A LOW-BANDWIDTH DISTRIBUTION SYSTEM AND METHOD FOR OPTION QUOTES, THEORETICAL PRICES, AND DERIVATIVES

摘要

A low bandwidth mechanism for distribution of option quotes, theoretical prices, and derivatives to remote clients is achieved by decomposing the description of these values into their fundamental components (e.g., parameters of the option pricing model, market data such as dividends and interest rates, contract data such as expiration date, and the price of the underlying instrument), transmitting these to the remote client, and utilizing a mirror of the software on both the local and remote sites in order to reconstruct the same values on both sides. Significant reductions in bandwidth usage are achieved by sending updates to the fundamental components only when their state has changed and by limiting the data being sent in the update message to only the specific values that have changed state.