Market data recovery

US10395311B2 · kind B2 · utility

Assignee

• Chicago Mercantile Exchange Inc. · US

Inventors

• Dennis Genetski · Porter, US
• Vijay Menon · Chicago, US
• Matt Simpson · Wheaton, US
• Fred Malabre · Chicago, US
• Sreenivas Achanta · Aurora, US

Key dates

• Filing date: Dec 11, 2017
• Grant date: Aug 27, 2019
• Expiry date: Dec 11, 2037

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/06
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

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.