Electronic market message management of temporally specific messages

Patent metadata

Field	Value
Publication number	US-10839459-B2
Application number	US-201916243558-A
Country	US
Kind code	B2
Filing date	Jan 9, 2019
Priority date	Sep 22, 2014
Publication date	Nov 17, 2020
Grant date	Nov 17, 2020

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. The actions in the electronic trading system may have times specified within the electronic message for the action to be executed.

First claim

What is claimed is:

1. A computer implemented method comprising:
receiving prior to an ending time, by a processor of an electronic market, a plurality of electronic messages to be processed by the electronic market subsequent to the ending time, each of the plurality of electronic messages comprising an associated action to be executed comprising one of placing an order to transact a product or modifying, subject to a condition, a previously placed order and wherein at least one electronic message of the plurality of electronic messages further comprises data specifying when, prior to the ending time, the at least one electronic message is to be processed;
extracting, by the processor from each of the received electronic messages, data indicative of the associated action and, further extracting from the at least one electronic message, the data specifying when the at least one electronic message is to be processed;
storing, by the processor in a memory coupled therewith, the extracted data; and
executing, by the processor based on the stored extracted data, the action associated with the at least one message when specified regardless of the time at which the at least one message was received and further executing, by the processor in the order of receipt subsequent to the ending time, the action associated with each of the other of the plurality of received electronic messages, wherein when the action comprises placing the order, communicating the order to the electronic market, and when the action comprises modifying a previously placed order, causing, subject to the condition, the previously placed order to be modified.

2. The computer implemented method of claim 1 , wherein the ending time defines the end of a time period further defined by a beginning time, and wherein the duration of the time period comprises one of one second, one minute or one hour.

3. The computer implemented method of claim 1 , wherein the time period is one of a plurality of different time periods.

4. The computer implemented method of claim 1 , wherein the condition comprises no condition.

5. The computer implemented method of claim 1 , wherein the condition comprises an occurrence of an event, the executing further comprising, when the action comprises modifying a previously placed order, determining whether the condition has been satisfied and where the condition has been determined to have been satisfied, causing the previously placed order to be modified and where the condition has been determined to not have been satisfied, not causing the previously placed order to be modified.

6. The computer implemented method of claim 1 , wherein the ending time signifies ending of a period of order accumulation for a batch auction trading system, and the passing of the ending time triggers a matching of orders accumulated during the period of order accumulation.

7. The computer implemented method of claim 1 , further comprising ascribing an order of receipt to each of the plurality of electronic messages upon receipt by the processor relative to the receipt of each of the other of the plurality of electronic messages.

8. The computer implemented method of claim 1 , wherein the modification the previously placed order comprises one of canceling the previously placed order, or modifying a price or volume thereof.

9. The computer implemented method of claim 1 , wherein when the at least one message is to be processed is specified relative to the ending time.

10. The computer implemented method of claim 1 , wherein a time period prior to the ending time comprises a plurality of sub-periods, and the data specifying when the at least one message is to be processed is indicative of a particular sub-period of the plurality of sub-periods.

11. The computer implemented method of claim 10 , wherein the particular sub-period comprises the latest sub-period of the plurality of sub-periods occurring prior to the ending time.

12. The computer implemented method of claim 1 , wherein the ending time defines the end of a time period further defined by a beginning time, and wherein the receiving occurs during the time period.

13. The computer implemented method of claim 1 , wherein the ending time defines the end of a time period further defined by a beginning time, and wherein the receiving occurs prior to the beginning time.

14. A computer system comprising:
a memory operable to store a plurality of electronic messages received prior to an ending time to be processed by an electronic market subsequent to the ending time, each of the plurality of electronic messages comprising an associated action to be executed comprising one of placing an order to transact a product or modifying, subject to a condition, a previously placed order and wherein at least one electronic message of the plurality of electronic messages further comprises data specifying when, prior to the ending time, the at least one electronic message is to be processed; and
a computer processor, coupled with the memory, the computer processor configured to extract from each of the received electronic messages, data indicative of the associated action and, from the at least one message, further extract the data specifying when the at least one message is to be processed, and execute, based on the extracted dated, the action associated with the at least one message when specified regardless of the time at which the at least one message was received and further execute, in the order of receipt, the action associated with the remaining of the received electronic messages subsequent to the ending time, wherein when the action comprises placing the order, the computer processor is further configured to communicate the order to the electronic market and when the action comprises modifying a previously placed order, the computer processor is further configured to cause, subject to the condition, the previously placed order to be modified.

15. The system of claim 14 , wherein the ending time defines the end of a time period further defined by a beginning time, and wherein the duration of the time period comprises one of one second, one minute or one hour.

16. The system of claim 14 , wherein the time period is one of a plurality of different time periods.

17. The system of claim 14 , wherein the condition comprises no condition.

18. The system of claim 14 , wherein the condition comprises an occurrence of an event, the computer processor being further operative to, when the action comprises modifying a previously placed order, determine whether the condition has been satisfied and where the condition has been determined to have been satisfied, cause the previously placed order to be modified and where the condition has been determined to not have been satisfied, not cause the previously placed order to be modified.

19. The system of claim 14 , wherein the ending time signifies ending of a period of order accumulation for the batch auction trading system, and the passing of the ending time triggers a matching of orders accumulated during the period of order accumulation.

20. The system of claim 14 , wherein the computer processor is further operative to ascribe an order of receipt to each of the plurality of electronic messages upon receipt relative to the receipt of each of the other of the plurality of electronic messages.

21. The system of claim 14 , wherein the modification the previously placed order comprises one of canceling the previously placed order, or modifying a price or volume thereof.

Assignees

• Chicago Mercantile Exchange Inc

Inventors

• Labuszewski John
• Co Richard
• Kerpel John
• Paffaro Roberta

Classifications

• G06Q40/04 Primary

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