message.
6. The method of claim 1 , wherein the first condition includes a login at the computing device.
7. The method of claim 1 , wherein the first condition includes a user selection of the tradeable object.
8. The method of claim 1 , wherein the first condition includes sending an electronic trading message.
9. The method of claim 1 , wherein the first portion includes a preliminary message associated with a unique identification number.
10. The method of claim 9 , wherein the second portion includes a final message also associated with the unique identification number.
11. The method of claim 1 , further including:
deleting by the computing device the stored message with the first portion and without the second portion of the message in response to the second condition being satisfied.
12. The method of claim 1 , wherein the computing device includes a client device.
13. The method of claim 1 , wherein the computing device includes a network device.