The patent badge is an abbreviated version of the USPTO patent document. The patent badge does contain a link to the full patent document.
The patent badge is an abbreviated version of the USPTO patent document. The patent badge covers the following: Patent number, Date patent was issued, Date patent was filed, Title of the patent, Applicant, Inventor, Assignee, Attorney firm, Primary examiner, Assistant examiner, CPCs, and Abstract. The patent badge does contain a link to the full patent document (in Adobe Acrobat format, aka pdf). To download or print any patent click here.
Patent No.:
Date of Patent:
Jul. 01, 2014
Filed:
Oct. 19, 2011
Stephen Frederic Elston, Seattle, WA (US);
Stephen Frederic Elston, Seattle, WA (US);
Other;
Abstract
A computer-implemented system and method for computing summaries of securities order book information from trading venues is provided. Messages, which include order book market tick data for order books, are received at a market data analyzer computer from a producer. The producer includes an electronic trading venue or a market data consolidator. The order book market tick data is summarized on the market data analyzer computer by computing time weighted averages of a volume of securities available at average spreads as the order book market tick data messages are received. Messages, which include the summaries of the order book market tick data, are transmitted from the market data analyzer computer to one or more consumers at some sampling interval or triggered by some sampling event. The number of the messages transmitted from the market data analyzer computer is lower than the number of messages received from the producer.