U.S. patent application number 11/641960 was filed with the patent office on 2008-06-26 for intelligent information dissemination.
This patent application is currently assigned to OMX Technology AB. Invention is credited to Ulf Ahlenius, Daniel Jensen.
Application Number | 20080155015 11/641960 |
Document ID | / |
Family ID | 39276302 |
Filed Date | 2008-06-26 |
United States Patent
Application |
20080155015 |
Kind Code |
A1 |
Jensen; Daniel ; et
al. |
June 26, 2008 |
Intelligent information dissemination
Abstract
The invention is suitable for any kind of distributed networks
having different data rates on different connections and a
centralized computer system wherein the data to distribute is
created. The central system comprises one or more supersets of data
that is to be distributed to client computers by extracting subsets
of data from the superset/s of data. Thereafter the subsets of data
are distributed to selected groups of clients based on information
about the network architecture. In this way an efficient way of
distributing data is executed and no duplicated data is
distributed. Preferably the subsets are distributed to clients
based on a counter performance or a data rate of a client's
connection to the central computer system.
Inventors: |
Jensen; Daniel; (Stockholm,
SE) ; Ahlenius; Ulf; (Bromma, SE) |
Correspondence
Address: |
NIXON & VANDERHYE, PC
901 NORTH GLEBE ROAD, 11TH FLOOR
ARLINGTON
VA
22203
US
|
Assignee: |
OMX Technology AB
Stockholm
SE
|
Family ID: |
39276302 |
Appl. No.: |
11/641960 |
Filed: |
December 20, 2006 |
Current U.S.
Class: |
709/203 |
Current CPC
Class: |
G06F 3/0482 20130101;
G06Q 40/06 20130101; G06Q 40/04 20130101; G06F 16/90348
20190101 |
Class at
Publication: |
709/203 |
International
Class: |
G06F 15/16 20060101
G06F015/16 |
Claims
1. A computer system for sending data sets to a plurality of
clients via a network, the computer system comprising: a memory
comprising a superset of sorted data elements, an extractor
associated with the memory for extracting, from the superset of
sorted data, a first subset of data elements and a second subset of
data elements, the second subset being different from the first
subset, a selector associated with the memory for selecting a first
and a second group of clients, the second group of clients being a
subset of the first group of clients, and a communicator associated
with the extractor and selector, for sending the first subset to
the first group of selected clients, and for sending the second
subset to the second group of selected clients.
2. A computer system according to claim 1, wherein the selector
selects a group of clients based on at least one of the following:
a data rate of a client's connection to the network, a subscription
associated to a client.
3. A computer system according to claim 1, wherein the superset of
sorted data elements comprises data relating to at least one of the
following data: market by order data, market by level data/market
by price data.
4. A computer system according to claim 1, wherein the data
elements in the subsets of data comprises at least one of the
following: data structured as delta-changes of at least a part of
the data elements of at least a part of the superset, data
structured as the data elements of at least a part of the
superset.
5. A computer system according to claim 1, wherein the memory
further comprises an area, accessible by the selector for storing
subscriptions associated with clients.
6. A computer system according to claim 5, wherein the subscription
associated with a client is based on at least one of the following:
the data rate of the connection to the client, a counter
performance from the client, and client rights.
7. A computer system according to claim 1, wherein the extractor,
extracts a subset of data elements from the superset of sorted data
elements upon at least one of the following events: a change in the
superset, at certain time intervals decided by a holdback timer,
and by use of the communicator, sending the subsets to selected
group of clients.
8. A computer system according to claim 1, further comprising a
comparator associated with the memory, for detecting at least one
location of a change in the superset of sorted data elements, and
based on the location sending a subset associated with the location
to clients subscribing for the subset.
9. A computer system according to claim 8, wherein the subset
comprises an additional data element if the change was a deletion
of a data element in the superset.
10. A computer system according to claim 1, wherein the memory
further comprises a second superset of sorted data elements, the
data elements in the second superset comprises one or more of the
data elements from the first superset.
11. An electronic exchange comprising the computer system according
claim 1.
12. A method implemented on a computer system for sending data sets
to a plurality of clients via a network, the method comprising the
steps of: extracting from a superset of sorted data elements, a
first subset and a second subset, the second subset being different
from the first subset, selecting a first and a second group of
clients, the second group of clients being a sub set of the first
group of clients, and sending, the first subset to the first group
of selected clients, and sending the second subset to the second
group of selected clients.
13. A method according to claim 12, further comprising the step of
selecting groups of clients, based on at least one of the following
input: a data rate of a clients connection to the network, a
subscription associated to a client.
14. A method according to claim 12, further comprising the step of
arranging the data in the subsets according to at least one of the
following arrangements: data structured as delta-changes of at
least a part of the data elements of at least a part of the
superset, data structured as the data elements of at least a part
of the superset.
15. A method according to claim 13, the method further comprises
the step of associating the subscription with a selected client
based on at least one of the following input: the data rate of the
connection to the client, a counter performance from the client,
and client rights.
16. A method according to claim 12, wherein the extracting step,
extracts the subsets from the superset of data elements upon at
least one of the following events: a change in the superset, at
certain time intervals decided by a holdback timer, and by use of
the communicator, sending the subsets to selected group of
clients.
17. A method according to claim 12, further comprising the
following step: detecting at least one location of a change in the
superset, and based on the location sending a subset associated
with the location to clients subscribing for the subset.
18. A method according to claim 17, further comprising the
following step: adding an additional data element to the subset
being sent to the selected client if the change was a deletion of a
data element in the superset.
19. A method according to claim 12, wherein the subsets of data
comprises data relating to at least one of the following data:
market by order data, market by level data/market by price
data.
20. A client computer for management of sorted data elements, the
client computer comprising: an interface for receiving an update
message, the update message comprising data relating to sorted data
elements, a memory comprising a set of sorted data elements and for
storing the data relating to sorted data elements, a display for
displaying a number of the sorted data elements, a message handler
for managing the set of sorted data elements based on the data in
the update message.
21. A client computer according to claim 20, the client computer
further comprising a management module for executing implicit
operations on the stored set of sorted data elements based on the
data in the update message.
22. A client computer according to claim 21, wherein the implicit
operations relates to at least one of the following operations:
push operation, pop operation, delete operation.
23. A client computer according to claim 20, wherein the data in
the update message is chosen from the group of data comprising: add
data, for adding a new data element, remove data, for removing a
data element, and change data, for changing a data element.
24. A computer program product according to claim 12, the computer
program product being stored on a data carrier.
Description
FIELD OF THE INVENTION
[0001] The present invention relates to distribution of data in
computer systems. In particular it relates to information
dissemination in high performance trading systems.
BACKGROUND OF THE INVENTION
[0002] Today it is very common that information is sent over
computer networks. The amount of information being sent is rapidly
increasing due to the advances in technology, making it possible to
send and handle more information at higher speed compared to
before. Furthermore, new applications demands a higher amount of
information compared to before. Even further, the importance of
information has open up a new field of business wherein information
is sold.
[0003] An example of computer systems wherein information
dissemination is one of the most essential parts are electronic
trading systems.
[0004] Electronic trading of securities, derivatives, commodities
and other financial instruments results in large amount of
information which has to be distributed to users that needs the
information for making trade decisions, statistical calculations
and other assessments. Furthermore the users connected to such a
centralised trading system want to have the information as soon as
possible. In these cases it may not be enough to only boost the
performance in the central system by for example updating the
hardware, in order to get rid of a bottleneck or other latency
problem in the system. Usually these bottlenecks end up at the user
side anyway, since the users may have limited possibilities to
update their connection to the central system.
[0005] Thus, this type of central system has to generate and
distribute a lot of data to many different users not only on
continous basis but also at specific times and occations during a
trading day, and it has to be done in an efficient way.
[0006] An example of a system for providing electronic information
is described in US 2005/0273421. This document describes a
different system wherein the trading information and mulitiple
types of electronic information is sent in the same data stream.
Providing electronic trading information and electronic information
on the same data stream significantly increases the computations
required on a target device and by servers being used by electronic
trading providers to separate the information. The system disclosed
in us 2005/0273421 solves this problem by splitting the first data
stream into plural second data streams that can be selectively
requested, displayed and used by a user. Each of the plural second
data streams includes one or more of the plural different types of
electronic trading information from the first data stream. Thereby
allowing an individual target device to selectively request,
receive and use the one or more of the plural types of electronic
trading information in the second data stream faster than using the
same electronic trading information from the first data stream.
[0007] However, this type of filtering is often much to rough since
a user/client is most likely interested in other data streams too.
Thus the above described system has drawbacks, especially in
environments having limited bandwidth connection, since it splitts
the information based on the type of electronic information.
[0008] Hence the above system is useless in networks where the data
rates of the connections for users is limited and varies between
different users.
[0009] Some trading system has other functionalities for
distributing information. However, the problem for these solutions
is that they require the system to generate and send duplicated
information. These solutions may for example generate one message
flow for a user A (with a great connection) that contains the
entire depth and one message flow for a user B (with a poor
connection) that contains a limited picture of the market (top X
levels). The two messages will therefore contain duplicated
information for the top X levels. This will result in extra load on
both the central systems performance and the traffic on the central
and peripheral network.
[0010] Another problem with electronic information systems is that
usually there is a central processor/s that aggregates the
information and distributes it. Since the processor has to use time
on aggregating and spreading duplicated information there will be
less time for other tasks such as receiving information and thus
bottlenecks may occur in other parts of the system.
[0011] Another problem with the prior art systems is that they do
not consider counter performances provided by customers when
distributing data. Thus some customers may expericence an unfair
treatment.
BRIEF DESCRIPTION OF THE INVENTION
[0012] Thus it is an object of the present invention to provide a
solution for disseminating data in a more efficient way.
[0013] It is another object of the present invention to provide a
solution for sending out data to users having different data rate
of their data connections.
[0014] It is another object of the present invention to provide a
solution for sending out data in a bandwidth efficient way.
[0015] It is another object of the present invention to provide a
solution for sending out data without the need of duplicating the
data.
[0016] It is another object of the present invention to consider
customer counter performances when sending out data.
[0017] According to a first aspect of the invention the above and
other objects are achieved by a computer system for sending data
sets to a plurality of clients via a network, the computer system
comprising: [0018] a memory comprising a superset of sorted data
elements, [0019] an extractor associated with the memory for
extracting, from the superset of sorted data, a first subset of
data elements and a second subset of data elements, the second
subset being different from the first subset, [0020] a selector
associated with the memory for selecting a first and a second group
of clients, the second group of clients being a subset of the first
group of clients, and [0021] a communicator associated with the
extractor and selector, for sending the first subset to the first
group of selected clients, and for sending the second subset to the
second group of selected clients.
[0022] The above computer system has the advantage that it provides
a solution that makes it possible to disseminate data in a more
efficient way. The system makes it possible to send data using less
bandwidth (data rate) and performance in the computer system since
duplications of messages are preferably not extracted or sent.
[0023] The devices in the system are connected to each other by
interfaces. There are two types of interfaces; hardware interfaces
and software interfaces.
[0024] Hardware interfaces are plugs, sockets, cables and
electrical signals traveling through them. Examples are USB,
FireWire, Ethernet, ATA/IDE, SCSI, PCI and so forth.
[0025] Software interfaces (programming interfaces) are the
languages, codes and messages that programs use to communicate with
each other and to the hardware. Examples are the Windows, Mac and
Linux operating systems, SMTP e-mail, IP network protocols and the
software drivers that activate the peripheral devices.
[0026] Both types of interfaces are needed in order to get the
internal and external devices in a computer system/network to
communicate with each other.
[0027] The term data element may be referred to as a named unit of
data that, in some contexts, is considered indivisible and in other
contexts may consist of data items. In this document the data
element can either be considered indivisible or it may consists of
data items. Preferably the data elements in this document are
sorted according to ranking rules. For example the data elements
could be sorted by ranking rules such as: price, time, price and
time, traders before market makers, inverted price or sorted by
volume and so forth, or any combination of the mentioned ranking
rules.
[0028] The superset may comprise a number of data elements that are
to be distributed to a plurality of clients. Preferably the
superset of data elements is stored in a memory such as in the
primary memory e.g. the cash memory, RAM, DRAM and so forth, or in
a secondary memory such as hard disk, USB memory or the alike.
However since the primary memories are much faster compared to the
secondary memories the primary memories are better suited for the
task.
[0029] The data elements may comprise data relating to orders in an
order book. An order is typically an instruction issued by a
client. Usually the order is a buy or a sell order for a certain or
a plurality of financial instruments. However there exist many
different types of orders, therefore in this document orders are
not only limited to buy or sell orders.
[0030] Example of preferred content of a data element is at least
one of the following data: trader identity, series, bid or ask,
price, quantity, account or client. The data element may also
include other fields such as free text field and so forth.
[0031] The subsets may comprise extracted parts of the superset of
data. Preferably the subsets do not overlap each other with regard
to data elements. The superset can therefore be represented by a
number of subsets.
[0032] How many data elements each subset should comprise may be
chosen by a system administrator at the central computer system.
For example the subset representing the first part of the superset
may comprise five levels of data elements, the subset representing
the second part of the superset may comprise the following ten
levels of data elements and the subset representing the third part
of the superset may comprise the remaining data elements in the
superset. This is just an example of one embodiment, in other
embodiments more subsets comprising less data elements may be used
in order to represent the superset, or less subsets comprising more
data elements.
[0033] In a further embodiment of the invention it is possible for
a client to subscribe to subsets comprising a number of data
elements chosen by the client. Hence it would be possible to tailor
the size of the subsets to individual customer needs. The size and
number of subsets could also be based on a counter performance of a
customer, such as payment, number of trades and so forth. More
examples are mentioned below in the text.
[0034] The selector in the computer system preferably selects a
group of clients based on at least one of the following: [0035] a
data rate of a client's connection to the network, [0036] a
subscription associated to a client.
[0037] In this way the dissemination of data can be done in an
intelligent/selective way since the computer system is able to
detect a data rate on a connection to a client. This may be done by
measuring the data rate on the data connection or by information
received from the client, or by information from a message bus and
so forth. Thus the selector may select a group of clients based on
a combination of data rate and subscription or based on one of them
alone. In another situation the selector may select a group of
clients based on an infrastructure load.
[0038] The input regarding data rate or "infrastructure load" may
be obtained by measuring the data rate on the data connection,
processor load at the central system, or by information related to
an application program received from a client computer, or by
information from a bus such as an intelligent message bus with
ability to measure current bandwidth situation at different
locations by use of network surveillance tools. Hence the
infrastructure load may be related to any activity in the market on
an electronic exchange.
[0039] Furthermore, it may also be possible for a client to provide
change-levels to the central system regarding the data rate on the
connection. Thus if the measured data rate on a connection exceeds
an upper change-level the connection is busy and less information
can be sent via the connection. If the measured data rate on the
connection falls below a lower change-level the connection is not
busy and more information can be sent. By providing this
functionality the system can always make sure that a certain client
receives the best service of information based on the data
rate.
[0040] It is also possible for the central system to control its
information dissemination based on the above so that orders sent
from the client is not prevented from entering the central system.
Thus if the measured data rate on a connection to a client is high
the central system may decide to wait or cancel some of the
information that will be sent to the client. By providing this
functionality the system can always make sure that a certain
client's orders/request into the central system will arrive faster
since the connection is not busy with other information sent from
the exchange.
[0041] Preferably the superset of sorted data elements comprises
data relating to at least one of the following data: [0042] market
by order data, [0043] market by level data/market by price
data.
[0044] However, data in any sorted list may be used in relation to
the present invention and not only the data mentioned above. The
above may be used where it is hard for an external application to
sort the incoming data. By sending the data already sorted it
speeds up the processing of the received data for a client
computer.
[0045] Furthermore the data elements in the subsets of data
comprises at least one of the following: [0046] data structured as
delta-changes of at least a part of the data elements of at least a
part of the superset, [0047] data structured as the data elements
of at least a part of the superset.
[0048] By sending the delta-changes valuable bandwidth can be
saved. If only one part of a data element in the superset has
changed it may be better to only send the delta change of that part
in order to update the data set at the client computer. However in
other situations it may be more efficient to send one or more data
elements to replace obsolete data elements at the client. In these
cases a snapshot of the superset of data can be sent and the amount
of bandwidth to be used becomes easier to calculate and
predict.
[0049] By sending the changes using delta changes it is possible to
keep a list at a client computer updated in real time without the
need of providing the whole list each time. Furthermore little
bandwidth may be used each time for each message. However logic is
necessary at the client computer since the client has to be able to
perform implicit actions/calculations on the data received.
Preferably used for long lists with few changes/updates.
[0050] Sending the changes by snapshots makes it is easier for a
client computer since it is not necessary for the client computer
to apply any logic on the data received. The client computer only
replaces the old message with the new message and no further
implicit calculation/action is usually necessary. Furthermore it is
possible to limit the maximum bandwidth by hold-back timers,
however more bandwidth is necessary for each message. Preferably
used for short lists with many updates/changes.
[0051] The memory mentioned above may further comprise an area,
accessible by the selector for storing subscriptions associated
with clients. By having this feature it becomes easier for the
selector to select groups of clients since the subscription may
comprise information such as: customer needs, the connections data
rate, number of trades, the client's turnover, client status such
as market maker and so forth.
[0052] The subscription associated with a client is preferably
based on at least one of the following: [0053] the data rate of the
connection to the client, [0054] a counter performance from the
client, [0055] client rights.
[0056] Since clients usually have to pay for the subscriptions of
information, the service or quality level of the subscriptions
varies. For example the more a client pays the more information the
client can obtain. Thus as mentioned above the subscription may be
associated with a client based on the connection the client has.
The client will get a subscription suitable for the data rate on
the connection. The reason for this is that the client may be
restricted by the connection so that the client can only receive a
certain amount of data. However the subscription may also be based
on a counter performance from the client. In this case the
connection to the client does normally not constitute a bottleneck
with regards to data-rate. Thus depending on the counter
performance the subscription associated to the client may change.
Example of counter performances can be: payments, or turnover at
the clients account, liquidity provided by the client, number of
trades the client has done, data received from the client and so
forth. Hence, the more the client trades he will be upgraded to a
subscription with a better service or quality.
[0057] The clients may be associated with specific rights, "client
rights". For example a market maker may have some privileges/rights
compared to other clients. Thus some information could be
associated with specific rights and thereby only sent to the
clients having that right/privilege.
[0058] The data rate of the connection to the client can be
measured in many different ways. A few examples (as mentioned
earlier) are; by measuring the data rate on the connection and/or
by information provided by the client and/or information provided
by a data message bus using surveillance tools known to the person
skilled in the art.
[0059] The extractor preferably extracts a subset of data elements
from the superset of sorted data elements upon at least one of the
following events: [0060] a change in the superset, [0061] at
certain time intervals decided by a holdback timer, and by use of
the communicator, sending the subsets to selected group of
clients.
[0062] When to extract and/or send a subset may be chosen depending
on the situation. If changes in the superset do not occur so often
it may be more efficient to extract data elements from the superset
upon a change in the superset. Another solution is to extract data
elements at certain time intervals decided by a holdback timer. In
these cases it is easier to predict bandwidth utilization in the
system.
[0063] Furthermore data elements may be extracted by a combination
of the two above. For example, as a default, data elements could be
extracted at certain time intervals but if no change in the
superset occurs there is no need to send any information. Thus the
systems checks if any change has occurred and if no change has
occurred in the superset no data elements are extracted or sent not
even at certain time intervals. Not until a change is detected by
the system, then the system starts sending data elements at certain
time intervals until no changes in the superset is detected again.
The system waits until a change occurs and then starts sending data
elements again.
[0064] Therefore, the computer system may furthermore comprise a
comparator associated with the memory, for detecting at least one
location of a change in the superset of sorted data elements, and
based on the location sending a subset associated with the location
to clients subscribing for the subset. Furthermore changes in
adjacent subsets which occur as a consequence of the change in the
superset are preferably added to the subset being sent. Thus the
subset being sent preferably comprises an additional data element,
originally associated with another subset, if the change was e.g. a
deletion of a data element in the superset.
[0065] The memory in the computer system may further comprise a
second superset of sorted data elements; the data elements in the
second superset preferably comprise one or more of the data
elements from the first superset.
[0066] Thus two supersets may be used for extracting and sending
data to the clients. The second superset is preferably treated the
same way as the first superset. However since the second superset
may have data elements sorted in a different way changes may occur
at other positions in the superset.
[0067] In a second aspect of the invention, the above and other
objects are fulfilled by an electronic exchange comprising the
computer system as mentioned above.
[0068] The computer system may thus be an integrated module in an
electronic exchange. It can also be a stand alone module that can
be sold separately as an information dissemination system.
[0069] In a third aspect of the invention, the above and other
objects are fulfilled by a method implemented on a computer system
for sending data sets to a plurality of clients via a network, the
method comprising the steps of: [0070] extracting from a superset
of sorted data elements, a first subset and a second subset, the
second subset being different from the first subset, [0071]
selecting a first and a second group of clients, the second group
of clients being a sub set of the first group of clients, and
[0072] sending, the first subset to the first group of selected
clients, and sending the second subset to the second group of
selected clients.
[0073] The above method has the advantage that it provides a
solution that makes it possible to disseminate data in a more
efficient way. The method makes it possible to send data without
affecting bandwidth and performance in the computer system since
duplications of messages are preferably not extracted or sent.
[0074] The method may further comprise the step of selecting groups
of clients, based on at least one of the following input: [0075] a
data rate of a clients connection to the network, and [0076] a
subscription associated to a client.
[0077] In this way the dissemination of data can be done in a smart
way since the method makes it possible to sense a data rate on a
connection to a client. For example this may be done by measuring
the data rate directly on the connection, or based on information
from the client, another solution could be to receive information
from a message bus and so forth. Thus the selector may select a
group based on a combination of data rate and subscription or based
on one of them alone.
[0078] The method may further comprise the step of arranging the
data in the subsets according to at least one of the following
arrangements: [0079] data structured as delta-changes of at least a
part of the data elements of at least a part of the superset,
[0080] data structured as the data elements of at least a part of
the superset.
[0081] By arranging the data in the subsets valuable bandwidth can
be saved. If only one part of a data element in the superset has
changed it may be better to only send the delta change of that part
in order to update the data set at the client computer. However in
other situations it may be more efficient to send one or more data
elements to replace obsolete data elements at the client. In these
cases a snapshot of the superset of data can be sent and the amount
of bandwidth to be used becomes easier to calculate and
predict.
[0082] In another embodiment the method may comprise the step of
associating the subscription with a selected client based on at
least one of the following input: [0083] the data rate of the
connection to the client, [0084] a counter performance from the
client, and [0085] client rights.
[0086] The extracting step, preferably extracts the subsets from
the superset of data elements upon at least one of the following
events: [0087] a change in the superset, [0088] at certain time
intervals decided by a holdback timer, and by use of the
communicator, sending the subsets to selected group of clients.
[0089] When and how the subset is extracted may be chosen depending
on the specific situation. For example if changes in the superset
do not occur so often, it may be more efficient to extract data
elements from the superset upon a change in the superset. However
if changes continuously occurs at relatively high speed the
solution may be to extract data elements (snapshot) at certain time
intervals decided by a holdback timer. In these cases it is easier
to predict bandwidth utilization in the system and it may be more
bandwidth efficient to do it this way.
[0090] Thus the system may chose to send a snapshot of a part of
the dataset. When using snapshots a holdback timer may be used in
order to decide when a snapshot should be sent. For example a
snapshot of the four uppermost data element is sent every second.
The size of this message will always be the same (e.g. 4 bytes, 1
bytes per element). Another solution would be to send a data
element for each update when it occurs. If during this second 100
updates occur this would result in 100 data elements a 1 byte,
being sent. Thus 100 bytes is sent during the interval of one
second. From a bandwidth perspective it may thus be better to use
the snapshot and timer technique in this situation.
[0091] As described earlier in this document, data elements may be
extracted by a combination of the two techniques, upon a change and
upon time intervals.
[0092] The method may further comprise the following step: [0093]
detecting at least one location of a change in the superset, and
based on the location sending a subset associated with the location
to clients subscribing for the subset.
[0094] This has the advantage that only the subset comprising the
change in the superset will be extracted and sent to a client. In
this way bandwidth and other system resources such as processor
time will be saved.
[0095] The method may also comprise the following step: [0096]
adding an additional data element to the subset being sent to the
selected client if the change was a deletion of a data element in
the superset.
[0097] This has the advantage that processing of the data elements
can be done at the client computer since a deletion/removal of a
data element in a first subset means that the first data element in
the subset following the first subset has to be moved to the first
subset.
[0098] Preferably the subsets of data comprise data relating to at
least one of the following data: [0099] market by order data,
[0100] market by level data/market by price data.
[0101] As mentioned earlier in this document the above data may be
used where it is hard for an external application to sort the
incoming data. By sending the data already sorted it speeds up the
processing of the received data for a client computer.
[0102] In a fourth aspect of the invention, the above and other
objects are fulfilled by a client computer for management of sorted
data elements, the client computer comprising: [0103] an interface
for receiving an update message, the update message comprising data
relating to sorted data elements, [0104] a memory comprising a set
of sorted data elements and for storing the data relating to sorted
data elements, [0105] a display for displaying a number of the
sorted data elements, [0106] a message handler for managing the set
of sorted data elements based on the data in the update
message.
[0107] The above client computer has the advantage that it provides
a solution that makes it possible to process data received from a
computer system in a more efficient way. Since the sorted data
elements in the memory needs to be updated at certain time
intervals so that a user of the computer can see what is happening
at a central computer system such as in an order book, the client
computer comprises a message handler that treats the data elements
based on the information received in the update message. Thus if
the client computer receives an update message comprising delta
changes it adds the delta changes to the data elements stored in
the memory. If the client computer receives an update message
comprising data elements it may replace the obsolete data elements
in the memory in order to provide an accurate and correct data to a
user of the client computer.
[0108] The client computer may further comprise a management module
for executing implicit operations on the stored set of sorted data
elements based on the data in the update message. The implicit
operations preferably relates to at least one of the following
operations: push operation, pop operation, delete operation and so
forth.
[0109] The implicit operations are executed by the client computer
on the local dataset stored in the memory of the client computer.
The implicit operation is based on the content of the update
message in order to create a sorted dataset at the client
computer.
[0110] The data in the update message may be chosen from the group
of data comprising: [0111] add data, for adding a new data element,
[0112] remove data, for removing a data element, and [0113] change
data, for changing a data element.
[0114] Depending on the data the client computer receives in the
update message the client computer performs certain operations as
described above.
[0115] In a fifth embodiment of the invention, the above and other
objects are fulfilled by a computer program product according to
any of the previous described embodiment, the computer program
product being stored on a data carrier.
[0116] These and other aspects of the invention will be apparent
from and elucidated with reference to the embodiments described
hereinafter.
BRIEF DESCRIPTION OF FIGURES
[0117] FIG. 1 illustrates an overview of a computer network,
wherein the present invention may be used, having different data
rates on the connections between the devices.
[0118] FIG. 2 illustrates an embodiment of a superset of data and
also depicturing three subsets of data.
[0119] FIG. 3 illustrates three different supersets of data.
[0120] FIG. 4 illustrates an overview of a computer network having
different data rates on the connections between the devices in the
network. Also depicturing how the different subsets may be
distributed on the different connections.
[0121] FIG. 5 illustrates a computer comprising a memory, an
extractor, a selector, a communicator, a comparator and an
interface.
[0122] FIG. 6 illustrates an addition of a data element into a
subset of data at a client computer, and the implicit operation
carried out by the client computer.
[0123] FIG. 7 illustrates an addition of a data element into a set
of data comprising two subsets at a client computer and the
implicit operation carried out by the client computer.
[0124] FIG. 8 illustrates an addition of a data element into a set
of data comprising three subsets at a client computer and the
implicit operation carried out by the client computer.
[0125] FIG. 9 illustrates an update message and a removal of a data
element from position 4 of a set of data comprising one subset at a
client computer and the implicit operation carried out by the
client computer.
[0126] FIG. 10 illustrates an update message and a removal of a
data element from position 4 of a set of data comprising two
subsets at a client computer and the implicit operation carried out
by the client computer.
[0127] FIG. 11 illustrates an update message and a removal of a
data element from a set of data comprising three subsets at a
client computer and the implicit operation carried out by the
client computer.
[0128] FIG. 12 illustrates an update message for updating a data
element in the different subsets. All clients will receive the
update message if an update is in the first subset, only the client
B and C will receive the update message if the update is in the
second subset and only client C will receive the update message if
the update is in the third subset.
[0129] FIG. 13 illustrates how changes may be done in order to
update the subset/s at the client computer. In this case by sending
the data elements that have changed.
[0130] FIG. 14 illustrates how changes may be done in order to
update the subset/s at the client computer. In this case by sending
a delta-change of a data element and a data element.
[0131] FIG. 15 illustrates how changes may be done in order to
update the subset/s at the client computer. In this case by sending
a snap-shot of the superset.
DESCRIPTION OF PREFERRED EMBODIMENTS
[0132] In this application some specific terms are used, below
follows a description of these.
[0133] MBO--Market By Order--In FIG. 3 this type of message 13 is
picturized. This type of message flow contains the order book
changes that occur in the order depth for an instrument. Each
change will be represented in a message by a delta change. The
external applications can use this information to build up their
order depth for this order book and maintain a shadow of the real
order book. It is possible to say that only order changes that
occurs on the top X levels shall be distributed and by doing so the
external application will have a copy of the order depth for those
levels.
[0134] MBP--Market By Price--This type of message 11 contains
information on the price levels that exists in the market with a
summary of the total volume on each level. It is possible to say
that only the top Y price levels will be distributed.
[0135] A MBO example will be used as support for the description,
in order to simplify the understanding of the invention. In this
example the system is configured to distribute three different
levels of MBO, in order to support different type of bandwidth
users. However the invention is useful with any type of sorted
lists and not only with MBO or MBP message information.
[0136] The invention will now be explained in detail with reference
to the figures.
[0137] FIG. 1 illustrates a central computer system having
front-end computers 1, a back-end system 2 and gateways or routers
3. Between the different devices there is connections illustrated
by lines 4 having different thickness. The thickness illustrates
the bandwidth (data rate). A thick line has a high data rate and a
thin line has low data rate. Three of the front end computers in
FIG. 1 have a letter on the screen, this illustrates that it is a
client computer belonging to user A, B and C.
[0138] FIG. 2 illustrates a superset of data 7 which in this
example is divided into three subsets of data 8, 9, 10. The
superset can be divided into more subsets each comprising less data
elements or it can be divided into less subsets comprising more
data elements. How many subsets that represent the superset is
preferably decided based on each specific situation and system
wherein the invention is going to be used. In this document however
we have chosen to divide the superset into three subsets in order
to make the invention easier to understand. The first subset 8
comprising five data elements (1-5), the second subset 9 comprising
15 data elements (6-20), the third subset comprising the data
elements >20, e.g. 21-30.
[0139] FIG. 3 is an illustration of three supersets comprising data
represented in three different ways. Price depth (MBP) 11, price
statistics 12 and order depth (MBO) 13.
[0140] FIG. 4 illustrates a somewhat different system compared to
the system in FIG. 1. The figure also illustrates what subsets of
the superset that may be sent over different connections. The
subset being associated with the connections of different data
rates. For example the thickest data connection, connecting the
central system 2 with a client A, is able to transmit the whole
superset 16, the slower data connection is able to transmit the
first and second subset 17 to client B, and the slowest data
connection is able to transmit the first subset 18 to client C. In
this example the central system 2 comprises two supersets of data,
however the central system may comprise 1 or more data elements,
such as 3, 4, 5 and up to 15 or more such as 100, 200, 500. This is
dependent on the application wherein the invention is being
used.
[0141] FIG. 5 illustrates an electronic device comprising the
computer system 19 according to the invention. The computer system
19, comprising a memory 20, an extractor 21, a selector 22, a
communicator 23, a comparator 24 and an interface 25. The memory 20
comprises two supersets and an area for storing subscriptions.
[0142] In the following the invention will be described in detail
with reference to the figures. The details of how the subsets may
be sent to the client computers and how a client computer
preferably manages the data received in the update messages sent
from the central system, will be explained.
[0143] In the example provided in this document there exist three
clients; A, B and C having different data rates on the connections
as explained below.
[0144] Client A has a limited connection against the central system
with poor bandwidth. He can therefore not subscribe for the entire
order depth. Therefore he only wants to subscribe for the top 5
orders in the depth.
[0145] Client B is a standard member client who is trading on one
of the big firms 5 and has normal connection to the central system
2. He wants to subscribe for the top 20 orders.
[0146] Client C is a high standard client that is connected to a
central gateway 3 and has a high performance connection. He wants
to subscribe for the entire order depth.
[0147] Below follows an example of how the invention preferably
works when disseminating information from a superset 7 of data.
[0148] Client A sets up a subscription on a broadcast of the first
subset 8. [0149] Client B sets up a subscription on a broadcast
first 8 and second subset 9. [0150] Client C sets up a subscription
on a broadcast first 8, second 9 and third subset 10.
[0151] Either the clients themselves sets up a subscription.
However this may also be done centrally at the central computer
system 2, by a system administrator or automatically by the system
itself based on a number of predetermined parameters such as data
rate and so forth.
[0152] The central system 2 will now have a method of distributing
order book changes so that it supports different type of bandwidth
clients. The trick of this is to distribute this information
without the need of duplicating messages for different type of
clients.
[0153] The orderbook 7 contains 30 orders on the offer side. The
first subset 8 has been sent out for the top 5 orders. The second
subset 9 has been sent out for the orders on position 6 to 20 and
the third subset 10 has been sent out for the remaining levels.
[0154] Client A will therefore have a correct picture of the top 5
orders. Client B will have correct picture of the top 20 orders and
finally client C will have a full order depth picture. See FIG. 6,
7 and 8 where the view of each client's picture is illustrated.
This may also refer to how the information is stored in the memory
at each client computer. Thus not only how it is seen on the
computer screens.
[0155] The following section will explain how an add order shall be
treated within the system to support this type of solution. It is
based on a solution where order book changes are distributed as
delta changes. The example is illustrated in FIG. 6 for client A,
FIG. 7 for client B and FIG. 8 for client C.
[0156] Add
[0157] Level 1-5--A new order with a ranking position between 1 and
5.
[0158] The system according to the invention will generate the
first subset Add order 26 broadcast. All clients will receive this
broadcast 26.
[0159] In FIG. 6, client A will insert the order 26 and update the
ranking position for all other orders that are affected by this
change. The order that had position 5 and now has position 6 will
be removed by the front-end application since the client no longer
will receive any order changes for this order since he doesn't
subscribe for the second subset 9 message.
[0160] In FIG. 7, client B will insert the order 26 and update the
ranking position for all other orders that are affected by this
change. The order that had position 20 and now has position 21 is
preferably removed by the front-end application since the client no
longer will receive any order changes for this order since he
doesn't subscribe for the third subset 10 message.
[0161] In FIG. 8, client C will insert the order 26 and update the
ranking position for all other orders that are affected by this
change. The front-end application does not need to delete any order
since he has a full order-depth view by subscribing for all three
broadcasts.
[0162] The following examples of sending a subset add order message
for the second and third subset is not picturized in the figures.
However the same method applies as described in the example
above.
[0163] Level 6-20--A new order with a ranking position between 6
and 20.
[0164] The system according to the invention will generate the
second subset Add order broadcast. Only Client B and Client C will
receive this broadcast. Client A will not receive this message and
his network connection against the central system will therefore
not be affected by this change.
[0165] Client B will insert the order and update the ranking
position for all other orders that are affected by this change. The
order that had position 20 and now has position 21 will be removed
by the front-end application since the client no longer will
receive any order changes for this order since he doesn't subscribe
for the third subset 10 message.
[0166] Client C will insert the order and update the ranking
position for all other orders that are affected by this change. The
front-end application does not need to delete any order since he
has a full order depth view by subscribing for all three
broadcasts.
[0167] Level 21->--A new order with a ranking position
>21.
[0168] The system according to the invention will generate the
third subset Add order broadcast. Only Client C will receive this
broadcast. Client C will insert the order and update the ranking
position for all other orders that are affected by this change. The
front-end application does not need to delete any order since he
has a full order-depth view by subscribing for all three
broadcasts.
[0169] Client A and Client B will not receive this message and
their network connection against the central system will therefore
not be affected by this change.
[0170] Remove:
[0171] The following example is picturized in the FIGS. 9, 10 and
11, and shows how the data sets are treated when a subset remove
order message is sent.
[0172] Level 1-5--An order with a ranking position X between 1 and
5 is removed.
[0173] The system according to the invention will generate the
first subset remove order broadcast 27. All clients will receive
this broadcast 27. The broadcast 27 preferably contains 2 items.
One remove on position X and one add on position 5. The Add on
position 5 will contain the order that moved from position 6 to 5
as a result of the deleted order. The system will also generate a
second subset add order 28 on position 20 for the order that moved
from position 21 to 20. Another way of handling this would be to
have an extra add record in the first subset message 27 for
position 20.
[0174] Client A will remove the order on position X and improve the
ranking position for all other orders that are affected by this
change. The order that had position 4 will get position 3 and so
on. Client A will also use the Add order in the message and insert
it to the 5.sup.th position. Client A will not receive the second
subset order broadcast.
[0175] Client B will remove the order on position X and improve the
ranking position for all other orders that are affected by this
change. Client B's application will ignore the order Add on
position 5 since he already has this order in his order depth (via
the subscription on the second subset 9). However, he may also
receive the second subset order 28. This broadcast contains an Add
order record on position 20. Client B's application will Add this
order to the 20.sup.th position.
[0176] Client C will remove the order on position X and improve the
ranking position for all other orders that are affected by this
change. Client C's application will ignore the order Add on
position 5 since he already has this order in his order depth (via
the subscription on the second subset 9). He will also ignore the
second subset order broadcast since it contains an order that he
already has within his depth via his subscription on third subset
10.
[0177] The following examples of sending a subset remove order
message for the second and third subset is not picturized in the
figures. However the same method applies as described in the
example above.
[0178] Level 6-20--An order with a ranking position X between 6 and
20 is removed. The system according to the invention will generate
the second subset remove order broadcast. Only Client B and Client
C will receive this broadcast. The broadcast will contain 2 items.
One remove on position X and one add on position 20. The Add on
position 20 will contain the order that moved from position 21 to
20 as a result of the deleted order.
[0179] Client A will not receive this message and his network
connection against the central system will therefore not be
affected by this change.
[0180] Client B will remove the order on position X and improve the
ranking position for all other orders that are affected by this
change. The order that had position 15 will get position 14 and so
on. Client B will also use the Add order in the message and insert
it to the 20.sup.th position.
[0181] Client C will remove the order on position X and improve the
ranking position for all other orders that are affected by this
change. Client C's application will ignore the order Add on
position 20 since he already has this order in his order depth via
the subscription on the third subset.
[0182] Level 20--An order with a ranking position X>20 is
removed.
[0183] The system according to the invention will generate the
third subset remove order broadcast. Client C will receive this
broadcast. The broadcast will contain one remove item on position
X.
[0184] Neither Client A nor Client B will receive this message and
their network connections against the central system will therefore
not be affected by this change.
[0185] Client C will remove the order on position X and improve the
ranking position for all other orders that are affected by this
change.
[0186] Update:
[0187] Below follows the explanation on how an order update shall
be treated within the system to support this type of solution. It
is based on a solution where order book changes are distributed as
delta changes.
[0188] An update occurs on an existing order in the order book.
This can happen when an order is partly traded or modified without
any order book priority change. The solution is picturized in the
FIG. 12.
[0189] Level 1-5--Update that affects an existing order within the
top 5 levels. The system according to the invention will generate
the first subset order change 30 broadcast. All clients will
receive this broadcast and update their order depth
accordingly.
[0190] Level 6-20--Update that affects an existing order within the
levels 6-20.
[0191] The system according to the invention generates the second
subset change order 30 broadcast. Only Client B and Client C will
receive this broadcast and update their order depth accordingly,
see position 10 in the figures. Client A will not receive this
message and his network connection against the central system will
therefore not be affected by this change.
[0192] Level 21->--Update that affects an existing order the
levels 21 and above.
[0193] The system according to the invention generates the third
subset change order 30 broadcast. Only Client C will receive this
broadcast and update his order depth accordingly, see position
>21 in FIG. 12 client C. Client A and Client B will not receive
this message and their network connections against the central
system will therefore not be affected by this change.
[0194] The information dissemination method that is described in
this document can be used for many different types of data. The
solution can be used in all cases where you have a list of items
and where there are clients that are interested in different parts
of the list and you would like to distribute the list in real time
in an efficient way without duplicating any messages.
[0195] FIG. 13 illustrates an update or change of two data elements
in a subset. In the figure the system sends the delta changes of
the two data element in the update message in order to
replace/change the old data elements. The two black rectangles
represent data structured as the data elements of at least a part
of the superset.
[0196] FIG. 14 illustrates an update or change of two data elements
in a subset. In the figure the system sends the delta changes of
the data elements represented by the black rectangles. The upper
one of the black rectangles represents data structured as a
delta-change of at least a part of a data element of at least a
part of a superset.
[0197] FIG. 15 illustrates an update or change of two data elements
in a subset wherein a snap shot of the subset or superset is sent
in order to update the set at the client computer.
[0198] In the above description the term "comprising" does not
exclude other elements or steps and "a" or "an" does not exclude a
plurality.
[0199] Furthermore the terms "include" and "contain" does not
exclude other elements or steps.
* * * * *