System and Method for Providing Market Data in an Electronic Trading Environment

Abstract

A system and methods are developed for providing market data in an electronic trading environment. One example method includes determining a probability model comprising a probability corresponding to a change in relation to a market data parameter, then, using the probability to generate a compressed bit stream representing the market data parameter, and providing the compressed bit stream to the client terminal.

1 . (canceled) 
     
     
         2 . A computer readable medium having stored therein instructions executable by a processor, including instructions executable to:
 configure by a controller of a compression system of a computing device in communication with an electronic exchange and a client entity a probability model to be associated with a price parameter for a tradeable object, wherein the compression system includes the controller, the probability model, and an encoder, wherein the probability model includes a probability of occurrence of an input symbol associated with the price parameter;   configure by the controller of the compression system of the computing device the probability model to further be associated with a quantity parameter for the tradeable object, wherein the probability model includes a probability of occurrence of an input symbol associated with the quantity parameter;   receive by the compression system of the computing device a price value for the price parameter for the tradeable object, wherein the price value is provided to the compression system of the computing device by the electronic exchange;   receive by the compression system of the computing device a quantity value for the quantity parameter for the tradeable object, wherein the quantity value is provided to the compression system of the computing device by the electronic exchange;   calculate by the compression system of the computing device a price difference, wherein the price difference is a change in value between the price value for the price parameter for the tradeable object and a previous price value for the price parameter for the tradeable object;   calculate by the compression system of the computing device a quantity difference, wherein the quantity difference is a change in value between the quantity value for the quantity parameter for the tradeable object and a previous quantity value for the quantity parameter for the tradeable object;   update by the controller of the compression system of the computing device the probability model associated with the price parameter for the tradeable object based on the calculated price difference;   update by the controller of the compression system of the computing device the probability model associated with the quantity parameter for the tradeable object based on the calculated quantity difference;   encode by the encoder of the compression system of the computing device the calculated price difference using a statistical data encoder to generate an encoded price difference representing the calculated price difference, wherein the calculated price difference is an input symbol to the statistical data encoder, wherein the statistical data encoder is based on the probability model associated with the price parameter for the tradeable object;   encode by the encoder of the compression system of the computing device the calculated quantity difference using the statistical data encoder to generate an encoded quantity difference representing the calculated quantity difference, wherein the calculated quantity difference is an input symbol to the statistical data encoder, wherein the statistical data encoder is based on the probability model associated with the quantity parameter for the tradeable object;   generate by the compression system of the computing device an update message including the encoded price difference and the encoded quantity difference; and   send by the compression system of the computing device the update message to the client entity.   
     
     
         3 . The computer readable medium of  claim 2 , wherein the price parameter for the tradeable object is a best bid price parameter. 
     
     
         4 . The computer readable medium of  claim 2 , wherein the price parameter for the tradeable object is a best ask price parameter. 
     
     
         5 . The computer readable medium of  claim 2 , wherein the price parameter for the tradeable object is a last traded price parameter. 
     
     
         6 . The computer readable medium of  claim 2 , wherein the probability model includes a plurality of sub-models, wherein a first sub-model of the plurality of sub-models is associated with the price parameter for the tradeable object, wherein updating the probability model includes updating the first sub-model based on the calculated price difference. 
     
     
         7 . The computer readable medium of  claim 2 , wherein the probability model includes a plurality of sub-models, wherein a first sub-model of the plurality of sub-models is associated with the price parameter for the tradeable object, wherein a second sub-model of the plurality of sub-models is associated with the quantity parameter for the tradeable object. 
     
     
         8 . The computer readable medium of  claim 7 , wherein updating the probability model associated with the price parameter for the tradeable object includes updating the first sub-model based on the calculated price difference, wherein updating the probability model associated with the quantity parameter for the tradeable object includes updating the second sub-model based on the calculated quantity difference. 
     
     
         9 . The computer readable medium of  claim 2 , wherein the computing device is part of the electronic exchange. 
     
     
         10 . The computer readable medium of  claim 2 , wherein the computing device is part of a gateway. 
     
     
         11 . A system including:
 a computing device,   wherein the computing device is configured to configure by a controller of a compression system of the computing device in communication with an electronic exchange and a client entity a probability model to be associated with a price parameter for a tradeable object, wherein the compression system includes the controller, the probability model, and an encoder, wherein the probability model includes a probability of occurrence of an input symbol associated with the price parameter;   wherein the computing device is configured to configure by the controller of the compression system of the computing device the probability model to further be associated with a quantity parameter for the tradeable object, wherein the probability model includes a probability of occurrence of an input symbol associated with the quantity parameter;   wherein the computing device is configured to receive by the compression system of the computing device a price value for the price parameter for the tradeable object, wherein the price value is provided to the compression system of the computing device by the electronic exchange;   wherein the computing device is configured to receive by the compression system of the computing device a quantity value for the quantity parameter for the tradeable object, wherein the quantity value is provided to the compression system of the computing device by the electronic exchange;   wherein the computing device is configured to calculate by the compression system of the computing device a price difference, wherein the price difference is a change in value between the price value for the price parameter for the tradeable object and a previous price value for the price parameter for the tradeable object;   wherein the computing device is configured to calculate by the compression system of the computing device a quantity difference, wherein the quantity difference is a change in value between the quantity value for the quantity parameter for the tradeable object and a previous quantity value for the quantity parameter for the tradeable object;   wherein the computing device is configured to update by the controller of the compression system of the computing device the probability model associated with the price parameter for the tradeable object based on the calculated price difference;   wherein the computing device is configured to update by the controller of the compression system of the computing device the probability model associated with the quantity parameter for the tradeable object based on the calculated quantity difference;   wherein the computing device is configured to encode by the encoder of the compression system of the computing device the calculated price difference using a statistical data encoder to generate an encoded price difference representing the calculated price difference, wherein the calculated price difference is an input symbol to the statistical data encoder, wherein the statistical data encoder is based on the probability model associated with the price parameter for the tradeable object;   wherein the computing device is configured to encode by the encoder of the compression system of the computing device the calculated quantity difference using the statistical data encoder to generate an encoded quantity difference representing the calculated quantity difference, wherein the calculated quantity difference is an input symbol to the statistical data encoder, wherein the statistical data encoder is based on the probability model associated with the quantity parameter for the tradeable object;   wherein the computing device is configured to generate by the compression system of the computing device an update message including the encoded price difference and the encoded quantity difference; and   wherein the computing device is configured to send by the compression system of the computing device the update message to the client entity.   
     
     
         12 . The system of  claim 11 , wherein the price parameter for the tradeable object is a best bid price parameter. 
     
     
         13 . The system of  claim 11 , wherein the price parameter for the tradeable object is a best ask price parameter. 
     
     
         14 . The system of  claim 11 , wherein the price parameter for the tradeable object is a last traded price parameter. 
     
     
         15 . The system of  claim 11 , wherein the probability model includes a plurality of sub-models, wherein a first sub-model of the plurality of sub-models is associated with the price parameter for the tradeable object, wherein updating the probability model includes updating the first sub-model based on the calculated price difference. 
     
     
         16 . The system of  claim 11 , wherein the probability model includes a plurality of sub-models, wherein a first sub-model of the plurality of sub-models is associated with the price parameter for the tradeable object, wherein a second sub-model of the plurality of sub-models is associated with the quantity parameter for the tradeable object. 
     
     
         17 . The system of  claim 16 , wherein updating the probability model associated with the price parameter for the tradeable object includes updating the first sub-model based on the calculated price difference, wherein updating the probability model associated with the quantity parameter for the tradeable object includes updating the second sub-model based on the calculated quantity difference. 
     
     
         18 . The system of  claim 11 , wherein the computing device is part of the electronic exchange. 
     
     
         19 . The system of  claim 11 , wherein the computing device is part of a gateway.