Patent ID: 8108289
Filing Date: 2012-01-31
Classification: G06Q

Abstract:
1. A method for recovering streaming data comprising: receiving, at an electronic processor, a stream of data messages, each having a unique consecutive sequence identifier and associated with a market event for a financial instrument; periodically receiving, at the processor, data messages related to a state of the market for the financial instrument, the state of the market referencing at least one unique sequence identifier, where the data messages related to the state of the market comprise snapshot messages comprising multiple levels of bid and ask prices for the financial instrument; and rebuilding, using the processor and a book rebuilding component, a book in memory for the financial instrument according to the consecutive sequence identifiers of the data messages and the data messages related to the state of the market, where the data messages are in-band and the data messages related to the state of the market are out of band.