US 12,387,266 B2
System and method for prioritizing transmission of trading data over a bandwitdh-constrained communication link
David Shaun Guay, New York, NY (US)
Assigned to Banque Nationale du Canada, Montreal (CA)
Filed by Banque Nationale du Canada, Montreal (CA)
Filed on Oct. 6, 2020, as Appl. No. 16/948,938.
Claims priority of provisional application 62/912,136, filed on Oct. 8, 2019.
Prior Publication US 2021/0105215 A1, Apr. 8, 2021
Int. Cl. G06Q 40/06 (2012.01); G06F 16/2457 (2019.01); H04L 43/0882 (2022.01); H04L 47/2475 (2022.01)
CPC G06Q 40/06 (2013.01) [G06F 16/24578 (2019.01); H04L 43/0882 (2013.01); H04L 47/2475 (2013.01)] 18 Claims
OG exemplary drawing
 
1. A computer-implemented method for prioritizing transmission of trading data from a first server to a second server, both servers being part of a computing system of a single trading entity, the trading data being sent over a first communication link or a second communication link between the first server and the second server, the first server being located in a first geographical location, the second server being remotely located in another geographical location, comprising:
receiving at least one trading data feed at the first server, from one or more trading data sources, each trading data feed comprising a plurality of records associated with securities being traded and comprising fields that are indicative of a current state of a given security, said fields comprising at least a price field and a volume field;
accessing, by the first server, transmission rules setting priorities for securities-of-interest for the single trading entity, the priorities being set at least based on price or volume variations;
calculating, by a prioritization module of the first server, price variations and volume variations of the securities-of-interest by comparing values in price and volume fields of current state records received with corresponding values in corresponding price and volume fields of one or more previously received records;
assigning, by the prioritization module of the first server, the priorities to the current state records received, based on the price variations and the volume variations calculated and based on the transmission rules accessed;
continuously calculating, by a budgeter module of the first server, a remaining available bandwidth of the first communication link, the first communication link being a direct bandwidth-constrained radio-frequency communication link;
adjusting, by the budgeter module of the first server, a number of current state records to be sent over the first communication link in a given clock period, based on the remaining available bandwidth;
sending, by the first server, for the given clock period, the current state records having highest priorities over the first communication link, up to bandwidth capacity, to said second server; and
sending remaining current state records on the second communication link, the second communication link being a less constrained fiber optic communication link,
thereby allowing the second server to receive, in priority, the trading data associated with a set of securities having greatest variations via the direct bandwidth-constrained radio-frequency communication link while subsequently receiving the trading data associated with the securities-of-interest via the less constrained fiber optic communication link.