US 12,475,510 B2
Electronic match engine with external generation of market data using a minimum data set
Pearce Peck-Walden, Chicago, IL (US); Rosa Frenkel, Buffalo Grove, IL (US); José Antonio Acuña-Rohter, Chicago, IL (US); Pritesh Soni, Naperville, IL (US); Dileep Konduru, Chicago, IL (US); Melissa Jenner, Naperville, IL (US); and Frederic Malabre, Middletown, NJ (US)
Assigned to Chicago Mercantile Exchange Inc., Chicago, IL (US)
Filed by Chicago Mercantile Exchange Inc., Chicago, IL (US)
Filed on Dec. 15, 2021, as Appl. No. 17/552,105.
Application 17/552,105 is a continuation of application No. 14/830,166, filed on Aug. 19, 2015, granted, now 11,238,533.
Prior Publication US 2022/0156831 A1, May 19, 2022
Int. Cl. G06Q 40/04 (2012.01); G06Q 30/0201 (2023.01)
CPC G06Q 40/04 (2013.01) [G06Q 30/0201 (2013.01)] 20 Claims
OG exemplary drawing
 
1. A method of offloading a computing load used to generate one or more market data messages, including:
processing an order entry message, by a match engine of an exchange computer system, to identify matches with one or more orders for a match engine event;
selecting, by the match engine, a minimum data set for the match engine event, the minimum data set being derived from order attributes present at the match engine, wherein the minimum data set corresponds to a minimum number of data type fields required to fully represent market data for the match engine event, the minimum number of data type fields included in the minimum data set in a pre-defined sequence;
reformatting, by the match engine, the order entry message by identifying one or more duplicative entries present in the order entry message itself prior to insertion of the minimum data set and by inserting the minimum data set for the match engine event into the order entry message in the pre-defined sequence with the one or more duplicative entries omitted;
offloading, by the match engine, the computing load used to generate the one or more market data messages by transmitting the reformatted order entry message over an exchange network;
receiving, by a market data generation (MDG) processor positioned outside of the match engine, the reformatted order entry message;
parsing, by the MDG processor and in accord with the pre-defined sequence, the reformatted order entry message to extract the minimum data set for the match engine event, wherein the extraction using the MDG processor both obtains the minimum data set and generates market data outside of the match engine resulting in a reduction of both the match engine load and memory consumption requirements;
updating, by the MDG processor, an order price book stored in a computer memory of the MDG processor in accordance with the extracted minimum data set; and
generating, by the MDG processor using the order price book, market data messages for consumption by participants of an exchange.