Systems and methods of electronic data message transaction identification

CROSS REFERENCE TO RELATED APPLICATIONS

0001This application claims priority to U.S. Provisional Application No. 62/239,155, which was filed on Oct. 8, 2015, and is related to the commonly assigned application entitled “SYSTEMS AND METHODS OF ELECTRONIC DATA PROCESSING,” (Assignee Ref. No. P1275US00; Attorney Docket No. 4010-327), which is filed on even date herewith, and U.S. Provisional Application No. 62/239,173, which was filed on Oct. 8, 2015, each of which is hereby incorporated by reference for all purposes.

TECHNICAL OVERVIEW

0002The technology herein relates to electronic order processing and providing notification of such processing via electronic data message feeds. More particularly, the technology herein relates to generating a transaction identifier for data transaction requests received by an exchange and including the generated transaction identifiers in updates provided via the electron data feeds.

INTRODUCTION

0003Data transaction processing in important to modern day computing and relates to how computer systems receive, handle (e.g., process), and ultimately report on requests to perform data transaction(s). Data transaction processing is important in many different areas of technology including healthcare systems, reliability systems, security systems, automated manufacturing systems, automotive systems, transportation system control systems, and many other disciplines. A common use of transaction processing in the context of databases to help maintain the integrity of the data in the database. Typically this is handled in accordance with ACID properties (Atomicity, Consistency, Isolation, and Durability). An advantage of processing requests by using transactions is that many different computers or users can submit requests for processing and those requests will be handled by the system (e.g., in the order they are received).

0004While transaction processing can handle numerous separate requests it is often times difficult for computers (and users) to have information on whether or not their request has been acted upon by a data transaction computer system. In a typical scenario, such information comes in the form of an acknowledgement or response message that is directly sent to the computer that submitted the initial data transaction request (e.g., stating that the request has been handled and here are the results). However, in certain instances it is not always feasible to have a response message directly sent (or guarantee that one will be sent) to a computer in a timely manner. For example, such a response message may be delayed (e.g., through electronic network congestion or problems). Such problems can be an issue where actions and decisions can be made on a sub-second (or sub-millisecond) time-frame.

0005Electronic data feeds allow users to receive electronic updates from data sources. Such electronic feeds are generally public an used in many different environments, from the scoreboard of a golf tournament, to RSS feeds on the world wide web, to data feeds provided from electronic exchanges for market data. In the context of transactional processing, such electronic data feeds can provide updates regarding how individual transactions have been processed and/or messages that indicate how the transactions have been processed in aggregate.

0006Electronic exchanges make use of electronic market data feeds to disseminate information to market participants concerning activity that has occurred in the exchange. One example of an electronic market data feed is Nasdaq's TotalView-ITCH (“TotalView”) protocol that Nasdaq provides to clients and associated computer systems. TotalView operates and sends event message data. This can allow for an efficient transfer of information from the exchange to the public. Specifically, instead of streaming the state of the entire book after each update, only the information on the limit order event that changes the order book is sent to market participants. For example, each limit order submission, cancellation, or execution can result in an individual event message being streamed to market participants. The total depth and view of the order book may be the sum of the (daily) history of limit order events or messages.

0007While this type of implementation can be beneficial in certain situations, it may not provide certain types of information that a client may consider useful. For example, consider a situation in which two orders are received by an exchange just a few microseconds apart. Both of the orders are buy orders for 500 at 100. In this type of scenario, it is possible that a public market data feed may report 500 shares were purchased at 100 and that 500 shares were added to an order book on the buy side at 100. In other words, one order was executed and one was placed into the order book. But in this situation, the computer system of the client that submitted the order may not be able to correlate or otherwise verify that the 500 share trade execution is related to their order or whether it was placed into the order book. Instead, they may need to wait until a trade confirmation is received through a private market data feed. Even though the time difference between reception of the private and public data feeds may be small, that difference may be crucial when high frequency trading algorithms operate on a microsecond basis.

0008Thus, in some instances, the nature of a particular electronic market data feed may not provide enough information for a market participant to know whether or not their order is reflected in the current (e.g., public or displayed) state of the order book.

0009Another problem is that protocols can operate at different speeds (e.g., have different latency). For example, “real-time” market data feed X may have a slightly different view on the state of an electronic order book than that shown with “real-time” market data feed Y. The state of the market may be different based on which market data feed (X or Y) is being relied upon. Again, while the time difference between these feeds may be small (either due to latency in the electronic communications that deliver the feed or the efficiency of the protocol), it can be enough to frustrate a market participant when the market appears to be in two different states at the same time.

0010Accordingly, new and more effective techniques for communicating data via electronic data feeds are needed.

SUMMARY

0011In certain example embodiments, an electronic exchange computing system is provided that includes a computer storage system, at least one transceiver, and a processing system. The storage system stores an electronic order book. The transceiver receives data transaction requests and transmits messages of an electronic data feed. The processing system generates an identifier, which may be referred to as a transaction identifier, for each received data transaction request. The identifier may be generated in a non-sequential and increasing manner such that it is greater than previously generated identifiers. The processing system handles the data transaction requests and generates electronic data feed messages based on how each data transaction request is handled. The electronic data feed message is sent to client computing systems and includes the generated identifier for a corresponding data transaction request. Successively generated identifiers may provide an indication, via the electronic data feed, as to the relative order in which the data transaction requests have been handled by the electronic exchange computing system.

0012In certain example embodiments, a transaction ID is included in a private data feed that is provided to a computing system of a customer. The private feed may be an acknowledgement message that the data transaction request has been received and/or that the data transaction request has been processed. With the transaction ID, a customer can identify which messages on the public data feeds are related to their previously submitted data transaction request. In certain instances, updates for a public feed may arrive at a customer computer before certain private feed messages. In such instances, the information on the public feed, by using the transaction ID, can be used to by a client computer system to correlate or otherwise recognize that the information relates to an order previously submitted a computer system of the client.

0013In certain example embodiments, an exchange may have multiple different market data feeds. In such instances, the generated transaction ID may be used across these different data feeds. The different information provided by the different market data feed may allow users to correlate messages in one data feed with messages in another data feed.

0014The features described herein may be combined to form additional embodiments and sub-elements of certain embodiments may form yet further embodiments. This summary is provided to introduce a selection of concepts that are further described below in the detailed description. This summary is intended neither to identify key features or essential features of the claimed subject matter, nor to be used to limit the scope of the claimed subject matter; rather, this summary is intended to provide an overview of the subject matter described in this document. Accordingly, it will be appreciated that the above-described features are merely examples, and that other features, aspects, and advantages of the subject matter described herein will become apparent from the following detailed description, figures, and claims.

BRIEF DESCRIPTION OF THE DRAWINGS

0015These and other features and advantages will be better and more completely understood by referring to the following detailed description of example non-limiting illustrative embodiments in conjunction with the drawings of which:

0016<figref idref="DRAWINGS">FIG. 1</figref> illustrates a non-limiting example function block diagram of a computer-implemented exchange system that implements an example transaction ID generator and market data feed according to certain example embodiments;

0017<figref idref="DRAWINGS">FIG. 2</figref> shows a signaling diagram of generating a transaction ID for a new order according to certain example embodiments;

0018<figref idref="DRAWINGS">FIGS. 3A and 3B</figref> shows a signaling diagram of generating and using a transaction ID in a market data feed according to certain example embodiments;

0019<figref idref="DRAWINGS">FIGS. 4A and 4B</figref> shows a signaling diagram of generating and using a transaction ID in another type of market data feed according to certain example embodiments; and

0020<figref idref="DRAWINGS">FIG. 5</figref> is an example computer system according to certain example embodiments.

DETAILED DESCRIPTION

0021In the following description, for purposes of explanation and non-limitation, specific details are set forth, such as particular nodes, functional entities, techniques, protocols, etc. in order to provide an understanding of the described technology. It will be apparent to one skilled in the art that other embodiments may be practiced apart from the specific details described below. In other instances, detailed descriptions of well-known methods, devices, techniques, etc. are omitted so as not to obscure the description with unnecessary detail. Section headings are used throughout this Detailed Description solely in order to orient the reader as to the general subject matter of each section; as will be seen in the following text, the description of many features spans multiple sections, and headings should not be read as affecting the meaning of the description included in any section. For example, the inventors contemplate combinations of features that are discussed more than one of the sections.

Overview

0022In certain example embodiments, transaction identifiers (transaction IDs) are generated for each data transaction request (e.g., a request to buy or sell a security at a price, modify an existing order, cancel an order, etc. . . . ) received by an electronic exchange. In certain example embodiments, transaction IDs are incremented in a non-sequential manner on a security, order book, or type of security basis. For example, a newly generated transaction ID will be greater than all previously generated transaction IDs (e.g., for a given security or order book within a given time period) and it will be less than all subsequently generated transaction IDs. As explained in greater detail below, transaction IDs allow market participants to know or infer what information is known to the broader or public market (e.g., other market participants) in connection with a previously submitted data transaction request. In certain example embodiments, the transaction ID is generated to indicate the relative order in which successive data transaction requests (e.g. for a given instrument) are handled by an electronic exchange computing system.

0023<figref idref="DRAWINGS">FIG. 1</figref> shows an example exchange computing system in function-block form where the functions may be implemented on, for example, the example computer system shown in <figref idref="DRAWINGS">FIG. 5</figref>. <figref idref="DRAWINGS">FIG. 2</figref> shows a first example of how a transaction ID may be generated and transmitted when an order is submitted to an electronic exchange computing system from a client computing system. <figref idref="DRAWINGS">FIGS. 3A and 3B</figref> show a second example process related to generation and transmission of a transaction ID. In particular, these figures show an example where an incoming order is matched against two pending orders. These are two separate matches (or trades), but the updates for both orders that are provided via an electronic data feed include the same transaction (e.g., that is associated with the incoming order). <figref idref="DRAWINGS">FIGS. 4A and 4B</figref> show a third example process for the generation and transmission of transaction IDs. These figures illustrate where two incoming orders are received in close temporal proximity (e.g., the orders are received within a time period before there is a public notification of the submission of either order) and the resulting benefits of having a transaction identifier included in the electronic data feeds.

Description of FIG.

1

0024By way of introduction, <figref idref="DRAWINGS">FIG. 1</figref> illustrates a non-limiting example function block diagram of a computer-implemented exchange system <b>100</b> (“exchange” <b>100</b> hereafter) that implements an example transaction ID generator <b>116</b> and electronic market data feed <b>113</b> according to certain example embodiments. Exchange <b>100</b> may be implemented on one or computer computing servers or systems; such as the computer system shown in <figref idref="DRAWINGS">FIG. 5</figref>.

0025Exchange <b>100</b> includes network interface <b>106</b> for communicating with client systems <b>102</b> that submit data transaction requests, such as electronic order <b>104</b>. Client systems <b>102</b> can be personal computers, mobile devices, automated computer systems, and the like. Generally, client systems <b>102</b> are any computer system programmed to interface with exchange <b>100</b> for the purpose of submitting data transaction requests, such as electronic orders <b>104</b>.

0026Electronic data messages are submitted to exchange <b>100</b> via network interface <b>106</b> and include data transaction requests (e.g., a data transaction request to match a requested order to a pending, or future, contra-side order). Data transaction requests (e.g., electronic orders) can include various fields or attributes. Some fields may include, for example, a client ID that identifies the client (e.g., a company, person, etc. . . . ) sending the request, an instrument ID that identifies a particular instrument (e.g., a ticker symbol or the like), transaction type ID that may identify, for example, whether the request is associated with a sell or buy instruction, an order attribute that specifies whether this a regular order, a discretion order, a midpoint order, or the like, a quantity value that indicates the quantity of the order, a MinOrder value that indicates a minimum order amount that this order can be matched against, a price value that indicates a particular price for the order subject to the data transaction request, and whether the order is a “buy” or “sell” order (e.g., which side of the electronic order book is the new order going to interact with). In certain examples, other fields may be defined in the electronic order and/or some may be optional.

0027Once a data transaction request is received at network interface <b>106</b>, it is passed to transaction request handler <b>107</b> for validation. Transaction request handler <b>107</b> validates newly received data transaction requests by confirming the fields in a request are valid. For example, certain types of orders may require a minimum order size. In accordance with such a requirement, transaction request handler <b>107</b> will perform a check to ensure the minimum order size has been satisfied. If the validation check fails, a response message may be transmitted back to the submitting client system <b>102</b> indicating that the order has been rejected and an explanation (e.g., an error code) as to why the order failed.

0028If the order is valid, transaction request handler <b>107</b> may then coordinated with (e.g., request) the transaction ID generator <b>116</b> to generate a unique transaction ID for the newly received data transaction request. In certain example embodiments, the generated ID may be unique for a particular instrument, an instrument type, an order book type for a particular instrument, and/or for a trading day for a given instrument (e.g., each day the transaction ID numbers reset to a base number, such as “1”). <figref idref="DRAWINGS">FIGS. 3 and 4</figref>, discussed in detail below, show an example of how a transaction ID may be generated for each newly received data transaction request. In certain example embodiments, transaction ID generator <b>116</b> generates a number that is greater than a previously generated transaction ID. In certain example embodiments, the number is not sequential with the prior number. For example, a first transaction ID may be “1” and the next transaction ID may be “5,” with the next transaction ID being “7.” In certain example embodiments, the generation of a transaction ID may be random or pseudo random. In other words, the next transaction ID may be “randomly” selected from a range of 20 (e.g., 20-39). A transaction ID generated for a data transaction request may be stored along with other details of a corresponding order and may be incorporated into an entry of the order into electronic order book <b>110</b>. In certain example embodiments, transaction ID generator <b>116</b> may reset each day (e.g., such that the first transaction ID generated each day is the lowest transaction ID for that day, but not necessarily lower than the prior day).

0029Both transaction request handler <b>107</b> and transaction ID generator <b>116</b> may be a combination of suitable software that configures or programs a hardware process or just hardware (e.g., a suitably designed application-specific integrated circuit or field programmable gate array).

0030After generating a transaction ID for the newly submitted data transaction request, an acknowledgement message <b>118</b> may be generated and transmitted back to the order submitting client system <b>102</b> by using network interface <b>106</b> (or another network interface). The contents of the acknowledgement message may include an order identifier that is unique for the order and a transaction ID that is unique for the transaction that may be performed with the data transaction request associated with the order. In certain examples, an order ID is an identifier that is associated with an order for the length of its existence within the exchange. For example, the order ID will remain the same if the order is added to the electronic order book and remains in the book for several hours. In contrast, the transaction ID may be an identifier that is assigned to the data transaction request associated with the order. A data transaction request is generally a request that the exchange do something and more specifically can be a request to interact with the electronic order book for a security in some manner (e.g., add an order, update an order, cancel an order, execute an order, etc. . . ). Accordingly, while the order ID of an order may remain the same, an order ID may end up being associated with different transaction IDs if there are multiple data transaction requests placed by the same client (e.g., multiple data transaction requests are associated with the same client ID) for that order. For example, an order with ID <b>1</b> may be added and have a transaction ID of 2 for that data transaction request (adding the order). Order ID <b>1</b> may then be modified and this further data transaction request may have an ID of 27. Next, the customer may cancel order ID <b>1</b> and that data transaction request may have a transaction ID of 74.

0031After (or in conjunction with) the transmission of the acknowledgement message that includes the transaction ID, the new data transaction request (e.g., to add an order) is passed to the matching engine processor <b>108</b>. For newly received aggressive orders, matching engine processor <b>108</b> will attempt to match against contra-side resting or passive orders in electronic order book <b>110</b>. In certain example embodiments, the transaction request handler (or another component) will interact directly with electronic order book to, for example, modify or cancel an order (e.g., if the data transaction request is for modifying or canceling).

0032Matching engine processor <b>108</b> can be a combination of hardware (e.g., a hardware processor, such as a central processing unit) and software or just hardware (e.g., a suitably designed application-specific integrated circuit or field programmable gate array). In certain example embodiments, in addition or alternatively to matching incoming aggressive orders, the matching engine processor may attempt to match orders already stored in the electronic order book <b>110</b> (e.g., two “resting” or “passive” orders). For example, market conditions (e.g., the state of the order book for a particular instrument) may change and cause two orders that were previously stored in the order book to match (or cross). In response to such a change, matching engine processor <b>108</b> may identify two orders that can match and trigger the execution of a trade between those two orders. In certain example embodiments, each security and/or electronic order book is assigned its own matching engine processor. In such instances, one matching engine per order book may be implemented and deployed. Such implementations may provide parallelism benefits and allow an exchange to handle tens, hundreds, thousands, or even millions of different securities (or order books) and millions or billions of trades each day.

0033Electronic order book <b>110</b> can be a data structure (e.g., a database, flat file, list, etc. . . . ) that holds multiple entries in electronically accessible memory (e.g., RAM, cache, registers, hard disk drives, etc. . . . ). Typically, an electronic order book has two sides, side X and side Y, which can be bid and offer/ask or buy and sell sides for the same instrument in the same electronic order book. The type of instrument that the order book is associated with can vary based on implementation and can include, for example, bonds (e.g., U.S. treasury notes of various denominations), stocks, and the like.

0034In certain example embodiments, processes performed by exchange <b>100</b> (e.g., matching, modifying, or canceling orders) in response to submitted data transaction requests may cause electronic data feed manager <b>115</b> to generate messages that are transmitted as part of market data feed <b>113</b> to other client systems <b>114</b> (e.g., other market participants) via network interface <b>112</b>. As discussed herein, an example of a market data feed is the ITCH protocol from Nasdaq. An example protocol according to certain example embodiments is set forth below. Such protocols may generate (in correspondence with the exchange) messages for market data feeds. For example, a trade execution message (if the order is matched) may be included in market data feed <b>113</b>. The trade execution message may include a transaction ID that is associated with the aggressing order and an order ID of the resting order that was matched. In certain example embodiments, an exchange has plural types of market data feeds that can provide different types of information for customers and their computing systems. In certain example embodiments, messages related to the processing of data transaction requests include a corresponding transaction ID. In certain examples, the information for correlation between an order ID and the transaction ID is only explicitly provided to the order submitting computer system (e.g., <b>102</b>). This information may allow computer systems of the client to perform a correlating process to identifier messages on the electronic market data feeds (e.g., that are public) that may be attributed to data transaction requests from the client.

0035In certain example embodiments, one or more computer systems of a client that receive multiple different data feeds may be configured to automatically correlate information from the different data feeds based on identification of the same transaction ID within those data feeds. For example, when an order is initially submitted and a transaction ID is returned to the client computer system, that data may be added to a database (e.g., as discussed in connection with <figref idref="DRAWINGS">FIG. 5</figref>). A first computer system of the client may receive information from a first electronic data feed (e.g., that is public). This information may include transaction ID information (or other information related to order book activity) and may be added to the database. The first computer system (or another computer system) of the client may receive updates via a second electronic data feed that may also include transaction ID information. Those updates may also be added to the database. An analysis or correlation process may be performed (e.g., automatically) against the database to identify electronic data feed updates that can be attributed to a given transaction ID. In certain example embodiments, the results of the analysis or correlation process may cause an alert, notification, or the like to be generated (e.g., sent via email, SMS, text, a popup in an application or as part of a browser application, etc. . . . ). In certain example embodiments, the information may be used to generate a display (e.g., that may be in real-time) of the market. Such a display may show the status of the order book as represented by a combination of the updates from multiple public data feeds and the one or more private data notifications sent to computer systems of the client. The display may be shown on a monitor, television, screen of a mobile device, etc. . . .

0036In certain examples, multiple different data fees may provide information to computing systems of customers at different speeds (e.g., the latency for transmission of market data updates may be different). In certain examples, one feed may provide information faster related to one kind of action taken by the exchange and another feed may provide information faster related to another kind of action taken by the exchange. In such circumstances, clients may program their computer systems to take automatic market actions (e.g., the submission of a new trade) based on this received information (e.g., updates received from one or more, or two or more, public electronic data feeds).

0037For example, a transaction ID generated for a submitted order (a data transaction request) is known to the submitter of the order (e.g., because it is included in the acknowledgement or confirmation message), the order submitter may then know if orders that are updated on a public data feed have a higher or lower transaction ID. A lower transaction ID may indicate that other market participants do not yet “know” about the newly submitted order. A higher number will reflect that the order has been processed and is now part of the public “book” for the particular instrument. Other market participants may not be able to perform such correlations (e.g., because they are not the recipient of a confirmation message that includes the transaction ID).

0038In certain example embodiments, a transaction ID for a newly received data transaction request is only saved for the processing of that request (e.g., while the matching processor is attempting to find a match for an order). If no match is found and the order is placed into the order book, then the transaction ID is no longer relevant. Alternatively, the transaction ID may be saved for later use (e.g., in a lookup table of a database that associates generated transaction IDs with order IDs).

Description of FIG.

2

0039<figref idref="DRAWINGS">FIG. 2</figref> shows a signaling diagram for generating a transaction ID for a new order according to certain example embodiments. At step <b>200</b>, a computer system of client <b>250</b> submits a new electronic data transaction request to exchange <b>100</b>. The electronic data transaction request includes a request to “buy” 5 of stock X at a price of 100. The following are example data fields that may be included in the request at step <b>200</b>.

0000<tables id="TABLE-US-00001" num="00001"><table frame="none" colsep="0" rowsep="0"><tgroup align="left" colsep="0" rowsep="0" cols="1"><colspec colname="1" colwidth="217pt" align="center" /><tbody valign="top"><row><entry namest="1" nameend="1" align="center" rowsep="1" /></row><row><entry>Example Data Transaction Request</entry></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="5"><colspec colname="1" colwidth="35pt" align="center" /><colspec colname="2" colwidth="49pt" align="center" /><colspec colname="3" colwidth="63pt" align="center" /><colspec colname="4" colwidth="28pt" align="center" /><colspec colname="5" colwidth="42pt" align="center" /><tbody valign="top"><row><entry>Client ID</entry><entry>Instrument ID</entry><entry>Transaction Type ID</entry><entry>Price</entry><entry>Quantity</entry></row><row><entry namest="1" nameend="5" align="center" rowsep="1" /></row><row><entry>250</entry><entry>“X”</entry><entry>Bid</entry><entry>100</entry><entry>5</entry></row><row><entry namest="1" nameend="5" align="center" rowsep="1" /></row></tbody></tgroup></table></tables>

0040Exchange <b>100</b> receives the transmitted request and then generates, at step <b>202</b>, an order ID for the new order and a transaction ID for the transaction that will be performed with this order. In this example, the transaction ID is “1.” In certain example embodiments, a value of 1 may indicate that this is the first transaction for this instrument to be performed for a trading day (or some other predefined time period—e.g., an hour, a 24-hour day, a week, a quarter, etc. . . . ). If will be appreciated that other types of sequencing for the transaction IDs may be contemplated. For example, the transaction IDs may be sequenced to decrease instead of increase (e.g., −1, −5, etc. . . . ). In such embodiments, transaction IDs that are lower may correspond to more recent transaction performed on the exchange. In certain example embodiments, a transaction ID is calculated so that it increases but is not sequential. The transaction ID may be calculated on a per security and/or matching engine basis.

0041After generation of the order ID and transaction ID, exchange <b>100</b> will generate and transmit a confirmation message to a computer system of client <b>250</b> at step <b>204</b>. The confirmation message may include the recently generated order ID and the generated transaction ID of “1”. In certain instances, this confirmation or acknowledgement message is sent over a “private” electronic market data feed (e.g., one that is only provided to the order submitting customer). Generally private electronic market data feeds are used to provide market participants with information specific to their orders that are not included on public electronic market data feeds (e.g., an indication of a total size of an order that includes hidden size or the discretion price of an order).

0042At step <b>206</b>, the matching engine of exchange <b>100</b> performs a matching process by attempting to find a match for the order against contra-side orders that are resting in the electronic order book. In this example, the matching process does not find a match and the order is added to the electronic order book for that instrument.

0043As a result of adding the order to the book, an add order message (e.g., Table 11 in the below discussed example protocol specification) for a “public” (e.g., available to subscribing customers) electronic market data feed is generated by exchange <b>100</b> at step <b>208</b>. Clients <b>250</b>, <b>252</b>, and <b>254</b> subscribe to the electronic market data feed and their computer systems receive updates based on actions taken by exchange <b>100</b>. The updates are continuously transmitted by exchange <b>100</b> (or a corresponding computer system) and thus can be considered a “feed” of electronic information.

0044The add order message generated for the electronic market data feed includes the order ID for the order and the transaction ID generated in step <b>202</b>. As each of clients <b>250</b>, <b>252</b>, and <b>254</b> subscribe to and receive (via respective computer systems) updates for the electronic market data feed, they will each receive the “add order” message that includes the order ID and transaction ID. As shown in <figref idref="DRAWINGS">FIG. 2</figref>, while all of computers for these clients receive the same message, the “meaning” of this message may be different depending on the other information that is known or otherwise stored in computer systems of the respective clients. Here, the computer system of client <b>250</b> may be able to identify (e.g., via an automatic and/or programmatic process) that a previously submitted order has been added to the order book. In contrast, the computer systems of clients <b>252</b> and <b>254</b> may only have sufficient information to know (e.g., programmatically determine) that an order has been added to the order book, but not enough information to know who (e.g., which client ID) the order belongs too.

Description of FIGS.

3

A and

3

B

0045<figref idref="DRAWINGS">FIGS. 3A and 3B</figref> show a signaling diagram of generating and using a transaction ID in a market data feed according to certain example embodiments.

0046In step <b>300</b>, a new electronic data request is submitted from a client computer system (associated with client <b>250</b>) to exchange <b>100</b>. The electronic data request includes an order to buy 100 of instrument X at a price of 100. In response to reception of the order by the exchange, an order ID and transaction ID are generated at step <b>302</b>. Once these identifiers are generated, a confirmation message is sent back to a computer system of client <b>250</b> at step <b>304</b> with the newly generated order ID and transaction ID.

0047In step <b>306</b>, exchange <b>100</b> may attempt to match the order received in step <b>300</b> with orders that are resting in the electronic order book of the exchange. In certain example embodiments, this step is carried out in parallel or asynchronously (e.g., another process or thread) with the creation and transmission of the confirmation message back to a computer system of client <b>250</b>. In certain example embodiments, steps <b>304</b> and <b>306</b> are serially or synchronously performed. In any event, in step <b>306</b>, the exchange attempts to match the new order and does not succeed (e.g., there are no resting “offer” orders for 100 in the electronic order book). Because no match is found, the order is added to the buy side of the electronic order book at the indicated price (100) with the specified size (100).

0048In accordance with adding the new order to the order book, exchange <b>100</b> may generate (in step <b>308</b>) an add order message for a market data feed. It will be appreciated that other types of messages may be generated according to how different market data feeds operate. In general, when a transaction occurs with the order (e.g., a match, adding to the order book, cancelation, or any other action that affects the order book for a security) the transaction ID may be included in a message that is sent out for that transaction for the given electronic market data feed. Examples of different messages for an example market data feed protocol are discussed below.

0049In step <b>310</b>, a new electronic data request is submitted from a client computer system (client <b>252</b>) to exchange <b>100</b>. The electronic data request includes an order to buy 5 of instrument X at a price of 100. In response to reception of the order by the exchange, an order ID and transaction ID are generated at step <b>312</b>. Once these identifiers are generated, a confirmation message is sent back to a computer system of client <b>252</b> at step <b>314</b> with the newly generated order ID and transaction ID.

0050In step <b>316</b>, exchange <b>100</b> may attempt to match the order received in step <b>310</b> with orders that are resting in the electronic order book of the exchange. No match is identified for the new order and the order is added to the buy side of the electronic order book at the indicated price (100) with the specified size (5).

0051In step <b>318</b>, an add order message is generated and will include the transaction ID and the order ID that was assigned to this new order. The add order message is then transmitted as part of an example electronic market data feed to computer systems of clients <b>250</b>, <b>252</b>, and <b>254</b> (e.g., similar to <figref idref="DRAWINGS">FIG. 2</figref>). As noted above, other market data feeds may generate and transmit other types of messages. These further electronic data feed messages may include at least the transaction ID (e.g., 4 in this example).

0052When the add order message is received and processed by computer systems of the clients, the computer system of client <b>250</b> may have information to positively identifier that client <b>250</b>'s order (associated with transaction ID <b>1</b>) is prioritized ahead of (assuming the electronic order book is sorted on a price/time priority) the order associated with client <b>252</b>.

0053In step <b>320</b>, a computer system of client <b>254</b> submits an electronic data request that includes an order to sell 105 of instrument X and 100. In step <b>322</b>, an order ID (<b>3</b>) and transaction ID (<b>7</b>) are generated for the new order and subsequently transmitted to a computer system of client <b>254</b> in step <b>324</b>.

0054In step <b>326</b>, exchange <b>100</b> attempts to match order ID <b>3</b> (sell 105 of X at 100) with contra-side orders (e.g., order IDs <b>1</b> and <b>2</b> that were added in steps <b>306</b> and <b>316</b>) resting in the electronic order book. During the process, the matching engine of exchange <b>100</b> will match the 105 of order ID <b>3</b> with 100 of order ID <b>1</b> and then 5 of order ID <b>2</b>.

0055In certain example embodiments, when an aggressive order (e.g., order ID <b>3</b> in this case) is matched against multiple passive orders, it is treated as one “transaction” (e.g., transaction ID <b>7</b>) and the subsequent electronic data feed messages generated use the same transaction ID to indicate that these orders were matched in the same “transaction.” Here, there are two order executed messages for the execution of order <b>3</b>, and the same transaction ID is included in both messages. This information may indicate that both resting orders were filed by the same contra-order. Accordingly, electronic data feed message <b>328</b><i>a </i>is generated for the first match and includes order ID <b>1</b> and transaction ID <b>7</b>. Computer systems that receive this message may then have sufficient data to programmatically determine that passive order <b>1</b> was executed with an aggressive order that was associated with transaction ID <b>7</b>. However, of the computer systems that receive electronic data feed updates, only computer systems associated with client <b>254</b> may be able to programmatically correlate the details of the order associated with transaction ID <b>7</b>. An example order executed message may include messages as set forth in the below discussed example protocol specification (e.g., Tables 12, 13, and/or 14).

0056Similarly, electronic data feed message <b>328</b><i>b </i>is generated for the second match and includes order ID <b>2</b> and transaction ID <b>7</b>. Upon receiving this message, client computer systems may be able to programmatically determine that an aggressive order with at least 105 hit against both order ID <b>1</b> and order ID <b>2</b>. However, only the computer systems of client <b>254</b> may have information (e.g., via updates provided from a private data feed) on the details of the aggressive order associated with transaction ID <b>7</b>.

0057In certain example embodiments, order execution messages for an electronic data feed may not identify the aggressive order by order ID. Instead, for these updates computer systems may only receive information that indicates an order known to the computer system has been acted upon based on the included transaction ID. In certain example embodiments, messages may only identify the buy or sell side of a particular order book when order execution messages are generated. Thus, for example, the order ID of an aggressive sell order may not be included in a market data feed message because it is a sell order (as opposed to be being an aggressive order).

0058In step <b>330</b>, other notifications are sent. These notifications can include notifications <b>330</b>A, <b>330</b>B, <b>330</b>C that are private messages that include further order details for the respective transactions.

0059In step <b>332</b>, other electronic market data feeds may generate and provide updates to computer systems of subscribing clients. Such updates may be based or generated from the transaction(s) that was just performed against the electronic order book using order ID <b>3</b>. For example, a market data feed may provide updates that include a total available volume at a given price level in the order book. Each update may provide a new total available volume. Such message updates may include a transaction ID.

0060It will be appreciated that the order of steps (<b>328</b><i>a, </i><b>328</b><i>b, </i><b>330</b>, and <b>332</b>) in <figref idref="DRAWINGS">FIGS. 3A and 3B</figref> may be switched based on application need, latency, ran conditions, or other factors (e.g., the processing for step <b>330</b><i>a </i>finishes before the processing for step <b>328</b><i>a</i>). Thus, for example, private notification <b>330</b><i>a </i>may be first followed by generation and transmission of an order execution message in step <b>328</b><i>a. </i>

0061In another example, consider a situation where another client sent in, via a computer system, another order (Sell 105 of X at 100) right after client's <b>256</b> order (e.g., milliseconds or seconds apart) and before steps <b>328</b><i>a </i>and <b>328</b><i>b. </i>The new data transaction request received from the computer system of the other client may be assigned a transaction ID of 13. Thus, when a computer system of the other client receives the market data feed messages as indicated in steps <b>328</b><i>a </i>and <b>328</b><i>b </i>(with transaction ID=7), it will have information to determine the displayed order execution is not for the order that it (or another computer system of the other client) previously submitted. It will be appreciated that the time difference between the various steps shown in <figref idref="DRAWINGS">FIGS. 3A and 3B</figref> may be less than one second, one millisecond, one microsecond, or even less.

Description of FIGS.

4

A And

4

B

0062<figref idref="DRAWINGS">FIGS. 4A and 4B</figref> show another signaling diagram of generating and using a transaction ID according to certain example embodiments.

0063In step <b>400</b>, a new data transaction request to sell 100 of X at 101 is received from a computer system of client <b>252</b>. The included order indicates that only 10 of the total 100 quantity is to be displayed. In step <b>402</b>, an order ID (<b>1</b>) and transaction ID (<b>1</b>) may be generated. In step <b>404</b>, the order ID and transaction ID are sent to a computer system of client <b>252</b>.

0064At step <b>406</b>, close behind the reception of order ID <b>1</b>, another data transaction request is received to sell 500 of X @ 101 from a computer system of client <b>250</b>. In step <b>408</b> a new order ID (<b>2</b>) and transaction ID (<b>5</b>) are generated and returned to a computer system of the client in step <b>410</b>. In step <b>412</b>, exchange <b>100</b> may attempt to find a match for order ID <b>1</b>. As no match is found, order ID <b>1</b> is added to the electronic order book.

0065As discussed herein, there may be different types of electronic market data feeds that can be used by an exchange. In the example in <figref idref="DRAWINGS">FIGS. 4A and 4B</figref> the electronic market data feed is size (and price) based as opposed to order based. The market may report the total (or displayed) size available at all prices (e.g., displayable prices) that are in the electronic order book. Accordingly, in step <b>414</b>, in accordance with addition of order ID <b>1</b> to the order book, a total size message is generated and sent to computer systems of the respective clients via the public electronic market data feed. The total size message includes the transaction ID associated with the request for order <b>1</b> along with the size at the price of order ID <b>1</b>. As there are no other orders at 101, the total size of the security at 101 is 10. Of course, depending on product requirements, other types of data messages may be generated at this point (e.g., an add order data message as shown in Table 11 of the below protocol specification).

0066In certain example embodiments, plural electronic market data feed types may be used for one order book, security, or exchange. Different types of feeds may be subscribed to by different customers and provide different types of information for customers. Thus, multiple market data messages for different market data feeds may be generated for one transaction. For example, a total size message and an add order message may be used in response the addition of an order (e.g., Order ID <b>1</b>) to an order book.

0067In step <b>416</b>, exchange <b>100</b> then attempts to match order ID <b>2</b> with orders resting in the order book. As with order ID <b>1</b>, there are no matches, and order ID <b>2</b> is added to the electronic order book of exchange <b>100</b>. In accordance with the addition of order ID <b>2</b> to the electronic order book, in step <b>418</b> another total size message is generated and sent to computer systems of clients <b>250</b>, <b>252</b>, and <b>254</b>. This new message includes transaction ID <b>5</b>, the total size at a price of 101 for that security, and a value that indicates the side of the order book that this offer is on (the sell side in this example).

0068In step <b>420</b>, a computer system of client <b>252</b> submits another electronic data transaction request to increase the total size, but not the displayed size, of order ID <b>1</b> to 500 (from 100). In response to this request and in step <b>422</b>, exchange <b>100</b> generates a transaction ID (<b>7</b>) for this transaction. In certain example embodiments, a new order ID is not generated as there is already an order ID (<b>1</b>). Instead, only a transaction ID is generated for this new data transaction request. In certain example embodiments, a new order ID may be generated and either supplement or replace order ID <b>1</b>. In any event, a transaction ID of 7 is generated because the requested data transaction requested will modify or “touch” the electronic order book (e.g., by increasing the amount that is available for trading). In certain example embodiments, a transaction ID is generated and associated with each such request. In step <b>424</b>, a responsive confirmation message that includes the transaction ID is generated and transmitted to a computer system of client <b>252</b>.

0069Unlike prior data transaction requests, the request to increase the hidden size of an order does not generate a message for a public market data feed because it is modifying a hidden or “dark” property of the order and will not affect the publically displayed aspects of the order book (e.g., the displayed size of the security is not changed). Thus, computer systems of other clients (e.g., <b>250</b> or <b>254</b>) are not provided with any information over the market data feeds that could indicate the true size of order ID <b>1</b>.

0070In step <b>430</b>, an electronic data request to buy 900 of X at 101 is received from a computer system of client <b>254</b>. An order ID (<b>3</b>) and transaction ID (<b>12</b>) are generated for this order in step <b>432</b> and transmitted, at step <b>434</b>, to a computer system of client <b>254</b>.

0071In step <b>436</b>, an electronic data request to buy 500 of X at 101 is received from a computer system of client <b>256</b>. An order ID (<b>4</b>) and transaction ID (<b>17</b>) are generated for this order in step <b>438</b> and transmitted, at step <b>440</b>, to a computer system of client <b>256</b>.

0072In step <b>442</b>, exchange <b>100</b> attempts to match order ID <b>3</b> with resting orders of the electronic order book. In this example, two matches are found. The first is a match against order <b>1</b> for 500 (the full amount of the order) and the second match is against order <b>2</b> for 400, which leaves 100 remaining for order <b>2</b> in the order book. In certain example embodiments, once a match is found (e.g., the first match), a message is generated for the market data feed(s). Subsequently, the second match may be found and a corresponding message generated for the second match. In certain example embodiments, all matches are found, then all messages are generated for those matches.

0073In any event, in accordance with the two executed trades, multiple total size messages are generated and sent in steps <b>444</b><i>a </i>and <b>444</b><i>b. </i>Both of these messages include the transaction ID (<b>12</b>) associated with order ID <b>3</b>. The message in step <b>444</b><i>a </i>is generated in response to matching 500 of order <b>3</b> to the 500 size of order <b>1</b>. Order <b>1</b>, as discussed above, had a displayed size of 10 with a total size of 500. As a result of this match, the generated message in step <b>444</b><i>a </i>has a transaction ID of 12, a size of 500 (the remaining size from order <b>2</b>), and the indicated price or level (<b>101</b>). At this point (e.g., when a computer system of client <b>254</b> receives the message generated in step <b>444</b><i>a</i>), the computer system of client <b>254</b> has information to determine that 10 of the submitted order for 900 was executed. A computer system of client <b>254</b> will receive confirmation through a private feed (e.g., in step <b>450</b>) that 490 of the order for 900 was fulfilled via a hidden order. In contrast, the computer systems of the other clients (other than client <b>252</b>) will not be provided with information that more than 10 was actually traded. In certain example embodiments, other client computer systems may be notified regarding the full trade amount. In certain example embodiments, an electronic data feed may provide updates in the form of a total traded volume and/or an available volume at a best bid/offer or another bid/offer price.

0074In certain example embodiments, a generated order execution message for order <b>1</b> may also be provided and may include the amount that was displayed for order <b>1</b> (e.g., 10). In certain example embodiments, no market data feed message is generated (e.g., the entire trade occurs in the dark or is hidden). For example, if order <b>1</b> was an entirely dark order (all 500 being hidden), no message would be generated for the public electronic market data feeds.

0075The inclusion of the transaction ID in the messages in steps <b>444</b><i>a </i>and <b>444</b><i>b </i>can provide information to, for example, a computer system of client <b>256</b> as well. For client <b>256</b>, despite having an order already submitted to exchange <b>100</b> (prior to processing in <b>442</b>), a computer system of client <b>256</b> may be able to programmatically determine that the first size message does not relate to order <b>4</b> because the transaction ID in the message <b>12</b> and not <b>17</b>. Accordingly, a computer system of client <b>256</b> may determine (e.g., programmatically) that the total size messages are not a result of the execution of order <b>4</b> and also determine that an order has yet to be processed (or at least an indication of its processing has not been provided through the market data feeds).

0076Returning to <figref idref="DRAWINGS">FIG. 4B</figref>, in step <b>444</b><i>b </i>the exchange matches the remaining 400 of order <b>3</b>, and generates another message that indicates 100 is remaining at the price level of 101. In step <b>446</b>, exchange <b>100</b> attempts to match order <b>4</b> with orders resting in the order book. As there is 100 of order <b>2</b> left over from the match in step <b>442</b>, another match is identified for 100.

0077In step <b>448</b><i>a, </i>another total size message is generated and sent out via the electronic market data feed with information that order <b>2</b> was executed for a size of 100 with transaction ID <b>17</b>. There are no more matches at the price level of 101.

0078As there is 400 remaining in size for order <b>4</b>, the remaining size is added to the order book. This add action also generates a market data feed update at step <b>448</b><i>b. </i>A total size message indicates that there is now 400 on the buy size at a price level of 101. The transaction ID for the message is also <b>17</b> as the exchange treats the addition of left over size to an order book and matching of the order as the same transaction (e.g., it is concerned with the same aggressive order). In certain example embodiments, different types of market data feed messages may generate and use different transaction IDs. For example, messages <b>448</b><i>a </i>and <b>448</b><i>b </i>may use different transaction IDs. In this case, the transaction ID generator may generate a new transaction ID and notify a computer system of the client of this new ID.

0079In step <b>450</b>, the exchange (or associated computing system) may generate and send private notification messages. As discussed above, such messages may include the full details of a trade or the details of hidden or dark trades. These messages may also include transaction ID. Thus, for example, an order execution message may be sent to a computer system of client <b>254</b> with a transaction ID of 12, that an order for 500 was completed, and only 10 of that 500 order was displayed.

Description of FIG.

5

0080<figref idref="DRAWINGS">FIG. 5</figref> is a block diagram of an exemplary computing system <b>500</b> according to certain example embodiments (e.g., an exchange computing system as described in <figref idref="DRAWINGS">FIG. 1</figref>, a user device as shown in <figref idref="DRAWINGS">FIG. 1</figref>, etc. . . . ). Computing system <b>500</b> includes a processing system <b>502</b> with CPU <b>1</b>, CPU <b>2</b>, CPU <b>3</b>, CPU <b>4</b>, a system bus <b>504</b> that communicates with RAM <b>506</b>, and storage <b>508</b>. The storage <b>508</b> can be magnetic, flash based (e.g., for a mobile client device), solid state, or other storage technology. A storage system may comprise cache memory that are on the computer chip of CPU <b>1</b>, RAM <b>506</b>, storage <b>508</b>, hardware registers, external systems <b>522</b>, and the like.

0081In certain example embodiments, an electronic order book may be stored in the storage system of the computing system. In certain examples, portions of the electronic order book and/or instructions for software functionality described herein may be concurrently stored one or more memory devices that include cache memory, RAM <b>506</b>, storage <b>508</b>, hardware registers, and/or external systems <b>522</b>.

0082In certain example embodiments, the processing system <b>502</b> is programmed (e.g., via a series of program instructions) to carry out the process and/or one or more of the steps/actions shown in <figref idref="DRAWINGS">FIGS. 2, 3A, 3B, 4A</figref>, and/or <b>4</b>B. In certain example embodiments, the processing system is programmed to achieve the results shown in <figref idref="DRAWINGS">FIGS. 2, 3A, 3B, 4A</figref>, and/or <b>4</b>B. In certain example embodiments, the processing system is programmed so that one core (e.g., CPU <b>1</b>) handles all processing for a given electronic order book (e.g., a first instrument), while another core (e.g., CPU <b>2</b>) handles processing for another electronic order book (e.g., a second instrument).

0083In certain example embodiments, the processing system is programmed to implement functionality associated with the transaction request handler <b>107</b>, the transaction ID generator <b>116</b>, the matching engine processor <b>108</b>, and/or the electronic data feed manager <b>115</b> as shown and described in connection with <figref idref="DRAWINGS">FIG. 1</figref>. Additionally, functionality may also be programmatically implemented for an example computing system.

0084The system bus <b>504</b> communicates with user input adapter <b>510</b> (e.g., PS/2, USB interface, or the like) that allows users in input commands to computing system <b>500</b> via a user input device <b>512</b> (e.g., a keyboard, mouse, touch panel, or the like). The results of the processing may be displayed to a user on a display <b>516</b> (e.g., an LCD) via display interface <b>514</b> (e.g., a video card or the like). In certain example embodiments, commands to computing system <b>500</b> may be provided via network interface <b>518</b> (discussed below). In certain example embodiments, representations of the electronic order book and/or processing of the electronic order book may be displayed on display <b>516</b> or a display that is communicatively coupled to computing system <b>500</b> via network interface <b>518</b>. In certain example embodiments, orders for an example exchange computing system implemented via computing system <b>500</b> may be directly entered via user input device <b>512</b>. Certain examples embodiments may include one or more user input adapters (e.g., a keyboard and mouse). Certain example embodiments may include one or more output devices (e.g. multiple monitors and/or multiple display interfaces).

0085The computing system <b>500</b> may also include a network interface <b>518</b> (e.g., a transceiver) to facilitate wired (e.g., Ethernet-802.3x) and/or wireless communication (WiFi/802.11x protocols, cellular technology, and the like) with external systems <b>522</b>, databases <b>520</b>, and other systems via network <b>524</b>. External systems <b>522</b> may include other processing systems, systems that provide third party services, etc. External systems <b>522</b> may be client devices or server systems.

0086In certain example embodiments, an electronic data feed may be provided to external computing systems via network interface <b>518</b> and use or be based on the ITCH protocol. For example, an exchange computing system may transmit, as part of an electronic data feed, electronic message to client computer systems. Respective client computing systems may receive such messages via an included network interface. The data included in the messages may be processed by a processor of the client computing system and incorporated into a data structure that is maintained by the client computing system that is either similar to the order book or different. In certain example embodiments, images (e.g., that represent total volume or a number of orders) may be generated and presented via displays coupled to the client computing system.

0087In certain example embodiments, messages for the electronic data feed (e.g., from an electronic exchange computing system) are formed based on the example specification discussed in more detail below. For example, processing system (e.g., via electronic data feed manager <b>115</b>), generates a message according to the below discussed specification based on changes to the electronic order book stored in the storage system of the electronic exchange. The generated message may then be transmitted, via network interface <b>518</b>, to other computing systems, such as client computer systems. Client computer systems may be programmed to receive such messages and, for example, store the received message to a database or incorporate the information into a visual representation of the electronic order book (e.g., to display the best bid and/or offer, the currently available quantity, outstanding orders for that client, etc. . . . ).

0088External systems <b>522</b> may also include network attached storage (NAS) to hold large amounts of data. External systems, along with the internal storage and memory, may form a storage system for storing and maintaining information (e.g., order book information, routing strategies, etc. . . . ). Such a system may communicate with users and/or other computing systems that process electronic order data messages. For example, an external system may be specifically programmed to provide market data feed updates to subscribing clients (e.g., computing systems of subscribing clients) based on changes to the order book managed by the exchange. The database <b>520</b> may include relational, object orientated, or other types of databases for storing information (e.g., order book information for a financial instrument).

0089In certain example embodiments, the storage system of the computer system may store instructions that cause one or more processors (e.g., the processing system) of the computer system to perform each or any combination of actions described herein as performed by, for example, an exchange computer system, a client computer system, and/or an external computer system.

0090In certain example embodiments, a method can include each or any combination of actions described herein as performed by an exchange computer system, including the exchange computer systems of <figref idref="DRAWINGS">FIGS. 1 and/or 5</figref>. In certain example embodiments, a method can include each or any combination of actions described herein as performed by a user device.

0091In certain example embodiments, a computing system includes each or any combination of the components shown as included in the exemplary computing system <b>500</b> of <figref idref="DRAWINGS">FIG. 5</figref>, where the each or any combination of the components are configured to perform the method(s) in the above paragraph(s) or the processes, steps, and/or actions shown in <figref idref="DRAWINGS">FIGS. 2-4B</figref>.

0092In certain example embodiments, a processor is configured or programmed to perform the method(s) above and/or the processes, steps, and/or actions shown in <figref idref="DRAWINGS">FIGS. 2-4B</figref>.

0093In other words, the processes, techniques, and the like, described herein (for client devices, server, exchange, and/or controller systems) may be implemented on a computing system. Such implementations may then configure or program the processing system to carry out aspects according to certain example embodiments. It will be appreciated that other architecture types may be used. For example, a single CPU may be used instead of multiple CPUS. Alternatively, a processing system may include multiple CPU “cores.” Further, the various elements shown in connection with <figref idref="DRAWINGS">FIG. 5</figref> may be included into one cohesive physical structure (e.g., such as a tablet device). The components and functionality shown in <figref idref="DRAWINGS">FIGS. 1-4B</figref> may be implemented on or in conjunction with the example computing system shown in <figref idref="DRAWINGS">FIG. 5</figref> (e.g., to thereby create a specific purpose computing machine).

0094Individual function or process blocks are shown in the figures. Those skilled in the art will appreciate that the functions of those blocks may be implemented using individual hardware circuits, using software programs and data in conjunction with a suitably programmed hardware, using applications specific integrated circuitry (ASIC), and/or using one or more digital signal processors (DSPs). The software program instructions and data may be stored on non-transitory computer-readable storage medium and when the instructions are executed by a computer, or other suitable hardware processor, control the computer or hardware processor to perform the functionality defined in the program instructions.

0095Although process steps, algorithms or the like may be described or claimed in a particular sequential order, such processes may be configured to work in different orders. In other words, any sequence or order of steps that may be explicitly described or claimed does not necessarily indicate a requirement that the steps be performed in that order. The steps of processes described herein may be performed in any order possible. Further, some steps may be performed simultaneously (or in parallel) despite being described or implied as occurring non-simultaneously (e.g., because one step is described after the other step). Moreover, the illustration of a process by its depiction in a drawing does not imply that the illustrated process is exclusive of other variations and modifications thereto, does not imply that the illustrated process or any of its steps are necessary to the invention(s), and does not imply that the illustrated process is preferred. A description of a process is a description of an apparatus for performing the process. The apparatus that performs the process may include, e.g., a processor and those input devices and output devices that are appropriate to perform the process.

0096Various forms of non-transitory, computer-readable media may be involved in carrying data (e.g., sequences of instructions) to a processor. For example, data may be (i) delivered from RAM or cache to a processor; (ii) or instructions for a process may be stored in an instruction register and loaded by a processor. Instructions and/or data may be carried or delivery over other types of transmission mediums (e.g., wire, wireless, optical, etc.) and/or transmitted according to numerous formats, standards or protocols, such as Ethernet (or IEEE 802.3), SAP, ATP, Bluetooth, and TCP/IP, TDMA, CDMA, 3G, etc.; Such transitory signals may be coupled to non-transitory media (e.g., RAM, cache, hard drive, a receiver, registers, etc. . . . ), thus transitory signals will be coupled to non-transitory media. The transitory and non-transitory signals, instructions, and/or data, may be encrypted to ensure privacy or prevent fraud in any of a variety of ways well known in the art.

0097The following are example messages and corresponding specification or protocol for delivery updates regarding changes to an electronic order book. In the below example protocol, a transaction ID field may be provided. This field may be populated with the transaction ID as discussed herein.

Example Protocol Specification

0000<tables id="TABLE-US-00002" num="00002"><table frame="none" colsep="0" rowsep="0"><tgroup align="left" colsep="0" rowsep="0" cols="1"><colspec colname="1" colwidth="217pt" align="center" /><thead><row><entry namest="1" nameend="1" rowsep="1">TABLE 1</entry></row></thead><tbody valign="top"><row><entry namest="1" nameend="1" align="center" rowsep="1" /></row><row><entry>Example Data Field Types</entry></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="3"><colspec colname="1" colwidth="35pt" align="left" /><colspec colname="2" colwidth="42pt" align="left" /><colspec colname="3" colwidth="140pt" align="left" /><tbody valign="top"><row><entry>Type</entry><entry>Size</entry><entry>Description</entry></row><row><entry namest="1" nameend="3" align="center" rowsep="1" /></row><row><entry>Alpha</entry><entry>Variable</entry><entry>Left justified and right padded.</entry></row><row><entry>Numeric</entry><entry>1, 2, 4 or 8</entry><entry>Unsigned integer encoded in network order.</entry></row><row><entry /><entry>bytes</entry><entry /></row><row><entry>Price</entry><entry>4 bytes</entry><entry>Signed integer encoded in network order. The</entry></row><row><entry /><entry /><entry>number of decimals is specified in the order</entry></row><row><entry /><entry /><entry>book directory message.</entry></row><row><entry>Date</entry><entry>4 bytes</entry><entry>Unsigned integer encoded in network order.</entry></row><row><entry /><entry /><entry>The value of the field is (year * 10000) +</entry></row><row><entry /><entry /><entry>(month * 100) + day. YYYYMMDD</entry></row><row><entry namest="1" nameend="3" align="center" rowsep="1" /></row></tbody></tgroup></table></tables>

0099In certain example embodiments, timestamps are sent in two separate parts. One part may be a standalone message that carries the current second (e.g., as recognized by an example exchange computer system) and another part may be a nanosecond field that is included in other message types. electronic order data messages.

0000<tables id="TABLE-US-00003" num="00003"><table frame="none" colsep="0" rowsep="0"><tgroup align="left" colsep="0" rowsep="0" cols="1"><colspec colname="1" colwidth="217pt" align="center" /><thead><row><entry namest="1" nameend="1" rowsep="1">TABLE 2</entry></row></thead><tbody valign="top"><row><entry namest="1" nameend="1" align="center" rowsep="1" /></row><row><entry>Example Timestamp Message Types</entry></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="3"><colspec colname="1" colwidth="63pt" align="left" /><colspec colname="2" colwidth="70pt" align="left" /><colspec colname="3" colwidth="84pt" align="left" /><tbody valign="top"><row><entry>Timestamp Portion</entry><entry>Message Type</entry><entry>Notes</entry></row><row><entry namest="1" nameend="3" align="center" rowsep="1" /></row><row><entry>Seconds</entry><entry>Standalone message</entry><entry>Unix time (number of</entry></row><row><entry /><entry /><entry>seconds since 1970-01-</entry></row><row><entry /><entry /><entry>01 00:00:00 UTC)</entry></row><row><entry /><entry /><entry>Note: a timestamp</entry></row><row><entry /><entry /><entry>second message may</entry></row><row><entry /><entry /><entry>be sent for every</entry></row><row><entry /><entry /><entry>second having at least</entry></row><row><entry /><entry /><entry>one other ITCH</entry></row><row><entry /><entry /><entry>message.</entry></row><row><entry>Nanoseconds</entry><entry>Field within individual</entry><entry>Reflects the number of</entry></row><row><entry /><entry>messages.</entry><entry>nanoseconds since the</entry></row><row><entry /><entry /><entry>most recently</entry></row><row><entry /><entry /><entry>communicated second.</entry></row><row><entry namest="1" nameend="3" align="center" rowsep="1" /></row></tbody></tgroup></table></tables>

0100In certain example embodiments, an example electronic timestamp data message of a second message type may have the following fields:

0000<tables id="TABLE-US-00004" num="00004"><table frame="none" colsep="0" rowsep="0"><tgroup align="left" colsep="0" rowsep="0" cols="1"><colspec colname="1" colwidth="217pt" align="center" /><thead><row><entry namest="1" nameend="1" rowsep="1">TABLE 3</entry></row></thead><tbody valign="top"><row><entry namest="1" nameend="1" align="center" rowsep="1" /></row><row><entry>Example Timestamp Message</entry></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="5"><colspec colname="1" colwidth="35pt" align="left" /><colspec colname="2" colwidth="28pt" align="center" /><colspec colname="3" colwidth="28pt" align="center" /><colspec colname="4" colwidth="35pt" align="left" /><colspec colname="5" colwidth="91pt" align="left" /><tbody valign="top"><row><entry>Name</entry><entry>Offset</entry><entry>Length</entry><entry>Value</entry><entry>Notes</entry></row><row><entry namest="1" nameend="5" align="center" rowsep="1" /></row><row><entry>Message</entry><entry>0</entry><entry>1</entry><entry>“T”</entry><entry>Timestamp - seconds message</entry></row><row><entry>Type</entry><entry /><entry /><entry /><entry /></row><row><entry>Second</entry><entry>1</entry><entry>4</entry><entry>Numeric</entry><entry>Unix Time (Number of</entry></row><row><entry /><entry /><entry /><entry /><entry>seconds since 1970-01-01</entry></row><row><entry /><entry /><entry /><entry /><entry>00:000:00 UTC)</entry></row><row><entry namest="1" nameend="5" align="center" rowsep="1" /></row></tbody></tgroup></table></tables>

0101In certain example embodiments, at the start of each trading day, directory messages for an order book are sent for all active securities (for example, U.S. treasuries) in the exchange system. Order book directory messages may also be sent intraday when existing securities are modified or new securities are added. An example order book directory message is as follows:

0000<tables id="TABLE-US-00005" num="00005"><table frame="none" colsep="0" rowsep="0" pgwide="1"><tgroup align="left" colsep="0" rowsep="0" cols="1"><colspec colname="1" colwidth="259pt" align="center" /><thead><row><entry namest="1" nameend="1" rowsep="1">TABLE 4</entry></row></thead><tbody valign="top"><row><entry namest="1" nameend="1" align="center" rowsep="1" /></row><row><entry>Example Order Book Directory Message</entry></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="5"><colspec colname="1" colwidth="56pt" align="left" /><colspec colname="2" colwidth="28pt" align="center" /><colspec colname="3" colwidth="35pt" align="center" /><colspec colname="4" colwidth="35pt" align="left" /><colspec colname="5" colwidth="105pt" align="left" /><tbody valign="top"><row><entry>Field Name</entry><entry>Offset</entry><entry>Length</entry><entry>Value</entry><entry>Notes</entry></row><row><entry namest="1" nameend="5" align="center" rowsep="1" /></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="5"><colspec colname="1" colwidth="56pt" align="left" /><colspec colname="2" colwidth="28pt" align="char" char="." /><colspec colname="3" colwidth="35pt" align="char" char="." /><colspec colname="4" colwidth="35pt" align="left" /><colspec colname="5" colwidth="105pt" align="left" /><tbody valign="top"><row><entry>Message Type</entry><entry>0</entry><entry>1</entry><entry>“R”</entry><entry>Order book Directory Message</entry></row><row><entry>Timestamp -</entry><entry>1</entry><entry>4</entry><entry>Numeric</entry><entry>Nanoseconds portion of the</entry></row><row><entry>Nanoseconds</entry><entry /><entry /><entry /><entry>timestamp.</entry></row><row><entry>Order book ID</entry><entry>5</entry><entry>4</entry><entry>Numeric</entry><entry>Unique identifier of an Order</entry></row><row><entry /><entry /><entry /><entry /><entry>book. This identifier will not</entry></row><row><entry /><entry /><entry /><entry /><entry>change until this security is no</entry></row><row><entry /><entry /><entry /><entry /><entry>longer tradable.</entry></row><row><entry>Symbol</entry><entry>9</entry><entry>20</entry><entry>Alpha</entry><entry>UST security symbol in the</entry></row><row><entry /><entry /><entry /><entry /><entry>eSpeed trading system e.g.</entry></row><row><entry /><entry /><entry /><entry /><entry>usg_05Y</entry></row><row><entry>Security</entry><entry>29</entry><entry>16</entry><entry>Alpha</entry><entry>Instrument Description</entry></row><row><entry>Description</entry><entry /><entry /><entry /><entry /></row><row><entry>CUSIP</entry><entry>45</entry><entry>9</entry><entry>Alpha</entry><entry>CUSIP code identifying security</entry></row><row><entry>TSID</entry><entry>54</entry><entry>1</entry><entry>Numeric</entry><entry>Trading System ID handling this</entry></row><row><entry /><entry /><entry /><entry /><entry>security</entry></row><row><entry>Product</entry><entry>55</entry><entry>1</entry><entry>Numeric</entry><entry>Values:</entry></row><row><entry /><entry /><entry /><entry /><entry>1 = US Treasury (Notes and</entry></row><row><entry /><entry /><entry /><entry /><entry>Bonds)</entry></row><row><entry /><entry /><entry /><entry /><entry>2 = US Treasury Bills</entry></row><row><entry /><entry /><entry /><entry /><entry>3 = US Treasury FRNs</entry></row><row><entry /><entry /><entry /><entry /><entry>4 = TIPS</entry></row><row><entry>Product</entry><entry>56</entry><entry>1</entry><entry>Numeric</entry><entry>Values:</entry></row><row><entry>Subtype</entry><entry /><entry /><entry /><entry>1 = Benchmark</entry></row><row><entry /><entry /><entry /><entry /><entry>2 = Off-the-Run</entry></row><row><entry /><entry /><entry /><entry /><entry>3 = WI</entry></row><row><entry>Price Type</entry><entry>57</entry><entry>1</entry><entry>Alpha</entry><entry>Indicates</entry></row><row><entry /><entry /><entry /><entry /><entry>“U” (‘per unit’ price type)</entry></row><row><entry /><entry /><entry /><entry /><entry>The security of this type</entry></row><row><entry /><entry /><entry /><entry /><entry>trades in fractions of</entry></row><row><entry /><entry /><entry /><entry /><entry>256^th.</entry></row><row><entry /><entry /><entry /><entry /><entry>“Y” (price as percentage)</entry></row><row><entry /><entry /><entry /><entry /><entry>The security of this type</entry></row><row><entry /><entry /><entry /><entry /><entry>trades in Yield. The</entry></row><row><entry /><entry /><entry /><entry /><entry>number of decimal places</entry></row><row><entry /><entry /><entry /><entry /><entry>in price is specified by</entry></row><row><entry /><entry /><entry /><entry /><entry>“Price Decimals” field.</entry></row><row><entry /><entry /><entry /><entry /><entry>“B” (Yield Spread)</entry></row><row><entry /><entry /><entry /><entry /><entry>The security of this type</entry></row><row><entry /><entry /><entry /><entry /><entry>trades in basis point. The</entry></row><row><entry /><entry /><entry /><entry /><entry>spread is specified by</entry></row><row><entry /><entry /><entry /><entry /><entry>“Price Decimals” field.</entry></row><row><entry>Price Decimals</entry><entry>58</entry><entry>2</entry><entry>Numeric</entry><entry>The number of decimals used in</entry></row><row><entry /><entry /><entry /><entry /><entry>price or yield for this order book</entry></row><row><entry /><entry /><entry /><entry /><entry>in eSpeed system.</entry></row><row><entry>Yield Decimals</entry><entry>60</entry><entry>2</entry><entry>Numeric</entry><entry>For securities that do not trade</entry></row><row><entry /><entry /><entry /><entry /><entry>in Yield but will have yield</entry></row><row><entry /><entry /><entry /><entry /><entry>published, this field describes</entry></row><row><entry /><entry /><entry /><entry /><entry>number of decimals for yield</entry></row><row><entry /><entry /><entry /><entry /><entry>field. If Yield Decimals is set to</entry></row><row><entry /><entry /><entry /><entry /><entry>−1 then Yield field should be</entry></row><row><entry /><entry /><entry /><entry /><entry>ignored in all messages for this</entry></row><row><entry /><entry /><entry /><entry /><entry>security.</entry></row><row><entry>Coupon</entry><entry>62</entry><entry>2</entry><entry>Numeric</entry><entry>The number of decimals used in</entry></row><row><entry>Decimals</entry><entry /><entry /><entry /><entry>the Coupon field. If Coupon is</entry></row><row><entry /><entry /><entry /><entry /><entry>not used, this field will be set to</entry></row><row><entry /><entry /><entry /><entry /><entry>−1.</entry></row><row><entry>Quantity</entry><entry>64</entry><entry>4</entry><entry>Numeric</entry><entry>For example, 1 million is used</entry></row><row><entry>Multiplier</entry><entry /><entry /><entry /><entry>for US Treasury Notes.</entry></row><row><entry>Price Tick Size</entry><entry>68</entry><entry>2</entry><entry>Numeric</entry><entry>The price tick for the instrument</entry></row><row><entry>Maturity</entry><entry>70</entry><entry>4</entry><entry>Numeric</entry><entry>Maturity date</entry></row><row><entry>Coupon</entry><entry>74</entry><entry>4</entry><entry>Numeric</entry><entry>Coupon Rate</entry></row><row><entry>Dated Date</entry><entry>78</entry><entry>4</entry><entry>Numeric</entry><entry>Dated Date</entry></row><row><entry>Issue Date</entry><entry>82</entry><entry>4</entry><entry>Numeric</entry><entry>Issue Date</entry></row><row><entry>Auction Date</entry><entry>86</entry><entry>4</entry><entry>Numeric</entry><entry>Auction Date</entry></row><row><entry>Announcement</entry><entry>90</entry><entry>4</entry><entry>Numeric</entry><entry>Announcement Date</entry></row><row><entry>Date</entry><entry /><entry /><entry /><entry /></row><row><entry>First Coupon</entry><entry>94</entry><entry>4</entry><entry>Numeric</entry><entry>First Coupon Date</entry></row><row><entry>Date</entry><entry /><entry /><entry /><entry /></row><row><entry>Settlement</entry><entry>98</entry><entry>4</entry><entry>Numeric</entry><entry>Settlement Date</entry></row><row><entry>Date</entry><entry /><entry /><entry /><entry /></row><row><entry>Index</entry><entry>102</entry><entry>4</entry><entry>Numeric</entry><entry>Index Reference Rate</entry></row><row><entry>Spread</entry><entry>106</entry><entry>4</entry><entry>Numeric</entry><entry>Spread Rate</entry></row><row><entry>Trading</entry><entry>110</entry><entry>2</entry><entry>Numeric</entry><entry>2 Byte field specifying features</entry></row><row><entry>Features</entry><entry /><entry /><entry /><entry>supported by this security.</entry></row><row><entry /><entry /><entry /><entry /><entry>Supported features are</entry></row><row><entry /><entry /><entry /><entry /><entry>represented by the</entry></row><row><entry /><entry /><entry /><entry /><entry>corresponding bit being set.</entry></row><row><entry /><entry /><entry /><entry /><entry>Bits in hex:</entry></row><row><entry /><entry /><entry /><entry /><entry>0x0001 - Locked Market</entry></row><row><entry /><entry /><entry /><entry /><entry>supported</entry></row><row><entry /><entry /><entry /><entry /><entry>0x0002 - Priority supported</entry></row><row><entry /><entry /><entry /><entry /><entry>0x0004 - Continuous Block</entry></row><row><entry /><entry /><entry /><entry /><entry>Trading supported</entry></row><row><entry /><entry /><entry /><entry /><entry>0x0008 - Discretion supported</entry></row><row><entry /><entry /><entry /><entry /><entry>0x0010 - Grey Discretion</entry></row><row><entry /><entry /><entry /><entry /><entry>supported</entry></row><row><entry>Minimum Entry</entry><entry>112</entry><entry>4</entry><entry>Numeric</entry><entry>The minimum visible quantity of</entry></row><row><entry>Quantity</entry><entry /><entry /><entry /><entry>the order allowed to be added to</entry></row><row><entry /><entry /><entry /><entry /><entry>the book.</entry></row><row><entry>Minimum</entry><entry>116</entry><entry>4</entry><entry>Numeric</entry><entry>The minimum increment for</entry></row><row><entry>Quantity</entry><entry /><entry /><entry /><entry>visible quantity of the order.</entry></row><row><entry>Increment</entry><entry /><entry /><entry /><entry /></row><row><entry>Minimum</entry><entry>120</entry><entry>4</entry><entry>Numeric</entry><entry>The minimum Continuous Block</entry></row><row><entry>Block Quantity</entry><entry /><entry /><entry /><entry>Trading quantity of the order</entry></row><row><entry /><entry /><entry /><entry /><entry>allowed to be added to the</entry></row><row><entry /><entry /><entry /><entry /><entry>book.</entry></row><row><entry>Maximum</entry><entry>124</entry><entry>4</entry><entry>Numeric</entry><entry>The visible bid/offer spread on</entry></row><row><entry>Block Bid/Offer</entry><entry /><entry /><entry /><entry>the reference instrument must</entry></row><row><entry>Spread</entry><entry /><entry /><entry /><entry>not exceed this value for dark</entry></row><row><entry /><entry /><entry /><entry /><entry>blocks to match</entry></row><row><entry>Minimum</entry><entry>128</entry><entry>4</entry><entry>Numeric</entry><entry>Visible bid and offer quantities</entry></row><row><entry>Block Bid/Offer</entry><entry /><entry /><entry /><entry>must both meet or exceed this</entry></row><row><entry>size</entry><entry /><entry /><entry /><entry>value for dark blocks to match.</entry></row><row><entry>Minimum</entry><entry>132</entry><entry>4</entry><entry>Numeric</entry><entry>The minimum discretion quantity</entry></row><row><entry>Discretion</entry><entry /><entry /><entry /><entry>of the order allowed to be added</entry></row><row><entry>Quantity</entry><entry /><entry /><entry /><entry>to the book.</entry></row><row><entry>Discretion</entry><entry>136</entry><entry>2</entry><entry>Numeric</entry><entry>The price tick size for the</entry></row><row><entry>Price Tick Size</entry><entry /><entry /><entry /><entry>discretion order for this</entry></row><row><entry /><entry /><entry /><entry /><entry>instrument</entry></row><row><entry>Maximum</entry><entry>138</entry><entry>4</entry><entry>Numeric</entry><entry>The visible bid/offer spread on</entry></row><row><entry>Discretion</entry><entry /><entry /><entry /><entry>the reference instrument must</entry></row><row><entry>Bid/Offer</entry><entry /><entry /><entry /><entry>not exceed this value for</entry></row><row><entry>Spread</entry><entry /><entry /><entry /><entry>discretion orders to trade</entry></row><row><entry>Discretion</entry><entry>142</entry><entry>4</entry><entry>Numeric</entry><entry>Discretion order will only be</entry></row><row><entry>Market Zone</entry><entry /><entry /><entry /><entry>considered for trading when the</entry></row><row><entry /><entry /><entry /><entry /><entry>discretion order is within number</entry></row><row><entry /><entry /><entry /><entry /><entry>of ticks from best bid/offer</entry></row><row><entry /><entry /><entry /><entry /><entry>specified by market_zone</entry></row><row><entry namest="1" nameend="5" align="center" rowsep="1" /></row></tbody></tgroup></table></tables>

0102In certain example embodiments, an exchange (or a computing system associated with the exchange) may generate and transmit a combination order book director message. This message a specialized directory message used when combined order books are traded in the marketplace. This message type can include standard combinations defined by the exchange (or its operator) and customized combinations created by market participants (or members who subscribe to the electronic data feed. In certain example embodiments, intraday transmissions of this message may occur when new combination order books are added to the system (e.g., for customized combinations). Updates to existing combination order books may also be represented by intraday combination order book directory messages. An example format of a combination order book directory message is follows:

0000<tables id="TABLE-US-00006" num="00006"><table frame="none" colsep="0" rowsep="0" pgwide="1"><tgroup align="left" colsep="0" rowsep="0" cols="1"><colspec colname="1" colwidth="259pt" align="center" /><thead><row><entry namest="1" nameend="1" rowsep="1">TABLE 5</entry></row></thead><tbody valign="top"><row><entry namest="1" nameend="1" align="center" rowsep="1" /></row><row><entry>Example Combination Order Book Directory</entry></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="5"><colspec colname="1" colwidth="49pt" align="left" /><colspec colname="2" colwidth="35pt" align="center" /><colspec colname="3" colwidth="35pt" align="center" /><colspec colname="4" colwidth="35pt" align="left" /><colspec colname="5" colwidth="105pt" align="left" /><tbody valign="top"><row><entry>Field Name</entry><entry>Offset</entry><entry>Length</entry><entry>Value</entry><entry>Notes</entry></row><row><entry namest="1" nameend="5" align="center" rowsep="1" /></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="5"><colspec colname="1" colwidth="49pt" align="left" /><colspec colname="2" colwidth="35pt" align="char" char="." /><colspec colname="3" colwidth="35pt" align="char" char="." /><colspec colname="4" colwidth="35pt" align="left" /><colspec colname="5" colwidth="105pt" align="left" /><tbody valign="top"><row><entry>Message</entry><entry>0</entry><entry>1</entry><entry>“M”</entry><entry>Combination Order book</entry></row><row><entry>Type</entry><entry /><entry /><entry /><entry>Directory Message</entry></row><row><entry>Timestamp -</entry><entry>1</entry><entry>4</entry><entry>Numeric</entry><entry>Nanoseconds portion of the</entry></row><row><entry>Nanoseconds</entry><entry /><entry /><entry /><entry>timestamp.</entry></row><row><entry>Order book</entry><entry>5</entry><entry>4</entry><entry>Numeric</entry><entry>Unique identifier of an Order</entry></row><row><entry>ID</entry><entry /><entry /><entry /><entry>book. This identifier will not</entry></row><row><entry /><entry /><entry /><entry /><entry>change until the security is no</entry></row><row><entry /><entry /><entry /><entry /><entry>longer tradable.</entry></row><row><entry>Symbol</entry><entry>9</entry><entry>20</entry><entry>Alpha</entry><entry>UST security symbol in the</entry></row><row><entry /><entry /><entry /><entry /><entry>eSpeed trading system</entry></row><row><entry>Security</entry><entry>29</entry><entry>16</entry><entry>Alpha</entry><entry>Instrument Description</entry></row><row><entry>Description</entry><entry /><entry /><entry /><entry /></row><row><entry>CUSIP</entry><entry>45</entry><entry>9</entry><entry>Alpha</entry><entry>Where applicable</entry></row><row><entry>TSID</entry><entry>54</entry><entry>1</entry><entry>Numeric</entry><entry>Trading System ID handling this</entry></row><row><entry /><entry /><entry /><entry /><entry>security</entry></row><row><entry>Product</entry><entry>55</entry><entry>1</entry><entry>Numeric</entry><entry>Values:</entry></row><row><entry /><entry /><entry /><entry /><entry>1 = US Treasury Coupon Roll</entry></row><row><entry /><entry /><entry /><entry /><entry>2 = US Treasury Bill Roll</entry></row><row><entry /><entry /><entry /><entry /><entry>3 = US Treasury FRN Roll</entry></row><row><entry /><entry /><entry /><entry /><entry>4 = TIPS Roll</entry></row><row><entry>Price Type</entry><entry>56</entry><entry>1</entry><entry>Alpha</entry><entry>Indicates</entry></row><row><entry /><entry /><entry /><entry /><entry>“U” (‘per unit’ price type)</entry></row><row><entry /><entry /><entry /><entry /><entry>The security of this type</entry></row><row><entry /><entry /><entry /><entry /><entry>trades in fractions of 256^th.</entry></row><row><entry /><entry /><entry /><entry /><entry>“Y” (price as percentage)</entry></row><row><entry /><entry /><entry /><entry /><entry>The security of this type</entry></row><row><entry /><entry /><entry /><entry /><entry>trades Yield. The number</entry></row><row><entry /><entry /><entry /><entry /><entry>of decimal places in price is</entry></row><row><entry /><entry /><entry /><entry /><entry>specified by “Price</entry></row><row><entry /><entry /><entry /><entry /><entry>Decimals” field.</entry></row><row><entry /><entry /><entry /><entry /><entry>“B” (Yield Spread)</entry></row><row><entry /><entry /><entry /><entry /><entry>The security of this type</entry></row><row><entry /><entry /><entry /><entry /><entry>trades in basis point. The</entry></row><row><entry /><entry /><entry /><entry /><entry>spread is specified by</entry></row><row><entry /><entry /><entry /><entry /><entry>“Price Decimals” field.</entry></row><row><entry>Price</entry><entry>57</entry><entry>2</entry><entry>Numeric</entry><entry>The number of decimals used in</entry></row><row><entry>Decimals</entry><entry /><entry /><entry /><entry>price or yield or spread for this</entry></row><row><entry /><entry /><entry /><entry /><entry>order book in eSpeed system.</entry></row><row><entry>Quantity</entry><entry>59</entry><entry>4</entry><entry>Numeric</entry><entry>For example, 1 million is used for</entry></row><row><entry>Multiplier</entry><entry /><entry /><entry /><entry>US Treasury Notes.</entry></row><row><entry>Price Tick</entry><entry>63</entry><entry>2</entry><entry>Numeric</entry><entry>The price tick for the instrument</entry></row><row><entry>Size</entry><entry /><entry /><entry /><entry /></row><row><entry>Yield</entry><entry>65</entry><entry>2</entry><entry>Numeric</entry><entry>For securities that do not trade in</entry></row><row><entry>Decimals</entry><entry /><entry /><entry /><entry>Yield but will have yield</entry></row><row><entry /><entry /><entry /><entry /><entry>published, this field describes</entry></row><row><entry /><entry /><entry /><entry /><entry>number of decimals for yield field.</entry></row><row><entry /><entry /><entry /><entry /><entry>If Yield Decimals is set to −1, then</entry></row><row><entry /><entry /><entry /><entry /><entry>Yield field should be ignored in all</entry></row><row><entry /><entry /><entry /><entry /><entry>messages for this security.</entry></row><row><entry>Odd Lot Size</entry><entry>67</entry><entry>4</entry><entry>Numeric</entry><entry>Indicates the number of securities</entry></row><row><entry /><entry /><entry /><entry /><entry>that represent an odd lot for the</entry></row><row><entry /><entry /><entry /><entry /><entry>order book.</entry></row><row><entry /><entry /><entry /><entry /><entry>Note: A value of 0 indicates that</entry></row><row><entry /><entry /><entry /><entry /><entry>this lot type is undefined for the</entry></row><row><entry /><entry /><entry /><entry /><entry>order book.</entry></row><row><entry>Block Lot</entry><entry>71</entry><entry>4</entry><entry>Numeric</entry><entry>Indicates the number of securities</entry></row><row><entry>Size</entry><entry /><entry /><entry /><entry>that represent a block lot for the</entry></row><row><entry /><entry /><entry /><entry /><entry>order book.</entry></row><row><entry /><entry /><entry /><entry /><entry>Note: A value of 0 indicates that</entry></row><row><entry /><entry /><entry /><entry /><entry>this lot type is undefined for the</entry></row><row><entry /><entry /><entry /><entry /><entry>order book.</entry></row><row><entry>Nominal</entry><entry>75</entry><entry>8</entry><entry>Numeric</entry><entry>Nominal Value</entry></row><row><entry>Value</entry><entry /><entry /><entry /><entry /></row><row><entry>Leg 1,</entry><entry>83</entry><entry>20</entry><entry>Alpha</entry><entry>Leg Symbol</entry></row><row><entry>Symbol</entry><entry /><entry /><entry /><entry /></row><row><entry>Leg 1, Side</entry><entry>103</entry><entry>1</entry><entry>Alpha</entry><entry>Values:</entry></row><row><entry /><entry /><entry /><entry /><entry>B = As Defined</entry></row><row><entry /><entry /><entry /><entry /><entry>C = Opposite</entry></row><row><entry>Leg 2,</entry><entry>104</entry><entry>20</entry><entry>Alpha</entry><entry>Leg Symbol</entry></row><row><entry>Symbol</entry><entry /><entry /><entry /><entry /></row><row><entry>Leg 2, Side</entry><entry>124</entry><entry>1</entry><entry>Alpha</entry><entry>Values:</entry></row><row><entry /><entry /><entry /><entry /><entry>B = As Defined</entry></row><row><entry /><entry /><entry /><entry /><entry>C = Opposite</entry></row><row><entry>Leg 3,</entry><entry>125</entry><entry>20</entry><entry>Alpha</entry><entry>Leg Symbol</entry></row><row><entry>Symbol</entry><entry /><entry /><entry /><entry /></row><row><entry>Leg 3, Side</entry><entry>145</entry><entry>1</entry><entry>Alpha</entry><entry>Values:</entry></row><row><entry /><entry /><entry /><entry /><entry>B = As Defined</entry></row><row><entry /><entry /><entry /><entry /><entry>C = Opposite</entry></row><row><entry>Leg 4,</entry><entry>146</entry><entry>20</entry><entry>Alpha</entry><entry>Leg Symbol</entry></row><row><entry>Symbol</entry><entry /><entry /><entry /><entry /></row><row><entry>Leg 4, Side</entry><entry>166</entry><entry>1</entry><entry>Alpha</entry><entry>Values:</entry></row><row><entry /><entry /><entry /><entry /><entry>B = As Defined</entry></row><row><entry /><entry /><entry /><entry /><entry>C = Opposite</entry></row><row><entry>Trading</entry><entry>167</entry><entry>2</entry><entry>Numeric</entry><entry>2 Byte field specifying features</entry></row><row><entry>Features</entry><entry /><entry /><entry /><entry>supported by this security.</entry></row><row><entry /><entry /><entry /><entry /><entry>Supported features are</entry></row><row><entry /><entry /><entry /><entry /><entry>represented by the corresponding</entry></row><row><entry /><entry /><entry /><entry /><entry>bit being set. Bits in hex:</entry></row><row><entry /><entry /><entry /><entry /><entry>0x0001 - Locked Market</entry></row><row><entry /><entry /><entry /><entry /><entry>supported</entry></row><row><entry /><entry /><entry /><entry /><entry>0x0002 - Priority supported</entry></row><row><entry /><entry /><entry /><entry /><entry>0x0004 - Continuous Block</entry></row><row><entry /><entry /><entry /><entry /><entry>Trading supported</entry></row><row><entry /><entry /><entry /><entry /><entry>0x0008 - Discretion supported</entry></row><row><entry /><entry /><entry /><entry /><entry>0x0010 - Grey Discretion</entry></row><row><entry /><entry /><entry /><entry /><entry>supported</entry></row><row><entry>Minimum</entry><entry>169</entry><entry>4</entry><entry>Numeric</entry><entry>The minimum visible quantity of</entry></row><row><entry>Entry</entry><entry /><entry /><entry /><entry>the order allowed to be added to</entry></row><row><entry>Quantity</entry><entry /><entry /><entry /><entry>the book.</entry></row><row><entry>Minimum</entry><entry>173</entry><entry>4</entry><entry>Numeric</entry><entry>The minimum increment for</entry></row><row><entry>Quantity</entry><entry /><entry /><entry /><entry>visible quantity of the order.</entry></row><row><entry>Increment</entry><entry /><entry /><entry /><entry /></row><row><entry>Minimum</entry><entry>177</entry><entry>4</entry><entry>Numeric</entry><entry>The minimum Continuous Block</entry></row><row><entry>Block</entry><entry /><entry /><entry /><entry>Trading quantity of the order</entry></row><row><entry>Quantity</entry><entry /><entry /><entry /><entry>allowed to be added to the book.</entry></row><row><entry>Maximum</entry><entry>181</entry><entry>4</entry><entry>Numeric</entry><entry>The visible bid/offer spread on</entry></row><row><entry>Block</entry><entry /><entry /><entry /><entry>the reference instrument must not</entry></row><row><entry>Bid/Offer</entry><entry /><entry /><entry /><entry>exceed this value for dark blocks</entry></row><row><entry>Spread</entry><entry /><entry /><entry /><entry>to match</entry></row><row><entry>Minimum</entry><entry>185</entry><entry>4</entry><entry>Numeric</entry><entry>Visible bid and offer quantities</entry></row><row><entry>Block</entry><entry /><entry /><entry /><entry>must both meet or exceed this</entry></row><row><entry>Bid/Offer size</entry><entry /><entry /><entry /><entry>value for dark blocks to match.</entry></row><row><entry>Minimum</entry><entry>189</entry><entry>4</entry><entry>Numeric</entry><entry>The minimum discretion quantity</entry></row><row><entry>Discretion</entry><entry /><entry /><entry /><entry>of the order allowed to be added</entry></row><row><entry>Quantity</entry><entry /><entry /><entry /><entry>to the book.</entry></row><row><entry>Discretion</entry><entry>193</entry><entry>2</entry><entry>Numeric</entry><entry>The price tick size for the</entry></row><row><entry>Price Tick</entry><entry /><entry /><entry /><entry>discretion order for this</entry></row><row><entry>Size</entry><entry /><entry /><entry /><entry>instrument</entry></row><row><entry>Maximum</entry><entry>195</entry><entry>4</entry><entry>Numeric</entry><entry>The visible bid/offer spread on</entry></row><row><entry>Discretion</entry><entry /><entry /><entry /><entry>the reference instrument must not</entry></row><row><entry>Bid/Offer</entry><entry /><entry /><entry /><entry>exceed this value for discretion</entry></row><row><entry>Spread</entry><entry /><entry /><entry /><entry>orders to trade</entry></row><row><entry>Discretion</entry><entry>199</entry><entry>4</entry><entry>Numeric</entry><entry>Discretion order will only be</entry></row><row><entry>Market Zone</entry><entry /><entry /><entry /><entry>considered for trading when the</entry></row><row><entry /><entry /><entry /><entry /><entry>discretion order is within number</entry></row><row><entry /><entry /><entry /><entry /><entry>of ticks from best bid/offer</entry></row><row><entry /><entry /><entry /><entry /><entry>specified by market_zone</entry></row><row><entry namest="1" nameend="5" align="center" rowsep="1" /></row></tbody></tgroup></table></tables>

0103In certain example embodiments, a system event message may be provided that is used to signal a market or data feed handler event. An example format of such a message is follows:

0000<tables id="TABLE-US-00007" num="00007"><table frame="none" colsep="0" rowsep="0"><tgroup align="left" colsep="0" rowsep="0" cols="1"><colspec colname="1" colwidth="217pt" align="center" /><thead><row><entry namest="1" nameend="1" rowsep="1">TABLE 6</entry></row></thead><tbody valign="top"><row><entry namest="1" nameend="1" align="center" rowsep="1" /></row><row><entry>Example System Event Message</entry></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="5"><colspec colname="1" colwidth="42pt" align="left" /><colspec colname="2" colwidth="28pt" align="center" /><colspec colname="3" colwidth="28pt" align="center" /><colspec colname="4" colwidth="35pt" align="left" /><colspec colname="5" colwidth="84pt" align="left" /><tbody valign="top"><row><entry>Field Name</entry><entry>Offset</entry><entry>Length</entry><entry>Value</entry><entry>Notes</entry></row><row><entry namest="1" nameend="5" align="center" rowsep="1" /></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="5"><colspec colname="1" colwidth="42pt" align="left" /><colspec colname="2" colwidth="28pt" align="char" char="." /><colspec colname="3" colwidth="28pt" align="char" char="." /><colspec colname="4" colwidth="35pt" align="left" /><colspec colname="5" colwidth="84pt" align="left" /><tbody valign="top"><row><entry>Message</entry><entry>0</entry><entry>1</entry><entry>“S”</entry><entry>System Event Message.</entry></row><row><entry>Type</entry><entry /><entry /><entry /><entry /></row><row><entry>Timestamp</entry><entry>1</entry><entry>4</entry><entry>Numeric</entry><entry>Nanoseconds portion of the</entry></row><row><entry /><entry /><entry /><entry /><entry>timestamp.</entry></row><row><entry>TSID</entry><entry>5</entry><entry>1</entry><entry>Numeric</entry><entry>ID for eSpeed UST trading</entry></row><row><entry /><entry /><entry /><entry /><entry>system/room (system level</entry></row><row><entry /><entry /><entry /><entry /><entry>only)</entry></row><row><entry>Event Code</entry><entry>6</entry><entry>1</entry><entry>Alpha</entry><entry>See System Event Codes</entry></row><row><entry /><entry /><entry /><entry /><entry>below.</entry></row><row><entry>Event</entry><entry>7</entry><entry>1</entry><entry>Alpha</entry><entry>Please see the System</entry></row><row><entry>Reason</entry><entry /><entry /><entry /><entry>Event Reason Table</entry></row><row><entry>Order book</entry><entry>8</entry><entry>4</entry><entry>Numeric</entry><entry>Used to identify if the</entry></row><row><entry>ID</entry><entry /><entry /><entry /><entry>event applies to a single</entry></row><row><entry /><entry /><entry /><entry /><entry>order book within the</entry></row><row><entry /><entry /><entry /><entry /><entry>Trading System.</entry></row><row><entry /><entry /><entry /><entry /><entry>Order book Code set to 0</entry></row><row><entry /><entry /><entry /><entry /><entry>if the event applies at a</entry></row><row><entry /><entry /><entry /><entry /><entry>System level.</entry></row><row><entry namest="1" nameend="5" align="center" rowsep="1" /></row></tbody></tgroup></table></tables>

0104In certain example embodiments, an electron market data feed may have the following event codes and event reasons that may be used on a daily basis for the data feed.

0000<tables id="TABLE-US-00008" num="00008"><table frame="none" colsep="0" rowsep="0"><tgroup align="left" colsep="0" rowsep="0" cols="1"><colspec colname="1" colwidth="217pt" align="center" /><thead><row><entry namest="1" nameend="1" rowsep="1">TABLE 7</entry></row></thead><tbody valign="top"><row><entry namest="1" nameend="1" align="center" rowsep="1" /></row><row><entry>Example System Daily Event Codes</entry></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="2"><colspec colname="1" colwidth="49pt" align="center" /><colspec colname="2" colwidth="168pt" align="left" /><tbody valign="top"><row><entry>Code</entry><entry>Explanation</entry></row><row><entry namest="1" nameend="2" align="center" rowsep="1" /></row><row><entry>“O”</entry><entry>Start of Messages. Outside of time stamp messages,</entry></row><row><entry /><entry>the start of day message is the first message sent in</entry></row><row><entry /><entry>any trading day. This indicates the System is</entry></row><row><entry /><entry>enabled.</entry></row><row><entry>“Q”</entry><entry>Start of Trading Session hours. This message is</entry></row><row><entry /><entry>intended to indicate that eSpeed trading system is</entry></row><row><entry /><entry>open and ready to trade</entry></row><row><entry>“M”</entry><entry>End of Trading Session hours. This message is</entry></row><row><entry /><entry>intended to indicate that eSpeed trading session is</entry></row><row><entry /><entry>closed and no orders are available for execution.</entry></row><row><entry>“C”</entry><entry>End of Messages. This is always the last message</entry></row><row><entry /><entry>sent in any trading day. This indicates the system is</entry></row><row><entry /><entry>disabled.</entry></row><row><entry namest="1" nameend="2" align="center" rowsep="1" /></row></tbody></tgroup></table></tables>

0000<tables id="TABLE-US-00009" num="00009"><table frame="none" colsep="0" rowsep="0"><tgroup align="left" colsep="0" rowsep="0" cols="1"><colspec colname="1" colwidth="217pt" align="center" /><thead><row><entry namest="1" nameend="1" rowsep="1">TABLE 8</entry></row></thead><tbody valign="top"><row><entry namest="1" nameend="1" align="center" rowsep="1" /></row><row><entry>Example System Event Reason</entry></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="2"><colspec colname="1" colwidth="56pt" align="left" /><colspec colname="2" colwidth="161pt" align="left" /><tbody valign="top"><row><entry>System Event</entry><entry /></row><row><entry>Reason</entry><entry>Explanation</entry></row><row><entry namest="1" nameend="2" align="center" rowsep="1" /></row><row><entry>“I”</entry><entry>Accepting/Holiday session starts. This is applicable</entry></row><row><entry /><entry>to Japan holidays</entry></row><row><entry>“A”</entry><entry>Break. This is applicable to potential breaks</entry></row><row><entry /><entry>including UK Holidays</entry></row><row><entry>“B”</entry><entry>Resumption after Break. This is applicable potential</entry></row><row><entry /><entry>breaks and resumptions including UK holidays</entry></row><row><entry>“H”</entry><entry>Early Close. This indicates the early market close</entry></row><row><entry>“R”</entry><entry>Regular start of the day or end of the day.</entry></row><row><entry>Reserve</entry><entry>Reserve</entry></row><row><entry namest="1" nameend="2" align="center" rowsep="1" /></row></tbody></tgroup></table></tables>

0105The following is an example order book state message that relays information concerning state changes in the exchange or an order book (or a group of order books) of the exchange.

0000<tables id="TABLE-US-00010" num="00010"><table frame="none" colsep="0" rowsep="0"><tgroup align="left" colsep="0" rowsep="0" cols="1"><colspec colname="1" colwidth="217pt" align="center" /><thead><row><entry namest="1" nameend="1" rowsep="1">TABLE 9</entry></row></thead><tbody valign="top"><row><entry namest="1" nameend="1" align="center" rowsep="1" /></row><row><entry>Example Order Book State Message</entry></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="5"><colspec colname="1" colwidth="42pt" align="left" /><colspec colname="2" colwidth="28pt" align="center" /><colspec colname="3" colwidth="28pt" align="center" /><colspec colname="4" colwidth="35pt" align="left" /><colspec colname="5" colwidth="84pt" align="left" /><tbody valign="top"><row><entry>Field Name</entry><entry>Offset</entry><entry>Length</entry><entry>Value</entry><entry>Notes</entry></row><row><entry namest="1" nameend="5" align="center" rowsep="1" /></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="5"><colspec colname="1" colwidth="42pt" align="left" /><colspec colname="2" colwidth="28pt" align="char" char="." /><colspec colname="3" colwidth="28pt" align="char" char="." /><colspec colname="4" colwidth="35pt" align="left" /><colspec colname="5" colwidth="84pt" align="left" /><tbody valign="top"><row><entry>Message</entry><entry>0</entry><entry>1</entry><entry>“O”</entry><entry>Order book State Message.</entry></row><row><entry>Type</entry></row><row><entry>Timestamp -</entry><entry>1</entry><entry>4</entry><entry>Numeric</entry><entry>Nanoseconds portion of the</entry></row><row><entry>Nanoseconds</entry><entry /><entry /><entry /><entry>timestamp</entry></row><row><entry>Order Book</entry><entry>5</entry><entry>4</entry><entry>Numeric</entry><entry>Order book identifier</entry></row><row><entry>ID</entry></row><row><entry>State</entry><entry>9</entry><entry>2</entry><entry>Numeric</entry></row><row><entry>Reserved</entry><entry>11</entry><entry>4</entry><entry>Numeric</entry></row><row><entry>Reserved</entry><entry>15</entry><entry>4</entry><entry>Numeric</entry></row><row><entry namest="1" nameend="5" align="center" rowsep="1" /></row></tbody></tgroup></table></tables>

0106In certain example embodiments, an electronic market data feed can include a trade state information messages that rely information on trading of workups to the trading community.

0000<tables id="TABLE-US-00011" num="00011"><table frame="none" colsep="0" rowsep="0"><tgroup align="left" colsep="0" rowsep="0" cols="1"><colspec colname="1" colwidth="217pt" align="center" /><thead><row><entry namest="1" nameend="1" rowsep="1">TABLE 10</entry></row></thead><tbody valign="top"><row><entry namest="1" nameend="1" align="center" rowsep="1" /></row><row><entry>Example Trade State Message</entry></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="5"><colspec colname="1" colwidth="42pt" align="left" /><colspec colname="2" colwidth="28pt" align="center" /><colspec colname="3" colwidth="28pt" align="center" /><colspec colname="4" colwidth="35pt" align="left" /><colspec colname="5" colwidth="84pt" align="left" /><tbody valign="top"><row><entry>Field Name</entry><entry>Offset</entry><entry>Length</entry><entry>Value</entry><entry>Notes</entry></row><row><entry namest="1" nameend="5" align="center" rowsep="1" /></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="5"><colspec colname="1" colwidth="42pt" align="left" /><colspec colname="2" colwidth="28pt" align="char" char="." /><colspec colname="3" colwidth="28pt" align="char" char="." /><colspec colname="4" colwidth="35pt" align="left" /><colspec colname="5" colwidth="84pt" align="left" /><tbody valign="top"><row><entry>Message</entry><entry>0</entry><entry>1</entry><entry>“W”</entry><entry>UST security Trading State</entry></row><row><entry>Type</entry><entry /><entry /><entry /><entry>Message.</entry></row><row><entry>Timestamp -</entry><entry>1</entry><entry>4</entry><entry>Numeric</entry><entry>Nanoseconds portion of the</entry></row><row><entry>Nanoseconds</entry><entry /><entry /><entry /><entry>timestamp.</entry></row><row><entry>Order Book</entry><entry>5</entry><entry>4</entry><entry>Numeric</entry><entry>Unique Order book</entry></row><row><entry>ID</entry><entry /><entry /><entry /><entry>identifier of a UST</entry></row><row><entry /><entry /><entry /><entry /><entry>security(or an</entry></row><row><entry /><entry /><entry /><entry /><entry>order book)</entry></row><row><entry>Trading</entry><entry>9</entry><entry>1</entry><entry>Alpha</entry><entry>Indicates the current trading</entry></row><row><entry>State</entry><entry /><entry /><entry /><entry>state for the stock.</entry></row><row><entry /><entry /><entry /><entry /><entry>Allowable values:</entry></row><row><entry /><entry /><entry /><entry /><entry>“1” = Trade State</entry></row><row><entry /><entry /><entry /><entry /><entry>“0” = BID/OFFER State</entry></row><row><entry>Trade</entry><entry>10</entry><entry>4</entry><entry>Price</entry><entry>The price of execution</entry></row><row><entry>Price</entry><entry /><entry /><entry /><entry>initiating trade state.</entry></row><row><entry /><entry /><entry /><entry /><entry>The value will be set</entry></row><row><entry /><entry /><entry /><entry /><entry>to zero and should be</entry></row><row><entry /><entry /><entry /><entry /><entry>ignored in BID/OFFER</entry></row><row><entry /><entry /><entry /><entry /><entry>state.</entry></row><row><entry>Trade</entry><entry>14</entry><entry>1</entry><entry>Alpha</entry><entry>Values;</entry></row><row><entry>Indicator</entry><entry /><entry /><entry /><entry>“H” = Hit</entry></row><row><entry /><entry /><entry /><entry /><entry>“T” = Take</entry></row><row><entry /><entry /><entry /><entry /><entry>The value should</entry></row><row><entry /><entry /><entry /><entry /><entry>be ignored in</entry></row><row><entry /><entry /><entry /><entry /><entry>BID/OFFER state.</entry></row><row><entry namest="1" nameend="5" align="center" rowsep="1" /></row></tbody></tgroup></table></tables>

0107In certain example embodiments, an electronic market data feed may include one or more different types of add order messages. An add order message may indicate that a new order has been accepted by the exchange was added to an electronic order book (e.g., one that is publically visible). Step <b>318</b> in <figref idref="DRAWINGS">FIG. 3A</figref> may be an example of an add order message. An add order message may include a trading day unique Order Reference Number that is unique per Order book used by exchange to track the order.

0108The following is an example add order type that may generated in response to acceptable of an unattributed order by the exchange.

0000<tables id="TABLE-US-00012" num="00012"><table frame="none" colsep="0" rowsep="0"><tgroup align="left" colsep="0" rowsep="0" cols="1"><colspec colname="1" colwidth="217pt" align="center" /><thead><row><entry namest="1" nameend="1" rowsep="1">TABLE 11</entry></row></thead><tbody valign="top"><row><entry namest="1" nameend="1" align="center" rowsep="1" /></row><row><entry>Example Add Order Message</entry></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="5"><colspec colname="1" colwidth="42pt" align="left" /><colspec colname="2" colwidth="28pt" align="center" /><colspec colname="3" colwidth="28pt" align="center" /><colspec colname="4" colwidth="35pt" align="left" /><colspec colname="5" colwidth="84pt" align="left" /><tbody valign="top"><row><entry>Field Name</entry><entry>Offset</entry><entry>Length</entry><entry>Value</entry><entry>Notes</entry></row><row><entry namest="1" nameend="5" align="center" rowsep="1" /></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="5"><colspec colname="1" colwidth="42pt" align="left" /><colspec colname="2" colwidth="28pt" align="char" char="." /><colspec colname="3" colwidth="28pt" align="char" char="." /><colspec colname="4" colwidth="35pt" align="left" /><colspec colname="5" colwidth="84pt" align="left" /><tbody valign="top"><row><entry>Message</entry><entry>0</entry><entry>1</entry><entry>“A”</entry><entry>Add Order - No MPID</entry></row><row><entry>Type</entry><entry /><entry /><entry /><entry>Attribution Message.</entry></row><row><entry>Timestamp -</entry><entry>1</entry><entry>4</entry><entry>Numeric</entry><entry>Nanoseconds portion of the</entry></row><row><entry>Nanoseconds</entry><entry /><entry /><entry /><entry>timestamp.</entry></row><row><entry>Order</entry><entry>5</entry><entry>4</entry><entry>Numeric</entry><entry>The unique reference</entry></row><row><entry>Reference</entry><entry /><entry /><entry /><entry>number assigned</entry></row><row><entry>Number</entry><entry /><entry /><entry /><entry>to the new order</entry></row><row><entry /><entry /><entry /><entry /><entry>at the time of receipt.</entry></row><row><entry>Transaction</entry><entry>9</entry><entry>4</entry><entry>Numeric</entry><entry>Transaction ID</entry></row><row><entry>ID</entry><entry /><entry /><entry /><entry>corresponding</entry></row><row><entry /><entry /><entry /><entry /><entry>to the transaction</entry></row><row><entry /><entry /><entry /><entry /><entry>ID in the response message.</entry></row><row><entry>Order book</entry><entry>13</entry><entry>4</entry><entry>Numeric</entry><entry>Unique Order book</entry></row><row><entry>ID</entry><entry /><entry /><entry /><entry>identifier</entry></row><row><entry /><entry /><entry /><entry /><entry>of an instrument</entry></row><row><entry>Side</entry><entry>17</entry><entry>1</entry><entry>Alpha</entry><entry>The type of order being</entry></row><row><entry /><entry /><entry /><entry /><entry>added.</entry></row><row><entry /><entry /><entry /><entry /><entry>“B” = buy order.</entry></row><row><entry /><entry /><entry /><entry /><entry>“S” = sell order.</entry></row><row><entry>Quantity</entry><entry>18</entry><entry>4</entry><entry>Numeric</entry><entry>The visible quantity</entry></row><row><entry /><entry /><entry /><entry /><entry>of the order being</entry></row><row><entry /><entry /><entry /><entry /><entry>added to the book.</entry></row><row><entry>Price</entry><entry>22</entry><entry>4</entry><entry>Price</entry><entry>The display price of</entry></row><row><entry /><entry /><entry /><entry /><entry>the new order.</entry></row><row><entry>Yield</entry><entry>26</entry><entry>4</entry><entry>Price</entry><entry>The display yield of the</entry></row><row><entry /><entry /><entry /><entry /><entry>new order. Optional field.</entry></row><row><entry /><entry /><entry /><entry /><entry>If Yield Decimals was set</entry></row><row><entry /><entry /><entry /><entry /><entry>to −1 then this</entry></row><row><entry /><entry /><entry /><entry /><entry>field should be ignored.</entry></row><row><entry namest="1" nameend="5" align="center" rowsep="1" /></row></tbody></tgroup></table></tables>

0109In certain example embodiments, an electronic market data feed may include one or more different types of modify order messages. Modify order messages may include messages that relate to cancellation, execution, replacement, or modification of an order. A modify order message may include an Order Reference Number (as discussed above), Order book ID, and side of the Order to which the update applies.

0110In examples, the information from multiple different messages may be used to glean information that is otherwise not directly provided by one message. For example, to track the displayed quantity for an order, a subscriber may deduct the quantity in a cancel message (X) and/or order execution messages (E, C, and D) from the last known display quantity for that order. In the case of a replace message (U), the in the message completely replaces the displayed quantity. In certain examples, orders should be removed from the electronic order book when their display quantity reaches zero unless the order has a priority attribute.

0111In certain example embodiments, an order executed message is provided and is sent whenever an order in the electronic order book is executed in whole or in part. If the incoming or aggressive order causing the match cannot be fully filled, the remainder of that order will be placed in the book after the match has occurred.

0112As discussed herein, in certain instances it is possible to receive several order executed messages for the same order reference number if that order is executed in several parts (see, e.g., steps <b>444</b><i>a </i>and <b>444</b><i>b </i>in <figref idref="DRAWINGS">FIG. 4B</figref>). In such instances, multiple order executed messages on the same order are cumulative (e.g., 500+400+5 mean that an aggressive order of 905 fulfilled those three orders). As shown in <figref idref="DRAWINGS">FIG. 4B</figref>, multiple order executed messages that relate to the same aggressive or incoming will have same Transaction ID.

0113In certain example embodiments, a passive order may gain priority as result of execution. In such a situation, a new place-holder in the electronic order book is created for the priority order with new priority order reference that is set to a size of zero and the price of the original order. New orders entering the book at the same price will have a natural position after this placeholder and will be traded after the priority state is completed.

0114When the displayed quantity for a priority order reaches zero, it may retain its position in the book until the priority flag is removed by as indicated by a replace message. The display quantity of a priority order will be refilled in its original position in the book.

0000<tables id="TABLE-US-00013" num="00013"><table frame="none" colsep="0" rowsep="0"><tgroup align="left" colsep="0" rowsep="0" cols="1"><colspec colname="1" colwidth="217pt" align="center" /><thead><row><entry namest="1" nameend="1" rowsep="1">TABLE 12</entry></row></thead><tbody valign="top"><row><entry namest="1" nameend="1" align="center" rowsep="1" /></row><row><entry>Example Order Executed Message</entry></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="5"><colspec colname="1" colwidth="42pt" align="left" /><colspec colname="2" colwidth="28pt" align="center" /><colspec colname="3" colwidth="28pt" align="center" /><colspec colname="4" colwidth="35pt" align="left" /><colspec colname="5" colwidth="84pt" align="left" /><tbody valign="top"><row><entry>Field Name</entry><entry>Offset</entry><entry>Length</entry><entry>Value</entry><entry>Notes</entry></row><row><entry namest="1" nameend="5" align="center" rowsep="1" /></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="5"><colspec colname="1" colwidth="42pt" align="left" /><colspec colname="2" colwidth="28pt" align="char" char="." /><colspec colname="3" colwidth="28pt" align="char" char="." /><colspec colname="4" colwidth="35pt" align="left" /><colspec colname="5" colwidth="84pt" align="left" /><tbody valign="top"><row><entry>Message</entry><entry>0</entry><entry>1</entry><entry>“E”</entry><entry>Order Executed Message.</entry></row><row><entry>Type</entry></row><row><entry>Timestamp -</entry><entry>1</entry><entry>4</entry><entry>Numeric</entry><entry>Nanoseconds portion of the</entry></row><row><entry>Nanoseconds</entry><entry /><entry /><entry /><entry>timestamp.</entry></row><row><entry>Order</entry><entry>5</entry><entry>4</entry><entry>Numeric</entry><entry>The order reference number</entry></row><row><entry>Reference</entry><entry /><entry /><entry /><entry>associated with the</entry></row><row><entry>Number</entry><entry /><entry /><entry /><entry>executed order.</entry></row><row><entry>Transaction</entry><entry>9</entry><entry>4</entry><entry>Numeric</entry><entry>Transaction ID</entry></row><row><entry>ID</entry><entry /><entry /><entry /><entry>corresponding to the</entry></row><row><entry /><entry /><entry /><entry /><entry>transaction ID in</entry></row><row><entry /><entry /><entry /><entry /><entry>the response message.</entry></row><row><entry>Order book</entry><entry>13</entry><entry>4</entry><entry>Numeric</entry><entry>Unique Order book</entry></row><row><entry>ID</entry><entry /><entry /><entry /><entry>identifier</entry></row><row><entry>Side</entry><entry>17</entry><entry>1</entry><entry>Alpha</entry><entry>The type of order being</entry></row><row><entry /><entry /><entry /><entry /><entry>traded.</entry></row><row><entry /><entry /><entry /><entry /><entry>Values;</entry></row><row><entry /><entry /><entry /><entry /><entry>“B” = buy order</entry></row><row><entry /><entry /><entry /><entry /><entry>“S” = sell order</entry></row><row><entry>Executed</entry><entry>18</entry><entry>4</entry><entry>Numeric</entry><entry>The quantity executed.</entry></row><row><entry>Quantity</entry></row><row><entry>Match ID</entry><entry>22</entry><entry>14</entry><entry>Alpha</entry><entry>The day unique Match</entry></row><row><entry /><entry /><entry /><entry /><entry>Number of this</entry></row><row><entry /><entry /><entry /><entry /><entry>execution</entry></row><row><entry>Priority</entry><entry>36</entry><entry>4</entry><entry>Numeric</entry><entry>Indicate priority for an</entry></row><row><entry>Order</entry><entry /><entry /><entry /><entry>order if the field value</entry></row><row><entry>Reference</entry><entry /><entry /><entry /><entry>is not zero.</entry></row><row><entry>Number</entry><entry /><entry /><entry /><entry>This field is a new Order</entry></row><row><entry /><entry /><entry /><entry /><entry>Reference Number for</entry></row><row><entry /><entry /><entry /><entry /><entry>Priority Order with</entry></row><row><entry /><entry /><entry /><entry /><entry>size zero and price of</entry></row><row><entry /><entry /><entry /><entry /><entry>the original order that</entry></row><row><entry /><entry /><entry /><entry /><entry>needs to be added</entry></row><row><entry /><entry /><entry /><entry /><entry>to the book.</entry></row><row><entry /><entry /><entry /><entry /><entry>It serves the purpose of a</entry></row><row><entry /><entry /><entry /><entry /><entry>placeholder in the book,</entry></row><row><entry /><entry /><entry /><entry /><entry>where additional size</entry></row><row><entry /><entry /><entry /><entry /><entry>can be added</entry></row><row><entry /><entry /><entry /><entry /><entry>to this priority orders.</entry></row><row><entry namest="1" nameend="5" align="center" rowsep="1" /></row></tbody></tgroup></table></tables>

0115In certain example embodiments, an order executed with price message is provided as part of an electronic market data feed. This message may be sent in the event that an order in the book is executed in whole or in part at a price different from the initial display price. As the execution price for this order is different than the displayed price of the original add order message, the Exchange may include a price for this execution message.

0116In certain examples, If the incoming order causing the match cannot be fully filled, the remainder will be placed in the book after the match has occurred. In certain instances, it is possible to receive multiple order executed and order executed with price messages for the same aggressive or incoming order if that order is executed in several parts. Messages for the same order are cumulative. In certain examples, these executions may be marked as non-printable to inform subscribers to ignore this message for purposes of time-and-sales displays or volume calculations. This may be prevent double counting occurrences.

0000<tables id="TABLE-US-00014" num="00014"><table frame="none" colsep="0" rowsep="0" pgwide="1"><tgroup align="left" colsep="0" rowsep="0" cols="1"><colspec colname="1" colwidth="259pt" align="center" /><thead><row><entry namest="1" nameend="1" rowsep="1">TABLE 13</entry></row></thead><tbody valign="top"><row><entry namest="1" nameend="1" align="center" rowsep="1" /></row><row><entry>Example Order Executed With Price Message</entry></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="5"><colspec colname="1" colwidth="49pt" align="left" /><colspec colname="2" colwidth="28pt" align="center" /><colspec colname="3" colwidth="35pt" align="center" /><colspec colname="4" colwidth="35pt" align="left" /><colspec colname="5" colwidth="112pt" align="left" /><tbody valign="top"><row><entry>Field Name</entry><entry>Offset</entry><entry>Length</entry><entry>Value</entry><entry>Notes</entry></row><row><entry namest="1" nameend="5" align="center" rowsep="1" /></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="5"><colspec colname="1" colwidth="49pt" align="left" /><colspec colname="2" colwidth="28pt" align="char" char="." /><colspec colname="3" colwidth="35pt" align="char" char="." /><colspec colname="4" colwidth="35pt" align="left" /><colspec colname="5" colwidth="112pt" align="left" /><tbody valign="top"><row><entry>Message</entry><entry>0</entry><entry>1</entry><entry>“C”</entry><entry>Order Executed Message.</entry></row><row><entry>Type</entry></row><row><entry>Timestamp -</entry><entry>1</entry><entry>4</entry><entry>Numeric</entry><entry>Nanoseconds portion of the</entry></row><row><entry>Nanoseconds</entry><entry /><entry /><entry /><entry>timestamp.</entry></row><row><entry>Order</entry><entry>5</entry><entry>4</entry><entry>Numeric</entry><entry>The unique reference number</entry></row><row><entry>Reference</entry><entry /><entry /><entry /><entry>associated with the executed</entry></row><row><entry>Number</entry><entry /><entry /><entry /><entry>order.</entry></row><row><entry>Transaction</entry><entry>9</entry><entry>4</entry><entry>Numeric</entry><entry>Transaction ID corresponding to</entry></row><row><entry>ID</entry><entry /><entry /><entry /><entry>the transaction ID in the response</entry></row><row><entry /><entry /><entry /><entry /><entry>message.</entry></row><row><entry>Order book</entry><entry>13</entry><entry>4</entry><entry>Numeric</entry><entry>Unique Order book identifier</entry></row><row><entry>ID</entry></row><row><entry>Side</entry><entry>17</entry><entry>1</entry><entry>Alpha</entry><entry>The type of order being traded.</entry></row><row><entry /><entry /><entry /><entry /><entry>Values:</entry></row><row><entry /><entry /><entry /><entry /><entry>“B” = buy order</entry></row><row><entry /><entry /><entry /><entry /><entry>“S” = sell order</entry></row><row><entry>Executed</entry><entry>18</entry><entry>4</entry><entry>Numeric</entry><entry>The quantity executed.</entry></row><row><entry>Quantity</entry></row><row><entry>Match ID</entry><entry>22</entry><entry>14</entry><entry>Alpha</entry><entry>The unique Match Number</entry></row><row><entry /><entry /><entry /><entry /><entry>assigned by the trading system of</entry></row><row><entry /><entry /><entry /><entry /><entry>this execution.</entry></row><row><entry>Printable</entry><entry>36</entry><entry>1</entry><entry>Alpha</entry><entry>Indicates if the execution should</entry></row><row><entry /><entry /><entry /><entry /><entry>be reflected on time and sale</entry></row><row><entry /><entry /><entry /><entry /><entry>displays and volume calculations.</entry></row><row><entry /><entry /><entry /><entry /><entry>“N” = non-printable</entry></row><row><entry /><entry /><entry /><entry /><entry>“Y” = printable</entry></row><row><entry>Trade Price</entry><entry>37</entry><entry>4</entry><entry>Price</entry><entry>The price at which the order</entry></row><row><entry /><entry /><entry /><entry /><entry>execution occurred.</entry></row><row><entry>Trade Yield</entry><entry>41</entry><entry>4</entry><entry>Numeric</entry><entry>The yield at which the order</entry></row><row><entry /><entry /><entry /><entry /><entry>execution occurred. This field is</entry></row><row><entry /><entry /><entry /><entry /><entry>optional and will be present only</entry></row><row><entry /><entry /><entry /><entry /><entry>for securities that do not trade in</entry></row><row><entry /><entry /><entry /><entry /><entry>yield and require yield. If Yield</entry></row><row><entry /><entry /><entry /><entry /><entry>Decimals was set to −1 then this</entry></row><row><entry /><entry /><entry /><entry /><entry>field should be ignored.</entry></row><row><entry namest="1" nameend="5" align="center" rowsep="1" /></row></tbody></tgroup></table></tables>

0117In certain example embodiments, a two-sided order executed message may be provided. Orders that trigger such messages may occur when an order in the electronic order book is executed in whole or in part against a new aggressive order which gains priority. In this case the remaining untraded part of the aggressive order is added to the book with priority and maintains its position until priority is gone. It should be noted that it is possible for the new aggressive order to trade out in full. In this case the remaining size is zero, but it still acts as a place holder to maintain the position. The price for the newly added aggressive order is a trade price, so no extra field is provided. This single message is a combination of “E” message followed by “A” message that would require priority and potentially allow for zero size. This case is identified by the “New Aggressive Order” flag being set to “Y” in the message.

0118Another circumstance that may trigger this order message type is when an order in the book is executed in whole or in part against another order that already exists in the book. In this case the executed quantity should be removed from accumulated quantity of both orders participating in this execution. Such a situation may occur in a locked market, when existing priority orders trade, or when priority expires and the remaining matching orders in the book are allowed to trade against each other. This case is identified by having the “New Aggressive Order” flag set to “N” in the message.

0119In certain examples, this order message type is marked as non-printable (e.g., to assist in preventing double counting).

0000<tables id="TABLE-US-00015" num="00015"><table frame="none" colsep="0" rowsep="0" pgwide="1"><tgroup align="left" colsep="0" rowsep="0" cols="1"><colspec colname="1" colwidth="273pt" align="center" /><thead><row><entry namest="1" nameend="1" rowsep="1">TABLE 14</entry></row></thead><tbody valign="top"><row><entry namest="1" nameend="1" align="center" rowsep="1" /></row><row><entry>Example Two-Sided Order Executed Message</entry></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="5"><colspec colname="1" colwidth="42pt" align="left" /><colspec colname="2" colwidth="28pt" align="center" /><colspec colname="3" colwidth="28pt" align="center" /><colspec colname="4" colwidth="35pt" align="left" /><colspec colname="5" colwidth="140pt" align="left" /><tbody valign="top"><row><entry>Field Name</entry><entry>Offset</entry><entry>Length</entry><entry>Value</entry><entry>Notes</entry></row><row><entry namest="1" nameend="5" align="center" rowsep="1" /></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="5"><colspec colname="1" colwidth="42pt" align="left" /><colspec colname="2" colwidth="28pt" align="char" char="." /><colspec colname="3" colwidth="28pt" align="char" char="." /><colspec colname="4" colwidth="35pt" align="left" /><colspec colname="5" colwidth="140pt" align="left" /><tbody valign="top"><row><entry>Message</entry><entry>0</entry><entry>1</entry><entry>“D”</entry><entry>Order Executed Message.</entry></row><row><entry>Type</entry></row><row><entry>Timestamp -</entry><entry>1</entry><entry>4</entry><entry>Numeric</entry><entry>Nanoseconds portion of the</entry></row><row><entry>Nanoseconds</entry><entry /><entry /><entry /><entry>timestamp.</entry></row><row><entry>Order</entry><entry>5</entry><entry>4</entry><entry>Numeric</entry><entry>The unique reference number</entry></row><row><entry>Reference</entry><entry /><entry /><entry /><entry>associated with the executed</entry></row><row><entry>Number</entry><entry /><entry /><entry /><entry>passive order in the book.</entry></row><row><entry>Transaction</entry><entry>9</entry><entry>4</entry><entry>Numeric</entry><entry>Transaction ID corresponding to</entry></row><row><entry>ID</entry><entry /><entry /><entry /><entry>the transaction ID in the response</entry></row><row><entry /><entry /><entry /><entry /><entry>message.</entry></row><row><entry>Order book</entry><entry>13</entry><entry>4</entry><entry>Numeric</entry><entry>Unique Order book identifier</entry></row><row><entry>ID</entry></row><row><entry>Side</entry><entry>17</entry><entry>1</entry><entry>Alpha</entry><entry>The type of passive order in the</entry></row><row><entry /><entry /><entry /><entry /><entry>book being traded. Values:</entry></row><row><entry /><entry /><entry /><entry /><entry>“B” = buy order</entry></row><row><entry /><entry /><entry /><entry /><entry>“S” = sell order</entry></row><row><entry>Executed</entry><entry>18</entry><entry>4</entry><entry>Numeric</entry><entry>The quantity executed.</entry></row><row><entry>Quantity</entry></row><row><entry>Match ID</entry><entry>22</entry><entry>14</entry><entry>Alpha</entry><entry>The unique Match Number</entry></row><row><entry /><entry /><entry /><entry /><entry>assigned by the trading system of</entry></row><row><entry /><entry /><entry /><entry /><entry>this execution.</entry></row><row><entry>Priority</entry><entry>36</entry><entry>4</entry><entry>Numeric</entry><entry>Indicate priority for passive order</entry></row><row><entry>Passive</entry><entry /><entry /><entry /><entry>if the field value is not zero. This</entry></row><row><entry>Order</entry><entry /><entry /><entry /><entry>field is a new Order Reference</entry></row><row><entry>Reference</entry><entry /><entry /><entry /><entry>Number for Priority Order with</entry></row><row><entry>Number</entry><entry /><entry /><entry /><entry>size zero and price of the original</entry></row><row><entry /><entry /><entry /><entry /><entry>order that needs to be added to</entry></row><row><entry /><entry /><entry /><entry /><entry>the book. It serves the purpose</entry></row><row><entry /><entry /><entry /><entry /><entry>of a placeholder in the book,</entry></row><row><entry /><entry /><entry /><entry /><entry>where additional size can be</entry></row><row><entry /><entry /><entry /><entry /><entry>added to this priority orders.</entry></row><row><entry>New</entry><entry>40</entry><entry>1</entry><entry>Alpha</entry><entry>Indicates if this execution is due</entry></row><row><entry>Aggressive</entry><entry /><entry /><entry /><entry>to new aggressive order or result</entry></row><row><entry>Order</entry><entry /><entry /><entry /><entry>of trading between two orders</entry></row><row><entry>Flag</entry><entry /><entry /><entry /><entry>existing in the book. Values:</entry></row><row><entry /><entry /><entry /><entry /><entry>“Y” = New Aggressive order</entry></row><row><entry /><entry /><entry /><entry /><entry>“N” = Trade between two existing</entry></row><row><entry /><entry /><entry /><entry /><entry>orders</entry></row><row><entry>Aggressive</entry><entry>41</entry><entry>4</entry><entry>Numeric</entry><entry>The unique reference number</entry></row><row><entry>Order</entry><entry /><entry /><entry /><entry>associated with the new</entry></row><row><entry>Reference</entry><entry /><entry /><entry /><entry>aggressive order remaining</entry></row><row><entry>Number</entry><entry /><entry /><entry /><entry>quantity being added to the book.</entry></row><row><entry /><entry /><entry /><entry /><entry>It can be 0 if fully traded</entry></row><row><entry>Aggressive</entry><entry>45</entry><entry>4</entry><entry>Numeric</entry><entry>The remaining aggressive</entry></row><row><entry>remaining</entry><entry /><entry /><entry /><entry>quantity being added to the book.</entry></row><row><entry>Quantity</entry><entry /><entry /><entry /><entry>It can be 0 if fully traded. It is</entry></row><row><entry /><entry /><entry /><entry /><entry>also set to zero if the execution is</entry></row><row><entry /><entry /><entry /><entry /><entry>between orders that were already in the book.</entry></row><row><entry>Aggressive</entry><entry>49</entry><entry>1</entry><entry>Numeric</entry><entry>Indicate priority attribute of</entry></row><row><entry>Priority Flag</entry><entry /><entry /><entry /><entry>aggressor. This field is a bit map.</entry></row><row><entry /><entry /><entry /><entry /><entry>Low bit will be set to 1if the order</entry></row><row><entry /><entry /><entry /><entry /><entry>has priority.</entry></row><row><entry>Printable</entry><entry>50</entry><entry>1</entry><entry>Alpha</entry><entry>Indicates if the execution should</entry></row><row><entry /><entry /><entry /><entry /><entry>be reflected on time and sale</entry></row><row><entry /><entry /><entry /><entry /><entry>displays and volume calculations.</entry></row><row><entry /><entry /><entry /><entry /><entry>“N” = non-printable</entry></row><row><entry /><entry /><entry /><entry /><entry>“Y” = printable</entry></row><row><entry>Trade Price</entry><entry>51</entry><entry>4</entry><entry>Price</entry><entry>The price at which the order</entry></row><row><entry /><entry /><entry /><entry /><entry>execution occurred.</entry></row><row><entry>Trade Yield</entry><entry>55</entry><entry>4</entry><entry>Numeric</entry><entry>The yield at which the order</entry></row><row><entry /><entry /><entry /><entry /><entry>execution occurred. This field will</entry></row><row><entry /><entry /><entry /><entry /><entry>be present only for securities that</entry></row><row><entry /><entry /><entry /><entry /><entry>trade in yield and require yield</entry></row><row><entry /><entry /><entry /><entry /><entry>value. If Yield Decimals was set</entry></row><row><entry /><entry /><entry /><entry /><entry>to −1 this field should be ignored.</entry></row><row><entry namest="1" nameend="5" align="center" rowsep="1" /></row></tbody></tgroup></table></tables>

0120In certain example embodiments, an order cancel message is provided that may be sent when an order in the book is modified as a result of either a partial cancellation or complete cancellation. In certain instances, when the display quantity for the retained size reaches zero, the order should be removed from the book.

0000<tables id="TABLE-US-00016" num="00016"><table frame="none" colsep="0" rowsep="0"><tgroup align="left" colsep="0" rowsep="0" cols="1"><colspec colname="1" colwidth="217pt" align="center" /><thead><row><entry namest="1" nameend="1" rowsep="1">TABLE 15</entry></row></thead><tbody valign="top"><row><entry namest="1" nameend="1" align="center" rowsep="1" /></row><row><entry>Example Order Cancel Message</entry></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="5"><colspec colname="1" colwidth="42pt" align="left" /><colspec colname="2" colwidth="28pt" align="center" /><colspec colname="3" colwidth="28pt" align="center" /><colspec colname="4" colwidth="35pt" align="left" /><colspec colname="5" colwidth="84pt" align="left" /><tbody valign="top"><row><entry>Field Name</entry><entry>Offset</entry><entry>Length</entry><entry>Value</entry><entry>Notes</entry></row><row><entry namest="1" nameend="5" align="center" rowsep="1" /></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="5"><colspec colname="1" colwidth="42pt" align="left" /><colspec colname="2" colwidth="28pt" align="char" char="." /><colspec colname="3" colwidth="28pt" align="char" char="." /><colspec colname="4" colwidth="35pt" align="left" /><colspec colname="5" colwidth="84pt" align="left" /><tbody valign="top"><row><entry>Message</entry><entry>0</entry><entry>1</entry><entry>“X”</entry><entry>Order Cancel Message.</entry></row><row><entry>Type</entry></row><row><entry>Timestamp -</entry><entry>1</entry><entry>4</entry><entry>Numeric</entry><entry>Nanoseconds portion of</entry></row><row><entry>Nanoseconds</entry><entry /><entry /><entry /><entry>the timestamp.</entry></row><row><entry>Order</entry><entry>5</entry><entry>4</entry><entry>Numeric</entry><entry>The reference number of</entry></row><row><entry>Reference</entry><entry /><entry /><entry /><entry>the order being reduced.</entry></row><row><entry>Number</entry></row><row><entry>Transaction</entry><entry>9</entry><entry>4</entry><entry>Numeric</entry><entry>Transaction ID</entry></row><row><entry>ID</entry><entry /><entry /><entry /><entry>corresponding to the</entry></row><row><entry /><entry /><entry /><entry /><entry>transaction ID in the</entry></row><row><entry /><entry /><entry /><entry /><entry>response message.</entry></row><row><entry>Order</entry><entry>13</entry><entry>4</entry><entry>Numeric</entry><entry>Unique Order book</entry></row><row><entry>book ID</entry><entry /><entry /><entry /><entry>identifier</entry></row><row><entry /><entry /><entry /><entry /><entry>of a UST security</entry></row><row><entry>Side</entry><entry>17</entry><entry>1</entry><entry>Alpha</entry><entry>The type of order being</entry></row><row><entry /><entry /><entry /><entry /><entry>added. Values:</entry></row><row><entry /><entry /><entry /><entry /><entry>“B” = buy order</entry></row><row><entry /><entry /><entry /><entry /><entry>“S” = sell order</entry></row><row><entry>Canceled</entry><entry>18</entry><entry>4</entry><entry>Numeric</entry><entry>The quantity being removed</entry></row><row><entry>Quantity</entry><entry /><entry /><entry /><entry>from the display size as the</entry></row><row><entry /><entry /><entry /><entry /><entry>result of a cancellation.</entry></row><row><entry namest="1" nameend="5" align="center" rowsep="1" /></row></tbody></tgroup></table></tables>

0121In certain example embodiments, an order replace message is provided for when an order in the book has been modified. For example, when an existing order is changed through an alter action (e.g., changing order attributes of the order and adding quantity to priority order). In such an instances, the side of the order and the order book ID for the order remain the same as the original order. Accordingly, the side and the order book ID cannot be changed for the action that triggers this message. In certain example embodiments, an increase in order size for non-priority orders is done via an action that triggers the add order message. In certain example embodiments, a decrease in order size is accomplished through an action that triggers the cancel order message. In certain example embodiments, a price modification for the order is accomplished with a cancel message followed by an add message.

0000<tables id="TABLE-US-00017" num="00017"><table frame="none" colsep="0" rowsep="0"><tgroup align="left" colsep="0" rowsep="0" cols="1"><colspec colname="1" colwidth="217pt" align="center" /><thead><row><entry namest="1" nameend="1" rowsep="1">TABLE 16</entry></row></thead><tbody valign="top"><row><entry namest="1" nameend="1" align="center" rowsep="1" /></row><row><entry>Example Order Replace Message</entry></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="5"><colspec colname="1" colwidth="42pt" align="left" /><colspec colname="2" colwidth="28pt" align="center" /><colspec colname="3" colwidth="28pt" align="center" /><colspec colname="4" colwidth="35pt" align="left" /><colspec colname="5" colwidth="84pt" align="left" /><tbody valign="top"><row><entry>Field Name</entry><entry>Offset</entry><entry>Length</entry><entry>Value</entry><entry>Notes</entry></row><row><entry namest="1" nameend="5" align="center" rowsep="1" /></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="5"><colspec colname="1" colwidth="42pt" align="left" /><colspec colname="2" colwidth="28pt" align="char" char="." /><colspec colname="3" colwidth="28pt" align="char" char="." /><colspec colname="4" colwidth="35pt" align="left" /><colspec colname="5" colwidth="84pt" align="left" /><tbody valign="top"><row><entry>Message</entry><entry>0</entry><entry>1</entry><entry>“U”</entry><entry>Order Replace Message</entry></row><row><entry>Type</entry></row><row><entry>Timestamp -</entry><entry>1</entry><entry>4</entry><entry>Numeric</entry><entry>Nanoseconds portion of the</entry></row><row><entry>Nanoseconds</entry><entry /><entry /><entry /><entry>timestamp.</entry></row><row><entry>Order</entry><entry>5</entry><entry>4</entry><entry>Numeric</entry><entry>The original reference</entry></row><row><entry>Reference</entry><entry /><entry /><entry /><entry>number of the order being</entry></row><row><entry>Number</entry><entry /><entry /><entry /><entry>replaced. Note that the</entry></row><row><entry /><entry /><entry /><entry /><entry>Order Reference Number</entry></row><row><entry /><entry /><entry /><entry /><entry>does not change when the</entry></row><row><entry /><entry /><entry /><entry /><entry>order is replaced.</entry></row><row><entry>Transaction</entry><entry>9</entry><entry>4</entry><entry>Numeric</entry><entry>Transaction ID</entry></row><row><entry>ID</entry><entry /><entry /><entry /><entry>corresponding to the</entry></row><row><entry /><entry /><entry /><entry /><entry>transaction ID in the</entry></row><row><entry /><entry /><entry /><entry /><entry>response message.</entry></row><row><entry>Order</entry><entry>13</entry><entry>4</entry><entry>Numeric</entry><entry>Unique Order book</entry></row><row><entry>book ID</entry><entry /><entry /><entry /><entry>identifier</entry></row><row><entry>Quantity</entry><entry>17</entry><entry>4</entry><entry>Numeric</entry><entry>The new visible quantity of</entry></row><row><entry /><entry /><entry /><entry /><entry>the order</entry></row><row><entry>Priority</entry><entry>21</entry><entry>1</entry><entry>Numeric</entry><entry>Indicate priority attribute</entry></row><row><entry>Flag</entry><entry /><entry /><entry /><entry>for this order. This field</entry></row><row><entry /><entry /><entry /><entry /><entry>is a bit map.</entry></row><row><entry /><entry /><entry /><entry /><entry>Low bit will be set to</entry></row><row><entry /><entry /><entry /><entry /><entry>1if the order has priority.</entry></row><row><entry namest="1" nameend="5" align="center" rowsep="1" /></row></tbody></tgroup></table></tables>

0122In certain example embodiments, non-displayable order types may generate trade execution details. The following is an example trade message that may be generated in such circumstances.

0000<tables id="TABLE-US-00018" num="00018"><table frame="none" colsep="0" rowsep="0"><tgroup align="left" colsep="0" rowsep="0" cols="1"><colspec colname="1" colwidth="217pt" align="center" /><thead><row><entry namest="1" nameend="1" rowsep="1">TABLE 17</entry></row></thead><tbody valign="top"><row><entry namest="1" nameend="1" align="center" rowsep="1" /></row><row><entry>Example Trade Message</entry></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="5"><colspec colname="1" colwidth="42pt" align="left" /><colspec colname="2" colwidth="28pt" align="center" /><colspec colname="3" colwidth="28pt" align="center" /><colspec colname="4" colwidth="35pt" align="left" /><colspec colname="5" colwidth="84pt" align="left" /><tbody valign="top"><row><entry>Field Name</entry><entry>Offset</entry><entry>Length</entry><entry>Value</entry><entry>Notes</entry></row><row><entry namest="1" nameend="5" align="center" rowsep="1" /></row></tbody></tgroup><tgroup align="left" colsep="0" rowsep="0" cols="5"><colspec colname="1" colwidth="42pt" align="left" /><colspec colname="2" colwidth="28pt" align="char" char="." /><colspec colname="3" colwidth="28pt" align="char" char="." /><colspec colname="4" colwidth="35pt" align="left" /><colspec colname="5" colwidth="84pt" align="left" /><tbody valign="top"><row><entry>Message</entry><entry>0</entry><entry>1</entry><entry>“P”</entry><entry>Trade Message.</entry></row><row><entry>Type</entry></row><row><entry>Timestamp -</entry><entry>1</entry><entry>4</entry><entry>Numeric</entry><entry>Nanoseconds portion</entry></row><row><entry>Nanoseconds</entry><entry /><entry /><entry /><entry>of the timestamp.</entry></row><row><entry>Order book</entry><entry>5</entry><entry>4</entry><entry>Numeric</entry><entry>Unique Order book</entry></row><row><entry>ID</entry><entry /><entry /><entry /><entry>identifier</entry></row><row><entry>Executed</entry><entry>9</entry><entry>4</entry><entry>Numeric</entry><entry>The quantity executed.</entry></row><row><entry>Quantity</entry></row><row><entry>Match ID</entry><entry>13</entry><entry>14</entry><entry>Alpha</entry><entry>The day unique</entry></row><row><entry /><entry /><entry /><entry /><entry>Match Number</entry></row><row><entry /><entry /><entry /><entry /><entry>of this execution</entry></row><row><entry /><entry /><entry /><entry /><entry>This field will be set to</entry></row><row><entry /><entry /><entry /><entry /><entry>blanks if trade message</entry></row><row><entry /><entry /><entry /><entry /><entry>specifies the total</entry></row><row><entry /><entry /><entry /><entry /><entry>quantity traded for</entry></row><row><entry /><entry /><entry /><entry /><entry>some period of time</entry></row><row><entry /><entry /><entry /><entry /><entry>instead of reporting every</entry></row><row><entry /><entry /><entry /><entry /><entry>non-displayable execution.</entry></row><row><entry>Trade Price</entry><entry>27</entry><entry>4</entry><entry>Price</entry><entry>The execution price</entry></row><row><entry namest="1" nameend="5" align="center" rowsep="1" /></row></tbody></tgroup></table></tables>

Technical Advantages of Described Subject Matter

0123According to certain example embodiments, data processing requests that are submitted to a data processing computer system may be associated with a transaction ID. The transaction ID may assist in identifying which data processing requests have been acted upon and how they have acted upon by the data processing computer system. In certain example embodiments, client computer systems that submit data processing requests to the computer system may maintain their anonymity even though the results of their submitted requests are publically broadcast as part of an electronic data feed. The inclusion of the transaction ID in such electronic data feed messages may allow correlation and/or identification of messages (and the additional information represented in those messages) that resulted from processing of the previously submitted data transaction requests by the data processing computer system.

0124In certain example embodiments, the transaction IDs are generated in an increasing (or decreasing manner) so that the messages which are part of public electronic data feed represent how multiple data transaction requests from disparate and distributed data transaction submitters (e.g., client computer systems) have been ordered and/or processed by the data processing computer system. This technique can thus address problems in distributed transaction processing where the order of the processing is relevant, anonymity of the data transaction requests is desirable, and/or it is beneficial for client computer systems to be presented with public information that allows the public information to be traced back (e.g., correlated or identified) to previously submitted data transactions requests (e.g., orders) that are private or proprietary in nature.

Additional Applications of Described Subject Matter

0125Although various embodiments have been shown and described in detail, the claims are not limited to any particular embodiment or example. None of the above description should be read as implying that any particular element, step, range, or function is essential. All structural and functional equivalents to the elements of the above-described preferred embodiment that are known to those of ordinary skill in the art are expressly incorporated herein by reference and are intended to be encompassed. Moreover, it is not necessary for a device or method to address each and every problem sought to be solved by the present invention, for it to be encompassed by the invention. No embodiment, feature, component, or step in this specification is intended to be dedicated to the public.