TRADE ENGINE PROCESSING OF MASS QUOTE MESSAGES WITH MARKET DATA MESSAGE FORMAT

摘要

Systems and methods are provided for processing mass quote messages and generating market data. A mass quote message (202) is received and individual orders are parsed and processed. Individual market data messages are stored in a market data message buffer (210). After all orders are processed, the contents of the market data message buffer are distributed as a single market data message. A messaging structure (500) allows for adding, re-ordering and/or expanding data, within the printable character set of any language. One or more delimiters are defined and used to delimit data elements within the message structure (500). The data is interpreted based on templates (501) which may be disseminated prior to the sending of messages.