Electronic market message management with priority determination

Patent metadata

Field	Value
Publication number	US-10475122-B2
Application number	US-201815886314-A
Country	US
Kind code	B2
Filing date	Feb 1, 2018
Priority date	Sep 30, 2014
Publication date	Nov 12, 2019
Grant date	Nov 12, 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 and matching orders to counter orders. Matching orders may be based on a priority determined using a market quality index of the order and an associated market participant.

First claim

What is claimed is:

1. A computer implemented method of managing incoming order allocation in an electronic trading system, the electronic trading system comprising a processor which implements a match engine and an electronic market for an associated financial instrument by being operative to attempt to match an incoming order to buy or sell the associated financial instrument with at least one other unsatisfied order for a transaction counter thereto, to at least partially satisfy one or both of the incoming order or the at least one other order, the method comprising:
receiving, by the processor, an incoming transaction from a market participant in the electronic market;
determining, by the processor, whether the incoming transaction comprises an order to buy or sell a quantity of the associated financial instrument or an order to modify or cancel an existing order in the electronic market;
storing, by the processor in a memory coupled therewith in association with the market participant, when the incoming transaction comprises an order to modify or cancel a previously received order, data indicative thereof;
storing, by the processor in the memory coupled therewith in association with the market participant, when the incoming transaction is an order to buy or sell the financial instrument, data indicative of quantity and associated price thereof; and
wherein, the incoming transaction is an order to buy or sell the financial instrument, the method further comprises:
calculating, by the processor, based on the price of the incoming order, the previously stored quantities, the previously stored data indicative of previously received orders to modify or cancel, and previously stored data indicative of a result of attempts to match previously received orders stored in association with the market participant, a value indicative of the previously received transactions from the market participant having increased a probability that the processor will successfully match a subsequently received incoming order to buy or sell the associated financial instrument with at least one other received but unsatisfied order for a transaction counter thereto for the associated financial instrument, to at least partially satisfy one or both of the incoming order or the at least one other received order;
attempting, by the processor, to match the incoming order with at least one other received but unsatisfied order in the electronic market to at least partially satisfy one or both of the incoming order or at least one other received but unsatisfied order, the determination of which of the other received but unsatisfied orders match with the incoming order being at least partially dependent upon the value indicative of the previously received transactions from the market participant having increased a probability that the processor will successfully match a subsequently received incoming order to buy or sell the associated financial instrument with at least one other received but unsatisfied order for a transaction counter thereto for the associated financial instrument, to at least partially satisfy one or both of the incoming order or the at least one other received order that was previously calculated when the other received but unsatisfied order was first received; and
storing, by the processor in the memory coupled therewith, data indicative of a result of the attempt to match the incoming order along with data indicative of the calculated value.

2. The method of claim 1 , wherein the attempting further comprises prioritizing one other received but unsatisfied order over another received but unsatisfied order for matching the incoming order based on their associated calculated values.

3. The method of claim 1 , wherein the storing comprises storing data corresponding to transactions received from the market participant over a determined length of time.

4. The method of claim 1 , wherein the calculating comprises determining a proximity of the price of the incoming order to a midpoint of prices associated with other unmatched orders placed in the electronic market.

5. The method of claim 4 , wherein the midpoint is an average of the highest placed and unmatched order to buy and the lowest placed and unmatched order to sell currently in the electronic market.

6. The method of claim 1 , wherein the calculating comprises determining an average of the previously stored quantities of orders associated with the market participant.

7. The method of claim 1 , wherein the calculating comprises determining a number of matched trades from the previously stored data indicative of results of the attempts to match previously received orders stored in association with the market participant.

8. The method of claim 1 , wherein the calculating comprises determining a number of orders to modify or cancel from the previously stored data indicative of previously received orders to modify or cancel.

9. The method of claim 1 , wherein the calculating comprises determining scores for particular categories of market activity of the market participant and summing the scores to determine the value.

10. The method of claim 9 , wherein the scores for the particular categories are determined as a percentile value for the market participant as compared with other market participants in the electronic market.

11. The method of claim 10 , wherein the particular categories are weighted by designated weighting factors prior to the summing.

12. A computer system for managing incoming order allocation in an electronic trading system, the electronic trading system comprising a processor which implements a match engine and an electronic market for an associated financial instrument by being operative to attempt to match an incoming order to buy or sell the associated financial instrument with at least one other unsatisfied order for a transaction counter thereto, to at least partially satisfy one or both of the incoming order or the at least one other order, the system comprising:
a memory operable to store data indicative of received transactions of a market participant; and
a computer processor, coupled with the memory, the computer processor configured to:
receive an incoming transaction from a market participant in the electronic market;
determine whether the incoming transaction comprises an order to buy or sell a quantity of the associated financial instrument or an order to modify or cancel an existing order in the electronic market;
store, in the memory, in association with the market participant, when the incoming transaction comprises an order to modify or cancel a previously received order, data indicative thereof;
store, in the memory, in association with the market participant, when the incoming transaction is an order to buy or sell the financial instrument, data indicative of quantity and associated price thereof;
wherein, when the incoming transaction is an order to buy or sell the financial instrument, the processor is also configured to calculate, based on the price of the incoming order, the previously stored quantities, the previously stored data indicative of previously received orders to modify or cancel, and previously stored data indicative of a result of the attempt to match previously received orders stored in association with the market participant, a value indicative of the previously received transactions from the market participant having increased a probability that the processor will successfully match a subsequently received incoming order to buy or sell the associated financial instrument with at least one other received but unsatisfied order for a transaction counter thereto for the associated finan

Assignees

• Chicago Mercantile Exchange Inc

Inventors

• Shontz Alan
• Labuszewski John
• Co Richard
• Peters Steve
• Boberski David
• Paffaro Roberta

Classifications

• G06Q40/04 Primary

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