System and method for coalescing market data at a client device

摘要

A client device coalesces data received from an exchange, and provides a client application such as a graphical user interface with the opportunity to process fewer, but up-to-date, data updates from an exchange when a large volume of prices becomes available. Accordingly, the trader can be assured of receiving updated information that are fed to the client applications at a rate that is cohesive with that client device's processing speed.

主权项

1. A system for coalescing market data at a client device, the system including:
a client device, wherein the client device is configured to receive a first market data update from an electronic exchange; wherein the client device is configured to store the first market data update in a data structure; wherein the client device is configured to notify a graphical user interface of the first market data update; wherein the client device is configured to receive a second market data update from the electronic exchange after notifying the graphical user interface of the first market data update, but before the graphical user interface retrieves the first market data update; wherein the client device is configured to update the data structure based on the second market update by coalescing the first market data update with the second market data update into a coalesced market update, wherein coalescing the first market data update with the second market data update includes replacing data related to a market data parameter from the first market data update with data related to the market data parameter from the second market data update; wherein the client device is configured to retrieve a market data update responsive to the notification, wherein the coalesced market data update is retrieved by the graphical user interface; and wherein the client device is configured to display the retrieved market data update on the graphical user interface.