Matching techniques for data transaction requests with private attributes

Patent metadata

Field	Value
Publication number	US-11042925-B2
Application number	US-202016915236-A
Country	US
Kind code	B2
Filing date	Jun 29, 2020
Priority date	Jul 2, 2015
Publication date	Jun 22, 2021
Grant date	Jun 22, 2021

Abstract

A computer system is provided that includes a paired list of data transaction requests on which a matching process is performed. There are multiple different types of data transaction requests that are stored in the paired list including data transaction requests with midpoint attributes and data transaction requests with discretion attributes. The computer system may determine how the multiple different types of data transaction requests may be match against each other. Two matching processes can be used to determine if a match exists between the first and second sides of the paired list. Matches that are determined at private values are not disseminated to third-parties via public market data feeds.

First claim

The invention claimed is:

1. A computing system for processing different types of data transaction requests, the computing system comprising:
non-transitory memory configured to store a first plurality of pending data transaction requests associated with a first list and a second plurality of pending data transaction requests associated with a second list, wherein at least a first data transaction request of the first and second plurality of pending data transaction requests includes a public value for matching and a private discretion attribute that corresponds to at least one discretion increment for matching at a private value that is different than the public value; and
a processing system that includes at least one hardware processor coupled to the non-transitory memory, the processing system configured to:
receive at least a second data transaction request;
based on reception of the second data transaction request, perform a first matching process by using the second data transaction request against the first plurality of pending data transaction requests that are associated with the first list by using a public value of the second data transaction request, wherein the first plurality of pending data transaction requests are sorted according to at least one private value;
after performance of the first matching process and based on the second data transaction request having an unmatched quantity, add the second data transaction request with the unmatched quantity to the second plurality of pending data transaction requests;
perform a second matching process to match at least one data transaction request from the first plurality of pending data transaction requests to at least one data transaction from the second plurality of pending data transaction requests, which includes the second data transaction request with the unmatched quantity, the second matching process using at least one private value that is based on different ones of the data transaction requests of the first and/or second plurality of pending data transaction requests;
based on matching at least two data transaction requests from the first and second plurality of pending data transaction requests at a public value, publish details of the match to a public real-time electronic data feed that is received by third parties; and
based on matching at least two data transaction requests from the first and second plurality of pending data transaction requests at a private value, do not publish details of the match to the public real-time electronic data feed.

2. The computing system of claim 1 , wherein the processing system is further configured to:
in association with the second matching process, calculate a midpoint value based on a calculated difference between a public value associated with the first list and a public value associated with the second list,
wherein the calculated midpoint value is used as the at least one private value during the second matching process.

3. The computing system of claim 1 , wherein the processing system is further configured to:
receive a third data transaction request that includes a midpoint attribute and a quantity value; and
as a result of determining that the third data transaction request includes the midpoint attribute, bypass the first matching process and add the third data transaction request to the first or second plurality of pending data transaction requests,
wherein the second matching process is performed using a dynamically calculated midpoint value for the least one private value that is used for determining if there is a match for the third data transaction request as part of the second matching process.

4. The computing system of claim 1 , wherein the first data transaction request includes a quantity value, where a first portion of the quantity value is matched as a result of the first matching process and a second portion is matched as a result of the second matching process,
where the first portion is matched at the public value of the second data transaction request during the first matching process without taking into account the private discretion attribute of the first data transaction request,
where the second portion is matched by taking into account the private discretion attribute.

5. The computing system of claim 1 , wherein a third data transaction request is included in the first plurality of pending data transaction requests when the second data transaction request is processed using the first matching process and the second matching process,
where a first calculated midpoint value is used to sort the third data transaction request as part of the first plurality of pending data transaction requests for the first matching process,
where a second calculated midpoint value is used for the private value of the third data transaction request during the second matching process that includes the second data transaction request.

6. The computing system of claim 1 , wherein the first plurality of pending data transaction requests is sorted for the first matching process based on a type of the second data transaction request.

7. The computing system of claim 1 , wherein the processing system is further configured to:
enforce a quantity value threshold on data transaction requests with discretion and/or midpoint attributes, where only those data transaction requests that meet the quantity value threshold are eligible for matching at a private value.

8. The computing system of claim 1 , wherein:
in accordance with the first matching process, only sending details of matches to public third parties when a match is determined at a value that is public for all data transaction requests that are part of the match.

9. The computing system of claim 1 , wherein the processing system is further configured to:
enforce a quantity threshold on data transaction requests that are eligible to match at a private values.

10. The computing system of claim 1 , wherein the processing system is further configured to set a third data transaction request, which includes a midpoint attribute, as inactive if either the first list or the second list is not associated with any other pending data transaction requests.

11. A method of matching different types of data transaction requests by a computer system that includes electronic memory, a transceiver, and a processing system that includes at least one processor coupled to the electronic memory and the transceiver, the method comprising:
storing, to the electronic memory, at least a first plurality of pending data transaction requests associated with a first list and a second plurality of pending data transaction requests associated with a second list, wherein at least a first data transaction request of the first plurality of pending data transaction requests includes a public value for matching and a private discretion attribute that corresponds to at least one discretion increment for matching at a private value that is different than the public value;
receiving, via the transceiver, a second data transaction request that includes a quantity for matching;
performing a first matching process that attempts to match, by using a public value of the second data transaction request, the second data transaction request against at least one of the first plurality of pending data transaction requests that are associated with the first list, wherein the first plurality of pending data transaction requests are sorted according to associated private values;
after performing the first matching process and based on the second data transaction request having an unmatched quantity from the first matching process, adding the second data tran

Assignees

• Nasdaq Inc

Inventors

• Cooper Steven
• Noviello Joseph
• GOLUBOVSKY Leo
• Wang Chung-Sin
• Claus Matthew

Classifications

• G06Q40/04

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

• G06Q30/08

  Auctions · CPC title

• G06Q30/0633 Primary

  Managing shopping lists, e.g. compiling or processing purchase lists (shipping orders G06Q10/083; order filling G06Q10/087) · CPC title