System and method for providing market updates in an electronic trading environment

Abstract

A system and method are provided for modifying how market updates are provided in an electronic trading environment upon detecting one or more triggering events. One example method includes defining an event to be used to trigger modification of how market updates are provided to a client entity, receiving a market update from an electronic exchange, and, when the event is detected, modifying how the market update is provided to the client entity. As an example, the modification of how the market update is provided to the client entity may include providing less data in relation to market updates, and sending the market updates less frequently.

1 . (canceled) 
     
     
         2 . A method including:
 receiving market data generated by an electronic exchange at a gateway in communication with the electronic exchange over a network;   generating a market update message by a price server of the gateway, wherein the market update message is based on the market update and a coalescing frequency that specifies how often the market update messages are sent to a client device;   sending the market update by the price server of the gateway to the client device over the network according to the coalescing frequency;   detecting a change in the coalescing frequency by the price server of the gateway based on an interval at which the market data is received at the gateway, wherein the change in the coalescing frequency conforms to a defined frequency;   in response to detecting the change in the coalescing frequency that conforms to the defined frequency, determining by the price server of the gateway an updated coalescing frequency associated with the defined frequency, wherein the updated coalescing frequency is lower than the coalescing frequency;   receiving by the price server of the gateway a second market update from the electronic exchange over the network, wherein the second market update is received after the market update;   generating a second market update message by the price server of the gateway, wherein the second market update message is based on the second market data and the updated coalescing frequency, wherein the update coalescing frequency reflects the detected change and controls how often market update messages are sent; and   sending by the price server of the gateway the second market update message to the client device according to the updated coalescing frequency.   
     
     
         3 . The method of  claim 2 , wherein detecting the change in the coalescing frequency is based on a moving average of the when market data is received at the gateway. 
     
     
         4 . The method of  claim 2 , wherein detecting the change in the coalescing frequency is based on the frequency market data is received exceeding a threshold. 
     
     
         5 . The method of  claim 2 , wherein detecting the change in the coalescing frequency is based on the frequency market data is received for a first time period with respect to the frequency market data is received for a second time period. 
     
     
         6 . The method of  claim 5 , wherein the second time period precedes the first time period. 
     
     
         7 . The method of  claim 2 , wherein the updated coalescing frequency is further determined based on the coalescing frequency. 
     
     
         8 . The method of  claim 2 , wherein the updated coalescing frequency is further determined based on a static value. 
     
     
         9 . The method of  claim 2 , further including:
 adjusting by the price server of the gateway a number of market depth levels in the second market update message based on a new number of market depth levels associated with the defined frequency.   
     
     
         10 . The method of  claim 2 , further including:
 receiving by the price server of the gateway a plurality of defined frequencies, wherein the plurality of defined frequencies includes the defined frequency, wherein each of the plurality of defined frequencies is associated with a different updated frequency.   
     
     
         11 . The method of  claim 2 , wherein the gateway includes a plurality of processing components positioned at one or more locations on a network.