Generating market information based on causally linked events

摘要

Certain embodiments provide systems, apparatus, and methods to analyze incoming data messages and create market information constructs. An example method includes receiving a data message including an instruction to initiate a market event. The example method includes evaluating the instruction to determine whether it is associated with two or more causally linked market events. The example method also includes classifying the instruction based on the evaluating as part of a sequence of causally linked market events or as a single market event. The example method includes queuing the sequence of causally linked market events. The example method further includes detecting an end of the sequence of causally linked market events. The example method includes constructing a logically reduced market data message construct descriptive of the one or more market events represented by the queued sequence of causally linked events.

主权项

1. A method comprising:
receiving, by a first computing device, a data message associated with a tradeable object, wherein the data message includes an instruction to initiate a market event; determining, by the first computing device, if the initiated market event results in the generation of two or more market messages relating to the initiated market event; classifying, by the first computing device, the generated two or more market messages as part of a sequence of causally linked market messages that relate to the initiated market event; queuing, by the first computing device, the sequence of causally linked market messages; detecting, by the first computing device, an end of the sequence of causally linked market messages; generating, by the first computing device, a logically reduced market data message construct descriptive of the two or more market messages represented by the queued sequence of causally linked market messages, wherein the logically reduced market data message construct groups together market messages related to the initiated market event; and transmitting the logically reduced market data message construct from the first computing device to a second computing device.