Ideal latency floor

Patent metadata

Field	Value
Publication number	US-10325317-B2
Application number	US-201414533543-A
Country	US
Kind code	B2
Filing date	Nov 5, 2014
Priority date	Nov 5, 2013
Publication date	Jun 18, 2019
Grant date	Jun 18, 2019

Abstract

The invention relates to a system and method for providing a latency floor for an electronic trading venue in which market participants who can respond within the value the floor and choose to compete in a specific race to make or take a price may each have a substantially equal chance of winning that race. The system may detect and distinguish individual “races” that occur on an electronic trading venue. Upon detection of the first order (or message) in such a race, the system may create a batch and a timer for that race. As orders pertaining to that race are received, they are added to its batch. Upon the timer reaching a predetermined value, typically the value of the floor, the race is determined to have ended and the orders are drained from the batch for processing (e.g., against the instrument's central limit order book (CLOB)).

First claim

What is claimed is:

1. A computer implemented method of providing a latency floor for a market race, the method being implemented in a computer system having one or more physical processors programmed with computer program instructions that, when executed by the one or more physical processors, cause the computer system to perform the method, the method comprising:
receiving, by the computer system, a first order associated with a first market participant for a financial instrument at a first time;
triggering, by the computer system, a first market race associated with the financial instrument responsive to receipt of the first order;
defining, by the computer system, a batching period for the first market race based on the first time at which the first order is received and a predefined length of time;
receiving, by the computer system, a second order associated with a second market participant for the financial instrument at a second time within the batching period;
generating, by the computer system, a batched set of orders based on the first order and the second order in a sequence in which the first order and the second order were received;
storing, by the computer system, the batched set of orders based on the sequence in which the first order and the second order were received;
determining, by the computer system, that an end of the batching period has occurred;
generating, by the computer system, a list of market participants from which one or more orders were received during the batching period, the list of market participants including at least the first market participant and the second market participant;
shuffling, by the computer system, the list of market participants to create a random ordering of the market participants; and
selecting, by the computer system, an order from the batched set of orders based on the random ordering of the market participants responsive to the determination that the end of the batching period has occurred.

2. The method of claim 1 , the method further comprising:
receiving a third order associated with a third market participant for the financial instrument at a third time;
determining that the third order should trigger a second market race associated with the financial instrument that is different from the first market race; and
triggering the second market race associated with the financial instrument responsive to a determination that the third order should trigger the second market race.

3. The method of claim 2 , wherein the second market race is triggered during the batching period such that at least a portion of the first market race and at least a portion of the second market race occur simultaneously.

4. The method of claim 3 , wherein the first market race is of a first type of market race and the second market race is of a second type of market race different from the first type.

5. The method of claim 1 , the method further comprising:
storing the first order or the second order until expiration of the batching period.

6. The method of claim 1 , the method further comprising:
receiving a third order associated with the first market participant for the financial instrument at a third time within the batching period;
generating a first set of orders from the first market participant based on the first order and the third order; and
generating a second set of orders from the second market participant based on the second order.

7. The method of claim 6 , wherein a manner in which the order is randomly selected from among the first set of orders or the second set of orders is determined based on a type of the first market race.

8. The method of claim 6 , wherein the first set of orders satisfy a first predefined condition and the second set of orders satisfy a second predefined condition.

9. The method of claim 6 , the method further comprising:
obtaining a split size that defines an amount of an order's quantity to be processed at a given time;
selecting the first market participant based on the random ordering;
decrementing the amount of the order's quantity on the first set of orders based on the split size;
causing the amount of the order's quantity on the first set of orders to be drained;
selecting the second market participant after the first market participant based on the random ordering;
decrementing the amount of the order's quantity on the second set of orders based on the split size;
and causing the amount of the order's quantity on the second set of orders to be drained.

10. The method of claim 1 , wherein randomly selecting the order from the batched set of orders comprises:
selecting, by the computer system, the first order from the first market participant; and
selecting, by the computer system, the second order from the second market participant.

11. The method of claim 10 , wherein the batched set of orders include a first set of orders from the first market participant and a second set of orders, including the second order and at least one other second order, from the second market participant, the method further comprising:
maintaining, by the computer system, a first sequence in which each of the orders in the first set of orders were received;
maintaining, by the computer system, a second sequence in which each of the second orders in the second set of orders were received;
wherein selecting the first order comprises selecting the first order and remaining orders from the first set of orders before selecting the second order; and
wherein selecting the second order comprises selecting the second order and remaining orders from the second set of orders after selecting the first set of orders.

12. The method of claim 10 , wherein the batched set of orders include a first set of orders, including the first order and at least one other order, from the first market participant, and the batched set of orders include a second set of orders, including the second order and at least one other second order, from the second market participant, the method further comprising:
maintaining, by the computer system, a first sequence in which each of the orders in the first set of orders were received;
maintaining, by the computer system, a second sequence in which each of the second orders in the second set of orders were received;
wherein selecting the first order comprises selecting the first order and not the remaining orders from the first set of orders before selecting the second order;
wherein selecting the second order comprises selecting the second order and not remaining orders from the second set of orders after selecting the first set of orders;
after selecting the second order, selecting a next first order in the first set of orders from the first market participant; and
after selecting the next first order, selecting a next second order in the second set of orders from the second market participant.

13. The method of claim 1 , the method further comprising:
processing, by the computer system, the batched set of orders against a central limit order book based on the selected order.

14. A system of providing a latency floor for a market race, the system comprising:
a computer system comprising one or more physical processors programmed by computer program instructions that, when executed, cause the computer system to:
receive a first order associated with a first market participant for a financial instrument at a first time;
trigger a first market race associated with the financial instrument responsive to receipt of the first order;
define a batching period for the first market race based on the first time at whi

Assignees

• Thomson Reuters Global Resources
• Refinitiv Us Organization Llc

Inventors

• Melton Hayden Paul

Classifications

• G06Q40/04 Primary

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