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 non-transitory computer readable medium having stored therein instructions executable by a processor, including instructions executable to:
receive by a network device a first data feed update message from an electronic exchange over a data feed, wherein the first data feed update message includes data related to a first tradeable object at the electronic exchange;
determine by the network device that a timer is running when the first data feed update message is received;
coalesce by the network device, in response to determining that the timer is running, the first data feed update message by updating a data structure stored in a memory of the network device based on the first data feed update message;
receive by the network device a second data feed update message from the electronic exchange over the data feed, wherein the second data feed update message includes data related to the first tradeable object at the electronic exchange, wherein the second data feed update message is received after the first data feed update message, wherein the second data feed update message is received before the expiration of the timer;
coalesce by the network device the second data feed update message by updating the data structure based on the second data feed update message;
detect by the network device an expiration of the timer; and
send by the network device, in response to detecting the expiration of the timer, a first coalesced update message to a client device, wherein the first coalesced update message is based on the updated data structure.
2. The non-transitory computer readable medium of claim 1 , wherein the data in the first data feed update message includes at least one of: price data, order data, or fill data.
3. The non-transitory computer readable medium of claim 1 , wherein the timer started running at a time T0, wherein the first data feed update message is received at a time T1, wherein T1 is after T0.
4. The non-transitory computer readable medium of claim 1 , wherein the timer is running in response to the network device having received a previous data feed update message from the electronic exchange over the data feed.
5. The non-transitory computer readable medium of claim 1 , further including instructions executable to:
receive by the network device a previous data feed update message from the electronic exchange over the data feed, wherein the previous data feed update message includes data related to the first tradeable object at the electronic exchange;
determine by the network device that the timer is not running when the previous data feed update message is received;
send by the network device, in response to determining that the timer is not running, the previous data feed update message to the client device; and
start by the network device the timer.
6. The non-transitory computer readable medium of claim 1 , wherein the data structure stores market data in a plurality of fields, wherein each field corresponds to a price level of the first tradeable object at the electronic exchange.
7. The non-transitory computer readable medium of claim 1 , wherein updating the data structure based on the second data feed update message replaces the update of the data structure based on the first data feed update message.
8. The non-transitory computer readable medium of claim 1 , wherein updating the data structure based on the second data feed update message adds to the update of the data structure based on the first data feed update message.
9. The non-transitory computer readable medium of claim 1 , wherein the timer started running at a time T0, wherein the first data feed update message is received at a time T1, wherein the second data feed update message is received at a time T2, wherein T1 is after T0, wherein T2 is after T1.
10. The non-transitory computer readable medium of claim 1 , further including instructions executable to:
receive by the network device a plurality of data feed update messages from the electronic exchange over the data feed, wherein each data feed update message in the plurality of data feed update messages includes data related to the first tradeable object at the electronic exchange, wherein the plurality of data feed update messages are received at a first data rate; and
send by the network device a plurality of coalesced update messages to the client device, wherein the plurality of coalesced update messages are sent at a second data rate, wherein the second data rate is lower than the first data rate.
11. The non-transitory computer readable medium of claim 10 , wherein the second data rate is specified by the client device.
12. The non-transitory computer readable medium of claim 1 , wherein the network device is in communication with a plurality of client devices including the client device.
13. The non-transitory computer readable medium of claim 12 , further including instructions executable to:
send by the network device, in response to detecting the expiration of the timer, the first coalesced update message to each of the plurality of client devices.
14. The non-transitory computer readable medium of claim 1 , wherein the network device is a gateway.