Distribution of market data based on price level transitions
A system and method for distributing market data in response to price level transitions is disclosed. The system and method provide a mechanism for detecting when a price level transition has occurred. Detection of a price level transition results in the distribution of market data and may include displaying the results.
1. A method including:
in response to receiving a first market data related to a quantity available for a tradeable object at a plurality of price levels that includes a best bid and a best ask, beginning a coalescing period, wherein the coalescing period represents a time interval during which coalescing will occur without sending updated market data to a trading device until the end of the time interval;
coalescing, during the coalescing period, any subsequent market data received related to the tradeable object to generate coalesced market data;
identifying, during the coalescing period, in any of the subsequent market data received related to the tradeable object whether a price level transition has occurred, wherein a price level transition is identified when at least one of the best bid and the best ask in a current one of the subsequent market data received related to the tradeable object has changed from a previously market update;
sending the coalesced market data to the trading device in response to identifying the price level transition has occurred, and at the coalescing period end time when the price level transition is not identified.
2. The method of claim 1 , wherein the price level transition is further identified when quantity available at a price level of the plurality of price levels in the previously received market data has changed to no quantity available at the price level in the currently received market data.
3. The method of claim 1 , wherein the price level transition is further identified when no quantity available at a price level of the plurality of price levels in the previously received market update has changed to quantity available at the price level in the currently received market data.
4. The method of claim 1 , wherein the price level transition is further identified when an overall quantity available at the plurality of price levels in the currently received market data exceeds a threshold.
5. The method of claim 1 , wherein the price level transition is further identified when at least one of the low price level and the high price level for a trading session for the tradeable object has changed in the currently received market data.
6. The method of claim 1 , wherein the price level transition is further identified when quantity available at a price level of the plurality of price levels in the currently received market data has changed from quantity available at the price level in the previously received market data by an amount that exceeds a threshold.
7. The method of claim 1 , wherein the coalescing period end time occurs at an expiration of a defined period of time.
8. A non-transitory computer readable medium having stored therein instructions executable by a processor, including instructions executable to:
in response to receiving a first market data related to a quantity available for a tradeable object at a plurality of price levels that includes a best bid and a best ask, begin a coalescing period, wherein the coalescing period represents a time interval during which coalescing will occur without sending updated market data to a trading device until the end of the time interval;
coalesce, during the coalescing period, any subsequent market data received related to the tradeable object to generate coalesced market data;
identify, during the coalescing period, in any of the subsequent market data received related to the tradeable object whether a price level transition has occurred, wherein a price level transition is identified when at least one of the best bid and the best ask in a current one of the subsequent market data received related to the tradeable object has changed from a previously market update;
send the coalesced market data to the trading device in response to identifying the price level transition has occurred, and at the coalescing period end time when the price level transition is not identified.
9. The non-transitory computer readable medium of claim 8 , wherein the price level transition is further identified when quantity available at a price level of the plurality of price levels in the previously received market data has changed to no quantity available at the price level in the currently received market data.
10. The non-transitory computer readable medium of claim 8 , wherein the price level transition is further identified when no quantity available at a price level of the plurality of price levels in the previously received market update has changed to quantity available at the price level in the currently received market data.
11. The non-transitory computer readable medium of claim 8 , wherein the price level transition is further identified when an overall quantity available at the plurality of price levels in the currently received market data exceeds a threshold.
12. The non-transitory computer readable medium of claim 8 , wherein the price level transition is further identified when at least one of the low price level and the high price level for a trading session for the tradeable object has changed in the currently received market data.
13. The non-transitory computer readable medium of claim 8 , wherein the price level transition is further identified when quantity available at a price level of the plurality of price levels in the currently received market data has changed from quantity available at the price level in the previously received market data by an amount that exceeds a threshold.
14. The non-transitory computer readable medium of claim 8 , wherein the coalescing period end time occurs at an expiration of a defined period of time.
15. A system including:
a computing device having a processor and a memory storing instructions executable by the processor, including instructions executing the steps of:
in response to receiving a first market data related to a quantity available for a tradeable object at a plurality of price levels that includes a best bid and a best ask, begin a coalescing period, wherein the coalescing period represents a time interval during which coalescing will occur without sending updated market data to a trading device until the end of the time interval;
coalescing, during the coalescing period, any subsequent market data received related to the tradeable object to generate coalesced market data;
identifying, during the coalescing period, in any of the subsequent market data received related to the tradeable object whether a price level transition has occurred, wherein a price level transition is identified when at least one of the best bid and the best ask in a current one of the subsequent market data received related to the tradeable object has changed from a previously market update;
sending the coalesced market data to the trading device in response to identifying the price level transition has occurred, and at the coalescing period end time when the price level transition is not identified.
16. The system of claim 15 , wherein the price level transition is further identified when quantity available at a price level of the plurality of price levels in the previously received market data has changed to no quantity available at the price level in the currently received market data.
17. The system of claim 15 , wherein the price level transition is further identified when no quantity available at a price level of the plurality of price levels in the previously received market update has changed to quantity available at the price level in the currently received market data.
18. The system of claim 15 , wherein the price level transition is further identified when an overall quantity available at the plurality of price levels in the currently received market data exceeds a threshold.
19. The system of claim 15 , wherein the price level transition is further identified when at least one of the low price level and the high price level for a trading session for the tradeable object has changed in the currently received market data.
20. The system of claim 15 , wherein the price level transition is further identified when quantity available at a price level of the plurality of price levels in the currently received market data has changed from quantity available at the price level in the previously received market data by an amount that exceeds a threshold.