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.

I claim: 
     
         1 . A system comprising:
 a computer device that includes a processor and is configured to compile a group of orders for derivative product financial instruments;   a memory accessible by the computer device and that stores a first template that defines a message structure format that minimizes message length;   wherein the processor is configured with computer-executable instructions to perform the steps comprising:   (a) generating the first template;   (b) generating a single message that includes the group of orders and that is formatted in accordance with the first template;   (c) transmitting the single message; and   (d) generating multiple additional templates on a real-time per message basis that define message formats different from the first template;   an exchange computer system that includes a market data message buffer and that is configured with computer-executable instructions to perform the steps comprising:   (a) receiving, at an order book module of the exchange computer system, the single message, wherein the group of orders included therein correspond to orders associated with a plurality of order books;   (b) processing, by the order book module, the single message wherein order book module includes a plurality of order book objects, and each of the plurality of order book objects processes in a different thread, a different portion of the group of orders;   (c) generating market data by each order book object;   (d) storing, by a market data module, the generated market data in the market data message buffer until a completion code is received from each of the order book objects, wherein each order book object generates the completion code when processing of its associated portion of the group of orders has finished; and   (e) transmitting, by the market data module upon receipt of the completion code from each of the plurality of order book objects, the contents of the market data message buffer as a single market data message.   
     
     
         2 . The system of  claim 1 , wherein each of the message structure format and the multiple additional templates further includes a plurality of fields separated by delimiters. 
     
     
         3 . The system of  claim 1 , wherein the single message is transmitted to the plurality order book objects. 
     
     
         4 . The system of  claim 3 , wherein each of the order book objects corresponds to a financial instrument. 
     
     
         5 . The system of  claim 1 , wherein the financial instruments comprise option contracts. 
     
     
         6 . The system of  claim 1 , wherein the financial instruments comprise futures contracts. 
     
     
         7 . The system of  claim 1 , wherein the computer device is further configured with computer-executable instructions to receive the first template from the exchange computer system. 
     
     
         8 . The system of  claim 1 , wherein the computer device is further configured with computer-executable instructions to transmit the first template to the exchange computer system. 
     
     
         9 . The system of  claim 8 , wherein the computer device is further configured with computer-executable instructions to transmit the second template to the exchange computer system. 
     
     
         10 . The system of  claim 9 , wherein the computer device is further configured with computer-executable instructions to generate a single message that includes the group of orders and that is formatted in accordance with the second template. 
     
     
         11 . The system of  claim 9 , wherein the computer device is further configured with computer-executable instructions to transmit to the exchange computer system the single message that includes the group of orders and that is formatted in accordance with the second template. 
     
     
         12 . A computer implemented method comprising:
 (a) generating, by a processor of a computer device configured to compile a group for orders for derivative product financial instruments, a first template that defines a message structure format that minimizes message length, and storing the first template in a memory coupled with the processor;   (b) generating, by the processor, a single message that includes the group of orders and that is formatted in accordance with the first template;   (c) transmitting, by the processor, the single message; and   (d) generating, by the processor, multiple additional templates on a real-time per message basis that define message formats different from the first template;   (e) receiving, by an exchange computer system that includes a market data message buffer, at an order book module of the exchange computer system, the single message, wherein the group of orders included therein correspond to orders associated with a plurality of order books;   (f) processing, by the order book module, the single message wherein order book module includes a plurality of order book objects, and each of the plurality of order book objects processes in a different thread, a different portion of the group of orders;   (g) generating market data by each order book object;   (h) storing, by a market data module, the generated market data in the market data message buffer until a completion code is received from each of the order book objects, wherein each order book object generates the completion code when processing of its associated portion of the group of orders has finished; and   (i) transmitting, by the market data module upon receipt of the completion code from each of the plurality of order book objects, the contents of the market data message buffer as a single market data message.   
     
     
         13 . The computer implemented method of  claim 12 , wherein each of the message structure format and the multiple additional templates further includes a plurality of fields separated by delimiters. 
     
     
         14 . The computer implemented method of  claim 12 , wherein the processing further comprises transmitting the single message to the plurality of order book objects. 
     
     
         15 . The computer implemented method of  claim 14 , wherein each of the order book objects corresponds to a financial instrument. 
     
     
         16 . The computer implemented method of  claim 12 , wherein the generating of the first template further comprises receiving the first template from the exchange computer system. 
     
     
         17 . The computer implemented method of  claim 12 , further comprising transmitting the first template to the exchange computer system. 
     
     
         18 . The computer implemented method of  claim 19 , further comprising transmitting the second template to the exchange computer system. 
     
     
         19 . The computer implemented method of  claim 20 , further comprising generating a single message that includes the group of orders and that is formatted in accordance with the second template. 
     
     
         20 . The computer implemented method of  claim 20 , further comprising transmitting to the exchange computer system the single message that includes the group of orders and that is formatted in accordance with the second template. 
     
     
         21 . A computer implemented method comprising:
 receiving, by an exchange computer system that includes a market data message buffer, at an order book module of the exchange computer system, a single message, generated by a processor of a computer device configured to compile a group for orders for derivative product financial instruments, that includes a group of orders and that is formatted in accordance with a first template generated by the processor that defines a message structure format that minimizes message length and is different from multiple additional templates generated by the processor on a real-time per message basis, the processor having transmitted the single message to the exchange computer system, wherein the group of orders included therein correspond to orders associated with a plurality of order books;   processing, by the order book module, the single message wherein order book module includes a plurality of order book objects, and each of the plurality of order book objects processes in a different thread, a different portion of the group of orders;   generating market data by each order book object;   storing, by a market data module, the generated market data in the market data message buffer until a completion code is received from each of the order book objects, wherein each order book object generates the completion code when processing of its associated portion of the group of orders has finished; and   transmitting, by the market data module upon receipt of the completion code from each of the plurality of order book objects, the contents of the market data message buffer as a single market data message.