System and method for prioritized data delivery in an electronic trading environment
A system and method for prioritized data delivery in an electronic trading environment are described herein. According to one example embodiment, by prioritizing the messages associated with a tradeable object, the bandwidth and system resource usage may be optimally reduced, and any loss of priority content in the messages sent between the network device and the client device may be reduced. An example method includes associating different priority levels with messages comprising market data. Messages containing market information related to the inside market may be associated to a higher priority level. Whereas messages containing market information relating to the quantities at prices outside the inside market may be associated with a lower priority level. Based on the priority level associated with a message, a network device may send the message directly to the client device or store the message in a data structure until a pre-defined condition is satisfied.
1. A method for prioritized data delivery in an electronic trading environment, comprising:
receiving by an intermediary device a first message associated with a tradeable object;
determining by the intermediary device that the first message comprises market data associated with a low priority level;
storing by the intermediary device the market data of the first message;
determining by the intermediary device that a time-based event to be used in relation to the first message is satisfied;
receiving by the intermediary device a second message associated with the tradeable object, wherein the second message is received after the time-based event is determined to be satisfied;
determining by the intermediary device that the second message comprises market data associated with a high priority level; and
sending by the intermediary device the market data associated with the low priority level together with the market data associated with the high priority level to a client device.
2. The method of claim 1 , wherein the low priority level and the high priority level are determined based on a message type.
3. The method of claim 2 , wherein the message type associated with each of the high priority level and the low priority level is user-defined.
4. The method of claim 1 , wherein the market data associated with the second message comprises data associated with a highest bid price or a lowest ask price.
5. The method of claim 1 , wherein the market data associated with the second message comprises trade data related to the tradeable object.
6. The method of claim 5 , wherein the trade data comprises a last traded price or a last traded quantity.
7. The method of claim 1 , further comprising:
receiving by the intermediary device a third message associated with the tradeable object prior to receiving the second message;
determining by the intermediary device that the third message comprises market data associated with the low priority level; and
storing by the intermediary device the market data of the third message.
8. The method of claim 7 , further comprising:
coalescing by the intermediary device the market data associated with the first message and the market data associated with the third message to generate coalesced market data;
wherein sending the market data associated with the low priority level together with the market data associated with the high priority level comprises sending the coalesced market data together with the market data associated with the high priority level.
9. The method of claim 1 , wherein the intermediary device is located at an electronic exchange.
10. The method of claim 1 , wherein the intermediary device is located at a gateway.
11. The method of claim 1 , wherein determining that the time-based event is satisfied comprises determining that a time period has expired after receiving the first message.
12. A non-transitory computer readable medium having stored therein instructions executable by a processor, wherein the instructions are executable to: receive a first message associated with a tradeable object;
determine that the first message comprises market data associated with a low priority level;
store the market data of the first message;
determine that a time-based event to be used in relation to the first message is satisfied;
receive a second message associated with the tradeable object, wherein the second message is received after the time-based event is determined to be satisfied;
determine that the second message comprises market data associated with a high priority level; and
send the market data associated with the low priority level together with the market data associated with the high priority level to a client device.
13. The non-transitory computer readable medium of claim 12 , wherein the low priority level and the high priority level are determined based on a message type.
14. The non-transitory computer readable medium of claim 13 , wherein the message type associated with each of the high priority level and the low priority level is user-defined.
15. The non-transitory computer readable medium of claim 12 , wherein the market data associated with the second message comprises data associated with a highest bid price or a lowest ask price.
16. The non-transitory computer readable medium of claim 12 , wherein the market data associated with the second message comprises trade data related to the tradeable object.
17. The non-transitory computer readable medium of claim 16 , wherein the trade data comprises a last traded price or a last traded quantity.
18. The non-transitory computer readable medium of claim 12 , wherein the instructions are further executable to:
receive a third message associated with the tradeable object prior to receiving the second message;
determine that the third message comprises market data associated with the low priority level; and
store the market data of the third message.
19. The non-transitory computer readable medium of claim 18 , wherein the instructions are executable to:
coalesce the market data associated with the first message and the market data associated with the third message to generate coalesced market data;
wherein the instruction executable to send the market data associated with the low priority level together with the market data associated with the high priority level comprise instructions executable to send the coalesced market data together with the market data associated with the high priority level.
20. The non-transitory computer readable medium of claim 19 , wherein the instructions executable to determine that the time-based event is satisfied comprise instructions executable to determine that a time period has expired after receiving the first message.