Electronic market message management of temporally specific messages

Patent metadata

Field	Value
Publication number	US-10210573-B2
Application number	US-201414492934-A
Country	US
Kind code	B2
Filing date	Sep 22, 2014
Priority date	Sep 22, 2014
Publication date	Feb 19, 2019
Grant date	Feb 19, 2019

Abstract

Methods, devices, and systems for managing electronic messages of an electronic trading system in which orders are extracted from the electronic messages involve executing actions associated with respect to the orders. The actions in the electronic trading system may have times specified within the electronic message for the action to be executed.

First claim

What is claimed is:

1. A computer implemented method of processing transactions in a system which implements a batch auction trading system of an electronic market using electronic messages, the method comprising:
receiving, by a processor, a plurality of electronic messages, each of the plurality of electronic messages having an associated action to be executed, each of the plurality of electronic messages being received at any time within a designated period of time, of a plurality of continuous periods of time, having a beginning time and an ending time, after which the received plurality of electronic messages are to be processed by the electronic market and electronic messages are received for the next period of time of the plurality of continuous periods of time, the associated action comprising one of placing an order to buy or sell a product into the electronic market or modifying a previously placed order and wherein at least one electronic message of the plurality of electronic messages is a temporally specific message which comprises data representative of a particular time subsequent to the time of receipt between the beginning and end of the period of time at which the action associated with the at least one electronic message is to be executed;
detecting and extracting, by the processor from each of the received electronic messages, data indicative of the associated action and, where the particular received electronic message is the temporally specific message, the data representative of the particular time;
storing, by the processor, the received plurality of electronic messages in a memory coupled therewith in association with the extracted data; and
executing, by the processor based on the extracted data, the action associated with the at least one temporally specific message at the particular time regardless of the time at which the at least one temporally specific message was received and executing, by the processor in the order of receipt, the action associated with the remaining of the received electronic messages upon expiration of the ending time, wherein when the action comprises placing the order, communicating the order to the electronic market and when the action comprises modifying a previously placed order, causing the previously placed order to be modified.

2. The computer implemented method of claim 1 , wherein the time period is a period of order accumulation for the batch auction trading system, and the passing of the end of the period of time triggers a matching of orders accumulated during the period of order accumulation.

3. The computer implemented method of claim 1 , wherein the particular time is established with reference to the beginning of the time period or the end of the time period.

4. The computer implemented method of claim 1 , wherein the time period comprises a plurality of sub-periods involving distinct temporal windows, and the particular time is indicative of a particular temporal window of the plurality of temporal windows.

5. The computer implemented method of claim 4 , wherein the particular time indicates a sub-period of the plurality of sub-periods that exists as the latest sub-period occurring prior to the end of the period.

6. The computer implemented method of claim 1 , wherein the receiving occurs during the time period.

7. The computer implemented method of claim 1 , wherein the receiving occurs prior to the beginning of the time period.

8. A computer system for processing transactions in a system which implements a batch auction trading system of an electronic market using electronic messages, the system comprising:
a memory operable to store a plurality of electronic messages, each of the plurality of electronic messages having an associated action to be executed, each of the plurality of electronic messages being received at any time within a designated period of time, of a plurality of continuous periods of time, having a beginning time and an ending time, after which the received plurality of electronic messages are to be processed by the electronic market and electronic messages are received for the next period of time of the plurality of continuous periods of time, the associated action comprising one of placing an order to buy or sell a product into the electronic market or modifying a previously placed order and wherein at least one electronic message of the plurality of electronic messages is a temporally specific message which comprises data representative of a particular time subsequent to the time of receipt between the beginning and end of the period of time at which the action associated with the at least one electronic message is to be executed; and
a computer processor, coupled with the memory, the computer processor configured to extract from each of the received electronic messages, data indicative of the associated action and, where the particular received electronic message is the temporally specific message, the data representative of the particular time and execute, based on the extracted dated, the action associated with the at least one temporally specific message at the particular time regardless of the time at which the at least one temporally specific message was received and execute, in the order of receipt, the action associated with the remaining of the received electronic messages upon expiration of the ending time, wherein when the action comprises placing the order, the computer processor is further configured to communicate the order to the electronic market and when the action comprises modifying a previously placed order, the computer processor is further configured to cause the previously placed order to be modified.

9. The system of claim 8 , wherein the time period is a period of order accumulation for the batch auction trading system, and the passing of the end of the period of time triggers a matching of orders accumulated during the period of order accumulation.

10. The system of claim 8 , wherein the particular time is established with reference to the beginning of the time period or the end of the time period.

11. The system of claim 8 , wherein the time period comprises a plurality of sub-periods involving distinct temporal windows, and the particular time is indicative of a particular temporal window of the plurality of temporal windows.

12. The system of claim 11 , wherein the particular time indicates a sub-period of the plurality of sub-periods that exists as the latest sub-period occurring prior to the end of the period.

13. The system of claim 8 , wherein the messages are received during the time period.

14. The system of claim 8 , wherein the messages are received prior to the beginning of the time period.

15. A non-transitory computer readable medium including instructions for processing transactions in a computer system which implements a batch auction trading system of an electronic market using electronic messages, that when executed by the computer system are operable to:
receive a plurality of electronic messages, each of the plurality of electronic messages having an associated action to be executed, each of the plurality of electronic messages being received at any time within a designated period of time, of a plurality of continuous periods of time, having a beginning time and an ending time, after which the received plurality of electronic messages are to be processed by the electronic market and electronic messages are received for the next period of time of the plurality of continuous periods of time, the associated action comprising one of placing an order to buy or sell a product into the electronic market

Assignees

• Chicago Mercantile Exchange Inc

Inventors

• Labuszewski John
• Co Richard
• Kerpel John
• Paffaro Roberta

Classifications

• G06Q40/04 Primary

  Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange · CPC title