System and method for coalescing market data at a network device
A network device coalesces data received from an exchange, and provides a user with the opportunity to receive fewer, but up-to-date, data updates from an exchange when duplicate prices become available or a large volume of prices becomes available suddenly. Accordingly, the trader can be assured of receiving non-duplicated prices that are fed at a rate that is cohesive with that trader's connection speed. The present invention is designed to conserve on bandwidth thereby increasing the likelihood that bandwidth will be available to receive desirable market information.
1. A method for distributing data for a tradeable object, the method comprising:
receiving a data stream having market updates for a tradeable object listed at an exchange, the data stream being received at a network device at a first data rate, the network device having at least one data feed for at least one client device, the data feed being configurable to transmit the market updates for the tradeable object at a selected rate of a plurality of selectable data rates including the first data rate, the selected rate associated with a subscription for the at least one client device; and
distributing at least a portion of the data stream from the network device to the at least one client device via the at least one data feed at the selected rate for the at least one client device, where the at least a portion of the data stream for the tradeable object includes coalesced market updates according to the selected rate being less than the first data rate.
2. The method of claim 1 , where the network device comprises a gateway.
3. The method of claim 1 , wherein the exchange comprises the network device.
4. The method of claim 1 , further comprising generating the at least a portion of the data stream for the tradeable object according to updating a first market update in the data stream for the tradeable object with a second market update in the data stream for the tradeable object.
5. The method of claim 4 , where updating the first market update for the tradeable object comprises replacing a value associated with the first market update in a stored data structure with a value in the second market update.
6. The method of claim 4 , where updating the first market update for the tradeable object comprises adding a new value from the second market update to a value associated with the first market update in a stored data structure.
7. The method of claim 1 , further comprising multicasting data for the tradeable object via the at least one data feed to a plurality of client devices according to a respective subscription for each of the plurality of client devices.
8. The method of claim 1 , further comprising changing the selected data rate to the first data rate upon detecting a predetermined event.
9. The method of claim 8 , where detecting the predetermined event comprises receiving an acknowledgement from the client device of a market update in the at least a portion of the data feed.
10. A network device for distributing market information for at least one tradeable object comprising:
a data input configured to receive a data feed for at least one tradeable object from an exchange at an input rate, the data feed including market updates for the at least one tradeable object; and
at least one data output configured to distribute market updates for the at least one tradeable object to a plurality of client devices at a plurality of selectable distribution rates, the market updates being distributed to the plurality of client devices according to a respective distribution rate selected according to a subscription for each of the plurality of client devices, where the market updates include coalesced market updates according to the distribution rate being less than the input rate.
11. The network device of claim 10 comprising a coalesced market update generator configured to coalesce a first market update of the data feed with a second market update of the data feed when the distribution rate is less than the input rate.
12. The network device of claim 11 where the coalesced market update generator is configured to store a first market update of the data feed in a data structure and update the data structure based on a second market update of the data feed by coalescing the second market update and the first market update into a coalesced market update.
13. The network device of claim 12 , where the coalesced market update generator overwrites the first market update with the second market update.
14. The network device of claim 12 , where the coalesced market update generator adds the second market update with the first market update.
15. The network device of claim 10 where at least two of the respective distribution rates selected according to a subscription for each of the plurality of client devices are different.
16. The network device of claim 10 further comprising a distribution rate monitor configured to monitor the distribution rates for each of the plurality of client devices are different and to update at least one distribution rate according to an acknowledgement received from an client device associated with the at least one distribution rate.
17. A non-transitory computer readable medium having computer executable instructions stored thereon which when executed cause a computer to execute a method comprising:
receiving a data stream having market updates for a tradeable object listed at an exchange, the data stream being received at a first data rate, a network device having at least one data feed for at least one client device, the data feed being configurable to transmit the market updates for the tradeable object at a selected rate of a plurality of selectable data rates including the first data rate, the selected rate associated with a subscription for the at least one client device; and
distributing at least a portion of the data stream to the at least one client device via the at least one data feed at the selected rate for the at least one client device, where the at least a portion of the data stream for the tradeable object includes coalesced market updates according to the selected rate being less than the first data rate.
18. The non-transitory computer readable medium of claim 17 , where the method further comprises generating the at least a portion of the data stream for the tradeable object according to updating a first market update in the data stream for the tradeable object with a second market update in the data stream for the tradeable object.
19. The non-transitory computer readable medium of claim 17 , where the method further comprises multicasting data for the tradeable object via the at least one data feed to a plurality of client devices according to a respective subscription for each of the plurality of client devices.
20. The non-transitory computer readable medium of claim 17 , where the method further comprises changing the selected data rate to the first data rate upon detecting a predetermined event.