Message pattern detection and processing suspension

Patent metadata

Field	Value
Publication number	US-10338979-B2
Application number	US-201715702145-A
Country	US
Kind code	B2
Filing date	Sep 12, 2017
Priority date	Aug 31, 2016
Publication date	Jul 2, 2019
Grant date	Jul 2, 2019

Abstract

A transaction suspension system rapidly determines whether messages received by a data transaction processing system correspond to a stored message pattern. Stored message patterns may relate to a transaction type associated with each message, which sources transmitted the messages, and when messages were received by the data transaction processing system. The transaction suspension system may prevent the processing of messages, e.g., messages from a specific source, even if the messages would have otherwise qualified for processing or execution.

First claim

What is claimed is:

1. A computer implemented method for processing electronic data transaction request messages for a data object in a data transaction processing system, the method comprising:
receiving, by a processor from a first source, a first electronic data transaction request message to perform a first transaction of a first transaction type on a data object;
processing, by the processor, the first electronic data transaction request message, wherein processing an electronic data transaction request comprises determining whether the electronic data transaction request message matches with another electronic data transaction request message;
receiving, by the processor from a second source, a second electronic data transaction request message to perform a second transaction of the first transaction type on the data object;
processing, by the processor, the second electronic data transaction request message;
receiving, by the processor from the first source, a third electronic data transaction request message to undo results of processing the first electronic data transaction request message;
processing, by the processor, the third electronic data transaction request message;
receiving, by the processor from the first source, within a first predetermined amount of time after receiving the third electronic data transaction request message, a fourth electronic data transaction request message to perform a first transaction of a second transaction type on the data object;
upon determining that processing the fourth electronic data transaction request message would result in a match between the second and the fourth electronic data transaction request messages, automatically preventing, by the processor, further processing of the fourth electronic data transaction request message; and
after a passage of a second predetermined amount of time, enabling further processing, by the processor, of the fourth electronic data transaction request message.

2. The computer implemented method of claim 1 , wherein the data transaction processing system does not transmit data identifying any one source to any other source.

3. The computer implemented method of claim 2 , wherein the data transaction processing system does not transmit, to the second source, data indicating that the first, third and fourth electronic data transaction request messages were received from the first source.

4. The computer implemented method of claim 1 , further comprising:
receiving, by the processor from a third source, after receiving the fourth electronic data transaction request message, a fifth electronic data transaction request message to perform a second transaction of the second transaction type on the data object; and
processing, by the processor, the fifth electronic data transaction request message, wherein processing the fifth electronic data transaction request message results in a match between the second and fifth electronic data transaction request messages.

5. The computer implemented method of claim 4 , wherein the processor processes the fifth electronic data transaction request message without processing the fourth electronic data transaction request message even if the fourth electronic data transaction request message has a higher priority than the fifth electronic data transaction request message.

6. The computer implemented method of claim 4 , wherein processing the fifth electronic data transaction request message results in at least partial satisfaction of one or both of the second or fifth electronic data transaction request messages.

7. The computer implemented method of claim 1 , further comprising:
receiving, by the processor from the second source, a sixth electronic data transaction request message to undo results of processing the second electronic data transaction request message; and
processing, by the processor, the sixth electronic data transaction request message.

8. The computer implemented method of claim 1 , further comprising determining that electronic data transaction request messages are transmitted by a same source if the electronic data transaction request messages: originate from a same client computer; originate from a same client server; are associated with a same client identifier; or are associated with a same user identifier.

9. The computer implemented method of claim 1 , wherein the second transaction type is counter to the first transaction type.

10. The computer implemented method of claim 9 , wherein the data transaction processing system is an exchange computing system, wherein the first transaction type is one of relinquish or purchase a quantity of a financial instrument traded in the exchange computing system and associated with the data object, and wherein the second transaction type is the other of relinquish or purchase a quantity of the financial instrument traded in the exchange computing system and associated with the data object.

11. The computer implemented method of claim 1 , wherein values associated with electronic data transaction request messages are stored in a data structure, wherein the data structure comprises a first and second queue associated with the data object, wherein the first queue stores data related to transactions of the first transaction type, and wherein the second queue stores data related to transactions of the second transaction type.

12. The computer implemented method of claim 1 , wherein the processor is a matching processor, and wherein preventing further processing of an electronic data transaction request message received for the data object includes preventing matching of the electronic data transaction request message by the matching processor.

13. The computer implemented method of claim 1 , wherein the processing of an electronic data transaction request message results in modification of the data object based on the electronic data transaction request message, and the preventing of further processing of an electronic data transaction request message prevents modification of the data object based on the electronic data transaction request message.

14. The computer implemented method of claim 13 , further comprising:
upon modifying a data object based on an electronic data transaction request message received from a transmitting source, publishing, by the processor, to a plurality of sources, data indicating the modification to the data object based on the electronic data transaction request message, the published data not including identifying information about the transmitting source.

15. The computer implemented method of claim 1 , further comprising, determining, by the processor, that a predetermined amount of a quantity associated with the first transaction type for the data object is associated with the first source before automatically preventing further processing of the fourth electronic data transaction request message.

16. The computer implemented method of claim 1 , wherein the preventing of processing, by the processor, of the fourth electronic data transaction request message further comprises preventing, temporarily, by the processor, further processing of the fourth electronic data transaction request message.

17. A non-transitory computer-readable medium storing instructions that, when executed by a processor, cause the processor to:
receive, from a first source, a first electronic data transaction request message to perform a first transaction of a first transaction type on a data object;
process the first electronic data transaction request message, wherein the process comprises a

Assignees

• Chicago Mercantile Exchange Inc

Inventors

• Millhuff Paul
• Lustyk Neil
• Scheerer John
• Bailey James
• Dhillon Supreet

Classifications

• G06Q40/04 Primary

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

• G06F9/546 Primary

  Message passing systems or structures, e.g. queues · CPC title

• G06F9/466

  Transaction processing · CPC title