Detection and mitigation of effects of high velocity value changes based upon match event outcomes

Patent metadata

Field	Value
Publication number	US-10783532-B2
Application number	US-201615091626-A
Country	US
Kind code	B2
Filing date	Apr 6, 2016
Priority date	Apr 6, 2016
Publication date	Sep 22, 2020
Grant date	Sep 22, 2020

Abstract

A processing module may be centralized and coupled to multiple inputs from customers, and behave deterministically, e.g., programmed to depend on state, inputs and outputs. The rapid speed of automated trading systems implementing such a centralized, deterministic module, where all users can access a central limit order object, can quickly result in an object state that does not reflect a true consensus or desirable state. Accordingly the resulting problem is a problem arising in computer systems due in part to the high speeds of computer systems. The solutions disclosed herein are, in one embodiment, implemented as automatic responses and actions by a computing system.

First claim

What is claimed is:

1. A computer implemented method comprising:
controlling a data transaction processing system which is characterized by a state and which automatically processes electronic data transaction request messages for a data object as they are received resulting in changes to the state based thereon, the controlling further comprising:
receiving, from one of a plurality of external sources via an electronic communications network by a specifically configured processor of the data transaction processing system, an electronic data transaction request message to perform a transaction on the data object, the electronic data transaction request message having a message value and a quantity;
accessing, by the processor, a data structure maintained by the data transaction processing system which stores data indicative of the state of the data transaction processing system including data indicative of previously received but not yet completed electronic data transaction request messages to perform a transaction on the data object;
determining, automatically by the processor based on the state of the data transaction processing system including the data indicative of the previously received but not yet completed electronic data transaction request messages to perform a transaction on the data object, whether some, all, or none of the quantity of the received electronic data transaction request message matches a previously received electronic data transaction request and therefore will subsequently be involved in a match event generated by a match engine module coupled with the processor based on the message value, thereby resulting in a change in the state of the data transaction processing system;
after automatically determining that none of the quantity of the electronic data transaction request message is to be involved in the match event, assigning the message value as a comparison value;
after automatically determining that only some of the quantity of the electronic data transaction request message is to be involved in the match event at one or more match values, assigning the message value and the one or more match values as comparison values;
after automatically determining that all of the quantity of the electronic data transaction request message is to be involved in the match event at one or more match values, assigning the one or more match values as comparison values;
identifying, by the processor, a comparative value of the data object after an elapse of a duration of time; and
for at least one of the comparison values,
(i) determining, by the processor, a difference between the comparison value and the comparative value; and
(ii) determining, by the processor, that the difference deviates from a threshold value; and
performing, automatically by the processor, an action to control the data transaction processing system, based on determining that the difference deviates from the threshold value, wherein the action comprises automatically halting, by the processor, processing of electronic data transaction request messages received for the data object until a pre-determined condition is satisfied so as to prevent a subsequent change in the state of the data transaction processing system caused by subsequently received electronic data transaction request messages; and
wherein the comparative value is a first comparative value, the duration of time is a first duration of time, and the threshold is a first threshold, the method further including,
after determining that an action was not performed, identifying a second comparative value of the data object upon an elapse of a second duration of time; and
for at least one of the comparison values,
(iii) determining, by the processor, a difference between the comparison value and the second comparative value; and
(iv) determining, by the processor, that the difference deviates from a second threshold value; and
performing, by the processor, an action, when the difference deviates from the second threshold value; and further
wherein the processor is a matching processor, and wherein halting processing of electronic data transaction request messages received for the data object includes halting matching of electronic data transaction request messages by the matching processor.

2. The computer implemented method of claim 1 , wherein more than one comparison value exists, wherein the computer implemented method further includes initially performing steps (i) and (ii) with the comparison value that is furthest from the message value and repeating steps (i) and (ii) for the next furthest comparison value until one of
(a) an action is performed, or
(b) steps (i) and (ii) have been performed for all of the comparison values.

3. The computer implemented method of claim 2 , wherein the transaction is to purchase a product associated with the data object and the comparison value that is furthest from the message value is the comparison value that is smallest compared to the message value.

4. The computer implemented method of claim 2 , wherein the transaction is to relinquish a product associated with the data object and the comparison value that is furthest from the message value is the comparison value that is largest compared to the message value.

5. The computer implemented method of claim 1 , wherein more than one comparison value exists, wherein the computer implemented method further includes initially performing steps (iii) and (iv) with the comparison value that is furthest from the message value and repeating steps (iii) and (iv) for the next furthest comparison value until one of
(a) an action is performed, or
(b) steps (iii) and (iv) have been performed for all of the comparison values.

6. The computer implemented method of claim 5 , wherein the transaction is to purchase a product associated with the data object and the comparison value that is furthest from the message value is the comparison value that is smallest compared to the message value.

7. The computer implemented method of claim 5 , wherein the transaction is to relinquish a product associated with the data object and the comparison value that is furthest from the message value is the comparison value that is largest compared to the message value.

8. The computer implemented method of claim 1 , wherein the pre-determined condition is a passage of a pre-determined amount of time after receiving the electronic data transaction request message.

9. The computer implemented method of claim 1 , wherein the pre-determined condition is receiving a pre-determined number of subsequent electronic data transaction request messages to perform transactions on the data object after receiving the electronic data transaction request message.

10. The computer implemented method of claim 1 , which includes, after the pre-determined condition is satisfied, resuming processing of electronic data transaction request messages received for the data object.

11. The computer implemented method of claim 1 , wherein the first and second durations of time overlap.

12. The computer implemented method of claim 11 , wherein the first and second durations of time are different.

13. The computer implemented method of claim 1 , wherein the first and second threshold values are different.

14. The computer implemented method of claim 1 , wherein identifying the first or second comparative values comprises determining one or more of: a minimum value of the data object over the first or second durations of time, respectively; a maximum value of the data object over the first or second durations of time, respectively; or an average of

Assignees

• Chicago Mercantile Exchange Inc

Inventors

• Lustyk Neil A
• Scheerer John
• Bailey James
• Millhuff Paul

Classifications

• G06Q40/03

  Credit; Loans; Processing thereof · CPC title

• G06Q40/00

  Finance; Insurance; Tax strategies; Processing of corporate or income taxes · CPC title

• G06Q30/0201 Primary

  Market modelling; Market analysis; Collecting market data · CPC title

• G06Q40/04 Primary

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

• G06Q40/025

  Physics · mapped topic