Message processing

Patent metadata

Field	Value
Publication number	US-10733669-B2
Application number	US-201213564886-A
Country	US
Kind code	B2
Filing date	Aug 2, 2012
Priority date	Aug 2, 2012
Publication date	Aug 4, 2020
Grant date	Aug 4, 2020

Abstract

Systems and methods are provided for scoring the use of financial market messages. Uses of messages that are efficient and/or improve market liquidity receive positive scores. Traders are charge fees or receive rewards that are dependent upon message quality scores.

First claim

We claim:

1. A system comprising:
a communication network;
a trading engine, communicatively coupled with the communication network, that receives a market data message from a trader and comprises:
a hardware message quality module of the trading engine containing a first computer-readable medium containing computer-executable instructions, that when executed, determine a message quality score that quantifies an efficiency of the market data message, wherein the efficiency is measured by a message type of the market data message, wherein the message quality score is assigned a value of:

0 when the message type is a new order message type,
1 when the message type is a cancel order message type, and
0.3 when the message type is a modify order message type;
wherein the trading engine further comprises a second computer-readable medium containing computer-executable instructions that when executed cause the trading engine to perform the steps comprising:
(a) transforming an outgoing message to insert the message quality score into the outgoing message, wherein the outgoing message is an acknowledgment message that acknowledges processing of the market data message at the trading engine;
(b) transmitting from the trading engine over the communications network coupled therewith, the transformed outgoing message; and
(c) determining a message volume control limit as a function of the message quality score and adding or removing message capacity based thereon; and

wherein the system further comprises:
a gateway communicatively coupled with the communications network and including a computer-readable medium containing computer-executable instructions that when executed cause the gateway to perform the steps comprising:
(a) receiving the transformed outgoing message from the trading engine via the communications network;
(b) performing volume control checks; and
(c) transmitting the message quality score of the received transformed outgoing message to the trader.

2. The system of claim 1 , wherein the market data message comprises an order for a derivative product.

3. The system of claim 1 , wherein the message quality score corresponding to the modify order message type is less than an average of the message quality score corresponding to the new order message type and the message quality score corresponding to the cancel order message type.

4. The system of claim 1 , wherein the message quality score further comprises a function of a change in price level from a best bid or a best offer.

5. The system of claim 4 , wherein the message quality score increases as a price level moves away from a best bid or best offer.

6. The system of claim 4 , wherein the message quality score comprises a function of an order size.

7. The system of claim 6 , wherein the message quality score increases as the order size decreases.

8. The system of claim 6 , wherein the message quality score comprises a function of a time that an order has been in a market corresponding to the market data message received at the trading engine.

9. The system of claim 8 , wherein the message quality score for the new order message type decreases as an order has been in the market longer.

10. The system of claim 8 , wherein the message quality score is a weighted sum of:
the change in the price level;
the order size; and
the time that the order has been in the market.

11. The system of claim 10 , wherein weights used in the weighted sum are a function of the market.

12. The system of claim 11 , wherein the weights used in the weighted sum are a function of market activity in the market.

13. The system of claim 1 , wherein the trading engine further includes an aggregation module that aggregates a plurality of message quality scores into an aggregate message quality score for a trading entity.

14. The system of claim 13 , further including:
a computer device that determines a fee corresponding to the aggregate message quality score.

Assignees

• Studnitzer Ari
• Ball Nathan
• Arner Ii Wayne G
• Scimeca Giuseppe
• Scheerer John
• Reithel Christopher
• Doornebos Jacob
• Wolf Brian
• Chicago Mercantile Exchange Inc

Inventors

• Studnitzer Ari
• Ball Nathan
• Arner Ii Wayne G
• Scimeca Giuseppe
• Scheerer John
• Reithel Christopher
• Doornebos Jacob
• Wolf Brian

Classifications

• G06Q40/04 Primary

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