Networks, systems and methods for recovering data messages from a market data stream and for building a book for a financial instrument are disclosed. An out-of-band data stream related to an as-of state of the market for one or more financial instruments is distributed parallel to a stream of market data for the financial instrument. The as-of data stream is referenced to the financial according to a unique identifier of the messages of the market data stream. The as-of data for a financial instrument may be provided at periodic rate that may be varied according to one or more factors.
申请公布号
US2012072514(A1)
申请公布日期
2012.03.22
申请号
US201113305274
申请日期
2011.11.28
申请人
GENETSKI DENNIS;MENON VIJAY;SIMPSON MATT;MALABRE FRED;ACHANTA SREENIVAS;CHICAGO MERCANTILE EXCHANGE, INC.