Abstract:
According to some embodiments, systems, methods, apparatus, computer program code, and means for filtering options data include receiving options feed data including a first set of options feed data having a changed quote, identifying, from the first set of options feed data, a second set of the options feed data meeting at least a first filter criteria, producing a filtered options feed by filtering out the second set of the options feed data, and disseminating the filtered options feed.

Description:
BACKGROUND 
       [0001]    Options are a popular investment option for many classes of investors. An option is essentially a contract giving a buyer the right, but not the obligation, to buy or sell shares of an underlying security at a specific price for a specific time. In the U.S., for example, a number of exchanges facilitate the trading of options, including the Chicago Board Options Exchange (the “CBOE”), the American Stock Exchange (the “AMEX”), the International Securities Exchange (the “ISE”) the Boston Options Exchange (the “BSE”), the New York Stock Exchange (through their Archipelago subsidiary) (the “NYSE Arca”), and the Philadelphia Stock Exchange (the “PHLX”). 
         [0002]    In the U.S., data from all of the options exchanges are consolidated into a single data feed—the “OPRA” feed. The OPRA feed is a near real-time feed of all options quotes throughout the trading day. Each exchange may publish quotes as different aspects of orders change throughout the day. Increasingly, the exchanges have been providing a greater number of quotes (on the theory that more price points are better for investors). As competition between the exchanges increase, the exchanges have been providing a greater number of quotes (on the theory that more price points are better for investors). 
         [0003]    Unfortunately, this has lead to a huge increase in data that is disseminated to investors. For example, over the last several years, the volume of quotes has been increasing at over 100% each year. Last year, there were about 50,000 quotes/second in peak periods during the trading day. This year, there are between 100,000 and 140,000 quotes/second during peak periods. Recently, new peak volumes have exceeded 163,000 messages per second from OPRA. OPRA also announced that they expect their message rate to hit 456,000 by mid-2007. This huge increase in data makes it difficult for traders to identify changes of interest, and also presents a problem for trading platform throughput (as many of these quotes may be associated with enhanced feed data, such as news and securities information related to each underlyer and option). 
     
     
       BRIEF DESCRIPTION OF THE DRAWINGS 
         [0004]      FIG. 1  illustrates a block diagram of a system pursuant to some embodiments. 
           [0005]      FIG. 2  illustrates typical data provided for a typical set of options. 
           [0006]      FIG. 3  illustrates an options filtering process pursuant to some embodiments. 
           [0007]      FIG. 4  illustrates a further options filtering process pursuant to some embodiments. 
           [0008]      FIG. 5  illustrates a further options filtering process pursuant to some embodiments. 
           [0009]      FIG. 6  illustrates an options filtering system pursuant to some embodiments. 
       
    
    
     SUMMARY OF THE INVENTION 
       [0010]    According to some embodiments, systems, methods, apparatus, computer program code, and means for filtering options data include receiving options feed data including a first set of options feed data having a changed quote, identifying, from the first set of options feed data, a second set of the options feed data meeting at least a first filter criteria, producing a filtered options feed by filtering out the second set of the options feed data, and disseminating the filtered options feed. 
         [0011]    In some embodiments, the first set of the options feed data includes options feed data having a changed quote with no change in price. In some embodiments, the at least first filter criteria includes at least one size threshold. In some embodiments, multiple thresholds are established based on the previous size of the quote and based on the price increase or decrease from the previous size. 
         [0012]    A technical content of some embodiments of the invention is improved throughput and processing efficiency. For example, in some embodiments, options feed sizes may be reduced by a substantial amount without loss of relevant information. With this and other advantages and features that will become hereinafter apparent, a more complete understanding of the nature of the invention can be obtained by referring to the following detailed description and to the drawings appended hereto. 
       DETAILED DESCRIPTION 
       [0013]    Applicant has recognized a need for improved options feed processing. Pursuant to some embodiments, options feed data are filtered to remove or suppress certain quote data to improve bandwidth, information dissemination, and to facilitate improved use of feed data. 
         [0014]    For consistency and ease of exposition, a number of terms are used herein to describe features of some embodiments. For example, the term “option” is used to refer to a contract whereby one party (the “holder” or “buyer”) has the right but not the obligation to exercise a feature of the contract (the “option”) on or before a future date (the “exercise date” or “expiry”). The other party (the “writer” or “seller”) has the obligation to honor the specified feature of the contract. Since the option gives the buyer a right and the seller an obligation, the buyer has received something of value. The amount the buyer pays the seller for the option is called the “option premium”. Typically, the buyer has the right but not the obligation to purchase (a “call option”) or sell (a “put option”) a specified amount of a security within a specified time period. 
         [0015]    For simplicity, but not by way of limitation, the options and options exchanges described herein are described in examples related to trade on U.S. options exchanges. Those skilled in the art will appreciate that features of embodiments of the present invention may be used on other exchanges as well. 
         [0016]    As used herein, the term “quote” or “market quote” refers to a quotation of the current best bid/ask prices for an option in the marketplace. 
         [0017]    As used herein, “OPRA” refers to the Options Price Reporting Authority, a U.S. national market system plan that governs the process by which options market data are collected from participant exchanges, consolidated, and disseminated. Consolidated data help ensure that broker-dealers, markets, and investors have the best prices available for an option, from all markets trading that option class. Again, the reference to U.S. market data is not intended to be limiting; embodiments of the present invention may be used with other market data systems. 
         [0018]    Features of some embodiments will now be described by reference to  FIG. 1 , where a system  100  for filtering options is shown. As depicted, system  100  includes options feed data generated by one or more options exchanges  102   a - n  and routed over one or more networks  106  to a number of entities and devices, including an options filtering system  120 , and one or more trading platforms  110   a - n . In some embodiments, the network  106  may also be in communication with one or more enhanced data sources  108   a - n.    
         [0019]    In some embodiments, a consolidated feed source (or sources)  104  receives option data from options exchanges  102   a - n  and consolidates the feed data into a single consolidated feed. For example, in the U.S., consolidated feed source  104  may be the Options Price Reporting Authority (“OPRA”), which currently receives and consolidates feed data from exchanges such as AMEX, BSE, CBOE, ISE, NYSA Arca and PHLX. Those skilled in the art will appreciate that data from other exchanges and other consolidators may also be used with embodiments of the present invention. 
         [0020]    The feed data is disseminated to a number of trading entities and platforms such as trading platforms  110   a - n . Pursuant to some embodiments, feed data is first routed to options filtering system  120  for filtering pursuant to the present invention. In some embodiments, options filtering system  120  is configured to operate as one or more servers operated to disseminate quote data. For example, in some embodiments, a data provider or other entity may operate a “ticker plant” including a number of servers configured to deliver streams of quote data, including options quotes. Options filtering system  120  may be one or more servers in this ticker plant. In this manner, options filtering system  120  may be operated to filter quote data before feeds are disseminated to a number of users, thereby reducing bandwidth needed to deliver the outgoing feed to a large number of customers. In some embodiments, options filter system  120  may be configured to operate as a Web server receiving unfiltered options feed data from consolidated feed source  104  and generating filtered feed data for dissemination to one or more trading platforms  10   a - n.    
         [0021]    In some embodiments, options filtering system  120  may be operated by, or on behalf of, a data provider such as the assignee of the present application, Reuters Ltd. In some embodiments, different traders, operating different trading platforms  110 , may specify different filtering criteria and conditions to receive filtered feeds matching their particular trading preferences. In some embodiments, options filtering system  120  may also receive enhanced data from one or more enhanced data sources  108   a - n . For example, filtered options data generated by options filtering system  120  may be appended with news and market information relevant to particular options. As a specific example, options quote data involving IBM stock may be appended with relevant news and market information about IBM. By filtering the quote feed, the bandwidth required to disseminate both the quote feed and any associated enhanced data is reduced. 
         [0022]    As used herein, devices (e.g., such as trading platform  110 , options filtering system  120 , etc.) may exchange information, for example, via a communication network  106  such as a Local Area Network (LAN), a Metropolitan Area Network (MAN), a Wide Area Network (WAN), a proprietary network, a Public Switched Telephone Network (PSTN), a Wireless Application Protocol (WAP) network, a Bluetooth network, a wireless LAN network (e.g., in accordance with an 802.11 standard), and/or an Internet Protocol (IP) network such as the Internet, an intranet, or an extranet. Note that devices may communicate via one or more such communication networks. 
         [0023]    Although a single options filtering system  120  is shown in  FIG. 1 , any number of options filtering systems  120  may be included in the system  100 . Similarly, any number of trading platforms  110 , consolidated feed sources  104 , exchanges  102  and enhanced data sources  108  may be included according to embodiments of the present invention. That is, the options filtering system  120  may receive, store, and manipulate data feeds from a number of sources, and may transmit filtered options data to a number of users. 
         [0024]    According to some embodiments, the options filtering system  120  may process unfiltered options feed data to create filtered options feed data for use by users operating trading platforms  110   a - n . For example, options filtering system  120  may receive real-time (or current) options feed data from a consolidated feed source (such as OPRA) over network  106 . The options filtering system  120  may then apply one or more filter conditions to the feed to produce one or more filtered feeds. For example, as will be discussed further below, the options filtering system  120  may identify those quotes that have changed in size but not in price and then identify the specific changes in size to filter out changes that are below (or above) one or more set thresholds. For example, an operator of the options filtering system  120  (or individual traders) may determine that options having no change in price, but a large increase in quote size should be included in the filtered feed, but that options having a small increase in quote size should be filtered out of the feed. Other filtering techniques will be described further below in conjunction with  FIGS. 3-5 . In this manner, the huge volume of quote data received from consolidated feed source  104  (and/or directly from options exchanges  102   a - n ) may be viewed and analyzed in a more accurate and efficient manner by traders operating trading platforms  110   a - n.    
         [0025]      FIG. 2  provides a chart  200  illustrating a small portion of options quote data for options based on a specific equity underlyer (here, the example data is for options based on GE equities). The chart  200  has been filtered pursuant to some embodiments of the present invention. The chart  200  is presented to provide an illustration of certain quote terms provided in a typical feed from a consolidated feed source  104  and also to show the relative bandwidth savings that can be realized through use of the present invention. As shown, a number of options trade at any given time based on each equity underlyer. Each option has a strike price, a symbol (not shown, but here, the symbol is GE IZ), a bid and an ask price, a current volume, and open interest. 
         [0026]    In the example shown in  FIG. 2 , a number of individual quotes are shown. However, a large number of individual quotes have been suppressed or filtered using features of the present invention. The fact that quotes have been suppressed can be discerned by reviewing the sequence numbers in the right-hand column. As shown, there is a gap in sequence numbers between the quote displayed at the top of the chart (at 2:50:12 PM) and the second displayed quote from the top (at 2:50:09 PM). Apparently, two quotes were suppressed. As will be discussed further below, in some embodiments, the quotes may have been suppressed because the change in quote size may have been below a threshold set pursuant to embodiments of the present invention. In the table shown in  FIG. 2 , approximately 72 quotes were received during the period shown—however, only 35 are displayed. That is, over 50% of the received quotes were filtered out pursuant to the present invention. In this manner, substantial bandwidth savings are realized. Further, traders who need to make trading decisions are presented with a smaller set of data to sort through, allowing improved trading decisions. 
         [0027]      FIG. 3  illustrates a process  300  of filtering options data according to some embodiments. The method may be performed, for example, by the options filtering system  120  of  FIG. 1 . The flow charts described herein do not imply a fixed order to the steps, and embodiments of the present invention may be practiced in any order that is practicable. In some embodiments, the process  300  may be processed continually as new feed data is received from consolidated feed source  104 . 
         [0028]    Process  300  begins at  302  where options feed data is received. For example, options feed data may be received from one or more consolidated feed sources  104  over network  106 . In some embodiments, options feed data may also be received directly from one or more exchanges  102 . 
         [0029]    Processing continues at  304  where changed quote data in the feed is identified by comparing the current feed with a stored version of a previous feed. In some embodiments, processing at  304  includes identifying quote data which has a change in size but no change in price, although those skilled in the art will appreciate that filtering may be performed which includes identifying selected changes in price as well. Those skilled in the art will appreciate that options feeds generally include only quotes having a change in price or size or both; accordingly, processing at  304  may include simply receiving options feed data. 
         [0030]    Processing continues at  306  where relevant filter criteria is identified. In some embodiments, a single set of filter criteria are applied to all feed data. In some embodiments, different criteria may be applied to feeds for different customers (e.g., one trading entity may specify a first set of criteria, while a second trading entity may specify a second set of criteria). The filter criteria may include, for example, quote size thresholds that are applied to the feed data which is identified at  304  as having no change in price, but a change in size. 
         [0031]    Once the relevant filter criteria to be applied have been identified, processing continues at  308  where the filter criteria are applied to the feed data. A specific set of filter criteria will be described in more detail below in conjunction with a description of  FIG. 5 . For example, the filter criteria may be based on a quote&#39;s previous size and a change in size from the previous quote. As s specific example, filter criteria may specify that if a quote&#39;s previous size was between 10 and 50, and if the current quote has changed by less than 10 (as either an increase in size or a decrease in size), the quote will be filtered out (or suppressed). The relevant filter criteria are applied to all data in the new feed and a filtered feed is produced at  310 . 
         [0032]    As used herein, the term “filtered feed” generally refers to a feed produced by options filtering system  120  which has a number of options quotes suppressed or filtered out to reduce the volume of quotes that are displayed or disseminated to one or more trading platforms  110   a - n . In some embodiments, a number of filtered feeds may be produced and disseminated to different trading platforms  110   a - n . In some embodiments, one or more filtered feeds may also be enhanced or associated with data from one or more enhanced data sources  108   a - n  (e.g., appending market data, news or other information to the quote data in the filtered feed). 
         [0033]    Referring now to  FIG. 4 , a further process  400  for producing filtered option feeds is shown. Again, process  400  may be performed by, or under the control of, options filtering system  120  based on unfiltered options feed data received from consolidated feed source  104  and/or from one or more options exchanges  102   a - n.    
         [0034]    Process  400  begins at  402  where unfiltered option feed data is received from consolidated feed source  104  (and/or from one or more options exchanges  102   a - n ) over network  106 . For example, the unfiltered option feed data may be received from the OPRA in a format specified by OPRA. 
         [0035]    Processing continues at  404  where options filtering system  120  operates to identify, for each option and quote, a previous quote size and a current quote size for every quote having no change in price. For every quote having no change in price, but a change in quote size, the previous size is categorized into a threshold, shown in  FIG. 4  as previous size thresholds  406 - 410 . For example, the size thresholds may be selected to create size bands to identify relevant size change data. 
         [0036]    Once the size thresholds or bands are identified, the change in size from the previous quote is identified by applying filter criteria at  412 - 422 . In some embodiments, different size change thresholds are identified for price increases and for price decreases. For example, the importance of size decreases as the quote size increases. If a trader has an order to buy or sell  50  options, it matters little to him when the quote size moves from 100 to 200 or from 200 to 100. However, the trader will be very interested to know when the size moves from 20 to 50 or vice versa. 
         [0037]    Pursuant to some embodiments, the direction of the price movement is also a factor in the filtering. If the size increases, it will be of lesser importance than if the size decreases because a decreasing size will be more likely to affect the ability to execute a trade at a given price than will an increasing size because the average trade size is considerably smaller than the average quote size. In general, the thresholds and filtering involve setting size bands that have increasing minimum changes needed to pass the filter as quote sizes increase. The minimum changes are set to different values for increases over the previous size versus decreases over the previous size, with the smaller size limit being used for decreases. The result is a filtered feed that is more relevant to traders and is more easily processed. 
         [0038]    A specific example, illustrating size thresholds is shown in  FIG. 5 . As shown in  FIG. 5 , quotes are grouped into four (4) previous size bands: 10-50, 51-200, 201-1000, and sizes of over 1000. Quotes having previous sizes falling into the 10-50 band are suppressed if the change in size is less than 10 (either an increase or decrease). Quotes having previous sizes falling into the 51-200 band are suppressed if there is a size increase of less than 30, and if there is a size decrease of less than 10. Quotes having previous sizes falling into the 201-1000 band are suppressed if there is a size increase of less than 100, and if there is a size decrease of less than 50. Quotes having previous sizes of greater than 1000 are suppressed if there is a size increase of less than 200, and if there is a size decrease of less than 100. Those skilled in the art will appreciate that these size bands and thresholds may be varied based on market conditions and user acceptance. Further, as described above, different size bands and thresholds may be specified by different clients or users to achieve a filtered feed that meets their specific requirements and trading objectives. 
         [0039]      FIG. 6  illustrates one embodiment of an options filtering system  1200 . The options filtering system  1200 , in this illustrative embodiment, comprises a processor  1210 , such as one or more INTEL® Pentium® processors, coupled to a communication device  1220  configured to communicate via a communication network such as network  106  of  FIG. 1 . The communication device  1220  may be used to communicate, for example, with one or more consolidated feed sources  104  (e.g., to receive unfiltered option feed data) and/or trading platforms  110   a - n  (e.g., to disseminate filtered option feed data and to receive filter criteria). According to one embodiment, the communication device  1220  is also used to communicate with other options filtering systems  1200 . 
         [0040]    The processor  1210  is also in communication with an input device  1240 . The input device  1240  may comprise, for example, a keyboard, a mouse or other pointing device, and/or a microphone. Such an input device  1240  may be used, for example, to enter administrative information and to specify, adjust, or maintain filter criteria. The processor  1210  is also in communication with an output device  1250 . The output device  1250  may comprise, for example, a display screen or printer. 
         [0041]    The processor  1210  is also in communication with a storage device  1230 . The storage device  1230  may comprise any appropriate information storage device, including combinations of magnetic storage devices (e.g., magnetic tape and hard disk drives), optical storage devices, and/or semiconductor memory devices such as Random Access Memory (RAM) devices and Read Only Memory (ROM) devices. 
         [0042]    The storage device  1230  stores a program  1215  for controlling the processor  1210 . The processor  1210  performs instructions of the program  1215 , and thereby operates in accordance with the present invention. For example, the processor  1210  may operate to apply filter criteria to options feed data received from one or more consolidated feed sources  104  and to cause the generation of a filtered options feed for dissemination to one or more trading platforms  110   a - n.    
         [0043]    As used herein, information may be “received” by or “transmitted” to, for example: (i) the options filtering system  1200  from a consolidated feed source  104 , one or more options exchanges  102   a - n , one or more enhanced data sources  108   a - n , and/or one or more trading platforms  110   a - n ; or (ii) a software application or module within the options filtering system  1200  from another software application, module, or any other source. 
         [0044]    As shown in  FIG. 6 , the storage device  1230  also stores: a filter criteria database  1300 , a previous quote database  1400 , and a filtered quote database  1500 . In some embodiments, the filter criteria database  1300  may include one or more filter criteria (such as the specific filter criteria described above in conjunction with  FIG. 5 ). In some embodiments, different sets of filter criteria for different users or trading systems may be included in database  1500 . 
         [0045]    In some embodiments, the previous quote database  1400  includes a previous set of unfiltered quote data from consolidated feed source  104  for use in comparing option size filters to a current feed. In some embodiments, filtered quote database  1500  includes filtered or suppressed data resulting from the application of filters to an options data feed received from consolidated feed source  104 . Data from filtered quote database  1500  may be disseminated to one or more trading platforms for use by traders. 
         [0046]    Although specific hardware and data configurations have been described herein, note that any number of other configurations may be provided in accordance with embodiments of the present invention. The present invention has been described in terms of several embodiments solely for the purpose of illustration. Persons skilled in the art will recognize from this description that the invention is not limited to the embodiments described, but may be practiced with modifications and alterations limited only by the spirit and scope of the appended claims.