Distribution of market data based on price level transitions
A system and method for distributing market data in response to price level transitions is disclosed. The system and method provide a mechanism for detecting when a price level transition has occurred. Detection of a price level transition results in the distribution of market data and may include displaying the results.
1. A system including:
a computing device having a processor and a memory storing instructions executable by the processor, including instructions executing the steps of:
receiving a plurality of market data update messages for a tradeable object from an electronic exchange, wherein each market data update message includes quantity available for the tradeable object at a plurality of price levels at a particular time, wherein the plurality of price levels includes a best bid price level and a best ask price level;
coalescing during a coalescing period, market data update messages of the plurality of market data update messages as they are received from the electronic exchange to generate coalesced market data, wherein the coalescing period represents a time interval during which coalescing will occur without sending updated market data to a trading device until the end of the time interval, wherein the coalescing period begins at a coalescing period start time and ends at a coalescing period end time;
identifying in response to receiving each market update message during the coalescing period, whether a price level transition has occurred, wherein a price level transition is identified when at least one of the best bid price level and the best ask price level in a currently received market update message has changed from a previously received market update message;
sending before the coalescing period end time, the coalesced market data to the trading device in response to identifying the price level transition has occurred; and
sending the coalesced market data to the trading device at the coalescing period end time when the price level transition is not identified to have occurred.
2. The system of claim 1 , wherein the price level transition is further identified when quantity available at a price level of the plurality of price levels in the previously received market update message has changed to no quantity available at the price level in the currently received market update message.
3. The system of claim 1 , wherein the price level transition is further identified when no quantity available at a price level of the plurality of price levels in the previously received market update message has changed to quantity available at the price level in the currently received market update message.
4. The system of claim 1 , wherein the price level transition is further identified when an overall quantity available at the plurality of price levels in the currently received market update message exceeds a threshold.
5. The system of claim 1 , wherein the price level transition is further identified when at least one of the low price level and the high price level for a trading session for the tradeable object has changed in the currently received market update message.
6. The system of claim 1 , wherein the price level transition is further identified when quantity available at a price level of the plurality of price levels in the currently received market update message has changed from quantity available at the price level in the previously received market update message by an amount that exceeds a threshold.
7. The system of claim 1 , wherein the coalescing period end time occurs at an expiration of a defined period of time.
8. The system of claim 1 , wherein the coalescing period end time occurs when a message requesting market data is received from the trading device.
9. The system of claim 1 , wherein the computing device is a gateway.
10. The system of claim 1 , wherein the computing device is the electronic exchange.