Trade engine processing of mass quote messages and resulting production of market data

Abstract

Systems and methods are provided for processing mass quote messages and generating market data. A mass quote message is received and individual orders are parsed and processed. Individual market data messages are stored in a market data message buffer. After all orders are processed, the contents of the market data message buffer is distributed as a single market data message.

1 . A computer-readable medium containing computer-executable instructions for performing the steps comprising: 
 (a) receiving a mass quote message containing a plurality of orders for financial instruments;    (b) parsing the mass quotes message and transmitting the plurality of orders to order book objects;    (c) processing the plurality of orders at the order book objects;    (d) generating market data for each of the plurality of orders;    (e) storing the market data in at least one market data message buffer; and    (f) transmitting a single market data message containing the market data stored in the at least one market data message buffer.    
     
     
         2 . The computer-readable medium of  claim 1 , wherein the plurality of orders comprises orders for option contracts belonging to an option class.  
     
     
         3 . The computer-readable medium of  claim 2 , wherein the order book objects correspond to option contracts within an option class.  
     
     
         4 . The computer-readable medium of  claim 1 , wherein the plurality of orders comprise a basket.  
     
     
         5 . A computer implemented method of processing orders for financial instruments, the method comprising: 
 (a) receiving a mass quote message containing orders for a plurality of financial instruments;    (b) selecting an order;    (c) processing the order selected in (b);    (d) storing in a buffer market data resulting from (c);    (e) repeating (b)-(d) for remaining ones of the plurality of orders; and    (f) transmitting a single market data message containing the market data stored in the buffer.    
     
     
         6 . The method of  claim 5 , wherein (b) comprises selecting the first order in the plurality of derivative product orders that has not been processed.  
     
     
         7 . The method of  claim 5 , wherein (f) comprises transmitting the single market data message from an exchange to a plurality of market participants.  
     
     
         8 . The method of  claim 5 , wherein the plurality of financial instruments comprise option contracts having a plurality of strike prices.  
     
     
         9 . The method of  claim 8 , wherein the plurality of financial instruments comprise call and put contracts.  
     
     
         10 . The method of  claim 5 , wherein the plurality of financial instruments comprise a basket.  
     
     
         11 . A computer implemented method of processing orders for financial instruments, the method comprising: 
 (a) receiving a mass quote message containing a plurality of orders for a plurality of financial instruments;    (b) creating a market data message buffer;    (c) processing the plurality of orders;    (d) storing in the market data message buffer market data resulting from (c);    (e) determining when the market data message buffer contains market data for all of the plurality of orders; and    (f) when the market data message buffer contains market data for all of the plurality of orders, transmitting a single market data message containing the market data stored in the market data message buffer.    
     
     
         12 . The method of  claim 11 , wherein (e) comprises counting instances of market data received at the market data message buffer.  
     
     
         13 . The method of  claim 11 , wherein (e) determining when market data is received that corresponds to the last of the plurality of orders.  
     
     
         14 . The method of  claim 13 , wherein (e) comprises identifying a code that is attached to the last order in the plurality of orders.  
     
     
         15 . The method of  claim 11 , wherein (f) comprises transmitting the single market data message from an exchange to a plurality of market participants.  
     
     
         16 . The method of  claim 11 , wherein the plurality of financial instruments comprise option contracts having a plurality of strike prices.  
     
     
         17 . The method of  claim 11 , wherein the plurality of financial instruments comprise call and put contracts.  
     
     
         18 . The method of  claim 11 , wherein (c) comprises processing the orders with a plurality of threads.  
     
     
         19 . The method of  claim 11 , wherein the plurality of financial instruments comprise a basket.  
     
     
         20 . A computer implemented method of processing orders for financial instruments, the method comprising: 
 (a) receiving a mass quote message containing a plurality of orders for a plurality of financial instruments, wherein the orders are arranged sequentially from a first order to a last order;    (b) processing the plurality of orders;    (c) storing in a market data message buffer market data resulting from (b);    (d) determining when the market data message buffer contains market data corresponding to the last order; and    (e) when the market data message buffer contains market data corresponding to the last order, transmitting a single market data message containing the market data stored in the market data message buffer.    
     
     
         21 . The method of  claim 20 , further including: 
 (f) after the single market data message is transmitted, transmitting market data messages as additional market data is received.    
     
     
         22 . The method of  claim 20 , wherein (d) comprises identifying a code that is attached to the last order.  
     
     
         23 . The method of  claim 20 , wherein (e) comprises transmitting the single market data message from an exchange to a plurality of market participants.  
     
     
         24 . The method of  claim 20 , wherein the plurality of financial instruments comprise option contracts having a plurality of strike prices.  
     
     
         25 . The method of  claim 20 , wherein the plurality of financial instruments comprise call and put contracts.  
     
     
         26 . The method of  claim 20 , wherein (b) comprises processing the orders with a plurality of threads.  
     
     
         27 . The method of  claim 20 , wherein the plurality of financial instruments comprise a basket.