System and method for coalescing market data at a client device
A client device coalesces data received from an exchange, and provides a client application such as a graphical user interface with the opportunity to process fewer, but up-to-date, data updates from an exchange when a large volume of prices becomes available. Accordingly, the trader can be assured of receiving updated information that are fed to the client applications at a rate that is cohesive with that client device's processing speed.
1. A method including:
storing by an API running in an API thread of a client device a first market data update for a tradeable object in a shared data structure in a memory of the client device, wherein the shared data structure is accessible by at least the API thread and a graphical user interface thread, wherein the graphical user interface thread is running a graphical user interface for the client device;
providing by the API running in the API thread a notification to the graphical user interface running in the graphical user interface thread that the shared data structure includes an update, wherein the notification to the graphical user interface running in the graphical user interface thread includes at least one of the group consisting of: (i) setting a flag and (ii) placing a message in a message queue for the graphical user interface;
receiving by the API running in the API thread at least one subsequent market data update for the tradeable object, wherein the subsequent market data update is received subsequent to providing the notification and prior to the graphical user interface running in the graphical user interface thread accessingthe shared data structure responsive to the notification; and
overwriting by the API running in the API thread the first market data update in the shared data structure with the at least one subsequent market data update before the first market update is accessed by the graphical user interface running in the graphical user interface thread and creates a coalesced market data update until the graphical user interface indicates to the API running in the API thread that the graphical user interface has retrieved the coalesced market data update that corresponds to the notification.
2. The method of claim 1 , further including clearing the shared data structure after the graphical user interface running in the graphical user interface thread has retrieved the coalesced market data update.
3. The method of claim 1 , further including:
receiving by the API running in the API thread a second market data update after the graphical user interface running in the graphical user interface thread has retrieved the coalesced market data update;
storing by the API running in the API thread the second market data update in the shared data structure; and
providing by the API running in the API thread a second notification to the graphical user interface running in the graphical user interface thread that the shared data structure includes a second update.
4. The method of claim 1 , wherein the shared data structure includes a plurality of fields, wherein the first market data update and the at least one subsequent market data update are associated with one of the plurality of fields.
5. The method of claim 1 , wherein a second notification is not sent to the graphical user interface running in the graphical user interface thread if a pending notification is in the message queue for the graphical user interface.
6. The method of claim 1 , wherein the first market data update and the at least one subsequent market data update are for a price of the tradeable object.
7. The method of claim 1 , wherein the first market data update and the at least one subsequent market data update are for an order of the tradeable object.
8. The method of claim 1 , wherein the first market data update and the at least one subsequent market data update are for a fill of the tradeable object.
9. The method of claim 1 , wherein the first market data update and the at least one subsequent market data update are for at least one of the group consisting of: (i) a last traded price of the tradeable object and (ii) a last traded quantity of the tradeable object.
10. The method of claim 1 , wherein the first market data update and the at least one subsequent market data update are for an inside market of the tradeable object.
11. The method of claim 1 , wherein the first market data update and the at least one subsequent market data update are for a quantity of the tradeable object.