Optimized Electronic Match Engine With External Generation Of Market Data Using a Minimum Data Set

摘要

Systems and methods are provided for an optimized electronic match engine of an exchange is disclosed that distributes a minimum data set to an external market data generation (MDG) processor. The optimized electronic match engine derives a minimum data set from data already known to the optimized electronic match engine. The MDG processor may extract the minimum data set and uses it to generate market data outside of the optimized electronic match engine. In some examples, an order entry (OE) message transmitted from the optimized electronic match engine may be appended with the minimum data set in a simple binary encoding (SBE) format.

主权项

1. A method of generating market data messages outside of a match engine of an exchange, comprising:
receiving, by an exchange computer system, an order entry message in a first data format; processing the order entry message in the first data format, by the match engine, to identify matches with one or more resting orders; selecting, by the match engine, a minimum data set derived from order attributes present at the match engine, wherein the minimum data set corresponds to a minimum number of data type fields required to fully represent market data; transforming, by the match engine, the order entry message by inserting the minimum data set into the order entry message, wherein the minimum data set is encoded in binary format; transmitting, by the match engine, the transformed order entry message over an exchange network; receiving, by a market data generation (MDG) processor positioned outside of the match engine, the transformed order entry message; parsing, by the MDG processor, the order entry message to extract the minimum data set; updating, by the MDG processor, an order price book stored in a computer memory of the MDG processor; and generating, by the MDG processor, market data messages for consumption by participants of the exchange.