Systems and methods of prioritized electronic data match processing

Patent metadata

Field	Value
Publication number	US-10831780-B2
Application number	US-201816032789-A
Country	US
Kind code	B2
Filing date	Jul 11, 2018
Priority date	Oct 8, 2015
Publication date	Nov 10, 2020
Grant date	Nov 10, 2020

Abstract

An electronic exchange computing system is provided that includes a computer storage system, at least one transceiver, and a processing system. The storage system stores an electronic order book. The transceiver receives data transaction requests and transmits messages of an electronic data feed. The processing system determines that a first order has priority and generates a new order ID for the first order. The first order is maintained in the electronic order book (e.g., with a quantity of 0). Additional order instructions are received from a client computer system and are associated with the first order. A match is found based on the additional order instructions. A data feed update message is generated and transmitted as part of a real-time data feed and includes the newly generated order ID for the first order.

First claim

The invention claimed is:

1. An electronic exchange computing system comprising:
a computer storage system configured to store an electronic order book configured to store a plurality of pending orders;
at least one transceiver configured to transmit, to subscribing computing systems, an electronic data communications feed that includes information on electronic order book changes or updates;
a processing system that includes at least one hardware processor coupled to the computer storage system, the processing system configured to:
based on identification of a match between the first order, which has a first order ID, and second order, determine that at least the first order has priority over other orders in the electronic order book;
based on determination that the first order has priority, generate a new order ID for the first order and associate it with the first order;
after identification of the match between the first order and the second order, receive, via the at least one transceiver, further order data that specifies additional quantity for the first order;
match at least some of the specified additional quantity for the first order with at least one other order included in the electronic order book; and
generate, in accordance with the match that involves at least some of the specified additional quantity for the first order to the at least one other order, a message that is as part of the electronic data communications feed, the message including: 1) the new order ID of the first order, 2) data indicating the match using some of the additional quantity for the first order was performed, and 3) data that the match was performed using the determined priority of the first order.

2. The electronic exchange computing system of claim 1 , wherein the first order is maintained within the electronic order book with the first order ID after execution of the match between the first order and the second order.

3. The electronic exchange computing system of claim 1 , wherein the message is a combination of an order execution message and an add message that is associated with the new order ID.

4. The electronic exchange computing system of claim 1 , wherein the processing system is further configured to:
based on determination that the first order has priority, start a priority timer and execute a priority mode; and
responsive to determination that the priority timer has reached a threshold, generate and transmit a second message as part of the electronic data communications feed, the second message indicating that the first order and/or the new order ID are no longer being executed in a priority mode.

5. The electronic exchange computing system of claim 1 , wherein the processing system is further configured to:
determine that the first order exceeds a threshold priority quantity requirement,
wherein determination that the first order has priority is further based on determination that the first order exceeded the threshold priority quantity requirement.

6. The electronic exchange computing system of claim 1 , wherein determination that the first order has priority is further based on a determination that the first order has been fulfilled.

7. The electronic exchange computing system of claim 1 , wherein the electronic data communications feed is transmitted according to the ITCH data-feed protocol.

8. The electronic exchange computing system of claim 1 , wherein the processing system is further configured to:
based on determination that the first order has priority and while the first order has priority based on the determination, do not execute other matching processes that do not involve the first order being processed against the plurality of pending orders that are in the electronic order book,
wherein the first order and each one of the pending orders included in the electronic order book are all associated with the same instrument ID.

9. The electronic exchange computing system of claim 1 , wherein the processing system is configured to organize the electronic order book on a price/time priority basis, where any quantity associated with the first order is matched according priority of the first order ID in the electronic order book and not the new order ID.

10. A method of processing electronic data messages submitted to an electronic exchange computing system that includes 1) a computer storage system, 2) at least one transceiver, and 3) a processing system that includes at least one hardware processor, the method comprising:
storing a plurality of pending orders in an electronic order book that is stored in the computer storage system;
transmitting, as part of an electronic data communications feed and to subscribing computing systems, changes and/or updates concerning the electronic order book;
based on identification of a match between the first order, which has a first order ID and second order, determining that at least the first order has priority over other orders in the electronic order book;
based on determination that the first order has priority, generating, by using the processing system, a new order ID for the first order and associate it with the first order;
after identification of the match between the first order and the second order, receiving, via the at least one transceiver, further order data that specifies additional quantity for the first order;
matching, by using the processing system, at least some of the specified additional quantity for the first order with at least one other order included in the electronic order book; and
generating, by using the processing system and in accordance with the match that involves at least some of the specified additional quantity for the first order to the at least one other order, a message that is as part of the electronic data communications feed, the message including: a) the new order ID of the first order, b) data indicating the match using some of the additional quantity for the first order was performed, and c) data that the match was performed using the determined priority of the first order.

11. The method of claim 10 , wherein the first order is maintained within the electronic order book with the first order ID after execution of the match between the first order and the second order.

12. The method of claim 10 , wherein the message is a combination of an order execution message and an add message that is associated with the new order ID.

13. The method of claim 10 , further comprising:
based on determination that the first order has priority, starting a priority timer and enter a priority mode;
responsive to determination that the priority timer has reached a threshold, generating and transmitting a second message as part of the electronic data communications feed, the second message indicating that the first order and/or the new order ID are no longer being executed in a priority mode.

14. The method of claim 10 , further comprising:
calculating that the first order exceeds a threshold priority quantity requirement,
wherein determination that the first order has priority is further based on determination that the first order exceeded the threshold priority quantity requirement.

15. The method of claim 10 , further comprising:
sorting, by using the processing system, the electronic order book on a price/time priority basis, where any quantity associated with the first order is matched according priority of the first order ID in the electronic order book and not the new order ID.

16. The method of claim 10 , further comprising:
based on determination that the first order has priority an

Assignees

• Nasdaq Inc

Inventors

• GOLUBOVSKY Leo
• Wang Chung-Sin

Classifications

• G06F16/27 Primary

  Replication, distribution or synchronisation of data between databases or within a distributed database system; Distributed database system architectures therefor · CPC title

• G06Q40/04 Primary

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

• G06F16/93

  Document management systems · CPC title