System and method for providing market updates in an electronic trading environment
A system and method are provided for modifying how market updates are provided in an electronic trading environment upon detecting one or more triggering events. One example method includes defining an event to be used to trigger modification of how market updates are provided to a client entity, receiving a market update from an electronic exchange, and, when the event is detected, modifying how the market update is provided to the client entity. As an example, the modification of how the market update is provided to the client entity may include providing less data in relation to market updates, and sending the market updates less frequently.
1. A method including:
receiving by a price server of a gateway a first market information message from an electronic exchange over a first network, wherein the first market information message is related to a tradeable object being traded at the electronic exchange;
generating by a market update manager of the price server of the gateway a first market update message, wherein the first market update message is based on the first market information message and a first price coalescing interval, wherein the first price coalescing interval specifies a first frequency at which market update messages are sent;
sending by the price server of the gateway the generated first market update message to a client entity over a second network;
determining by the market update manager of the price server of the gateway a new frequency market data is received over the first network from the electronic exchange conforms to a defined frequency;
determining by the market update manager of the price server of the gateway, in response to determining the new frequency conforms to the defined frequency, an updated frequency associated with the defined frequency, wherein the updated frequency is lower than the first frequency;
receiving by the price server of the gateway a second market information message from the electronic exchange over the first network, wherein the second market information message is related to the tradeable object;
generating by the market update manager of the price server of the gateway a second market update message, wherein the second market update message is based on the second market information message and a second price coalescing interval, wherein the second price coalescing interval specifies a second frequency at which market update messages are sent, wherein the second frequency is equal to the updated frequency; and
sending by the price server of the gateway the second market update message to the client entity over the second network.
2. The method of claim 1 , wherein determining the new frequency is based on a moving average of the frequency market data is received.
3. The method of claim 1 , wherein determining the new frequency is based on the frequency market data is received exceeding a threshold.
4. The method of claim 1 , wherein determining the new frequency is based on the frequency market data is received for a current time period being different from the frequency market data is received for a preceding time period.
5. The method of claim 1 , wherein the updated frequency is further determined based on the first frequency.
6. The method of claim 1 , wherein the updated frequency is further determined based on a static value.
7. The method of claim 1 , further including:
adjusting by the market update manager of the price server of the gateway a number of market depth levels in the second market update message based on a new number of market depth levels associated with the defined frequency.
8. The method of claim 1 , further including:
receiving by the market update manager of the price server of the gateway a plurality of defined frequencies, wherein the plurality of defined frequencies includes the defined frequency, wherein each of the plurality of defined frequencies is associated with a different updated frequency.
9. The method of claim 1 , wherein the gateway includes a plurality of processing components positioned at one or more locations on a network.