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

Patent metadata

Field	Value
Publication number	US-11210683-B2
Application number	US-202016992577-A
Country	US
Kind code	B2
Filing date	Aug 13, 2020
Priority date	Apr 6, 2016
Publication date	Dec 28, 2021
Grant date	Dec 28, 2021

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 maintains a data structure which stores data indicative of a state which characterizes the data transaction processing system, the data transaction processing system operative to automatically process electronic data transaction request messages for a data object as they are received resulting in changes to the data indicative of the state based thereon, including storing data indicative of previously received electronic data transaction request messages to perform a transaction on the data object at a message value and a remaining quantity thereof, the controlling further comprising:
receiving, by a processor from an external source via an electronic communications network, an electronic data transaction request message to perform a transaction on the data object, the electronic data transaction request message including a message value and a quantity;
accessing the data structure by the processor based on the received electronic data transaction request message to determine the state of the data transaction processing system;
determining, automatically by the processor based on the state, whether the received electronic data transaction request message is counter to a previously received electronic data transaction request and, based thereon, how much of the quantity of the received electronic data transaction request message would be fulfilled by the remaining quantity of the previously received electronic data transaction request if a transaction were completed by the data transaction processing system there between and thereby resulting in a change in the state of the data transaction processing system;
after automatically determining that none of the quantity of the received electronic data transaction request message would be fulfilled, assigning the message value as a comparison value;
after automatically determining that only some of the quantity of the received electronic data transaction request message would be fulfilled, assigning the message value of the received electronic data transaction request message and the message value of the previously received electronic data transaction request as comparison values;
after automatically determining that all of the quantity of the received electronic data transaction request message would be fulfilled, assigning the message value of the previously received electronic data transaction request as the comparison value;
identifying, by the processor, a first comparative value of the data object after an elapse of a first duration of time; and
for at least one of the comparison values, determining, by the processor, that a first difference between the comparison value and the first comparative value deviates from a first threshold value;
identifying, by the processor based on the determination that the first difference does not deviate from the first threshold value, a second comparative value of the data object upon an elapse of a second duration of time, the second comparative value being different from the first comparative value;
for at least one of the comparison values, determining, by the processor, that a second difference between the comparison value and the second comparative value deviates from a second threshold value; and
performing, automatically by the processor, an action to control the data transaction processing system, based on the determination that the first or second difference deviates from the first or second threshold values, wherein the action comprises automatically halting, by the processor, processing of electronic data transaction request messages received for the data object by the data transaction processing system to determine, whether the received electronic data transaction request message is counter to a previously received electronic data transaction request 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.

2. The computer implemented method of claim 1 , wherein more than one comparison value exists, wherein the computer implemented method further includes initially performing the determining that the first difference between the comparison value and the first comparative value deviates from the first threshold value with the comparison value that is furthest from the message value and repeating the determining that the first difference between the comparison value and the first comparative value deviates from the first threshold value for the next furthest comparison value until one of
(a) an action is performed, or
(b) the determining that the first difference between the comparison value and the first comparative value deviates from the first threshold value has been performed for all of the comparison values.

3. The computer implemented method of claim 2 , wherein the transaction is to one of purchase or 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 one of a smallest or a largest compared to the message value.

4. The computer implemented method of claim 1 , wherein more than one comparison value exists, wherein the computer implemented method further includes initially performing the determining that the second difference between the comparison value and the second comparative value deviates from the second threshold value with the comparison value that is furthest from the message value and repeating the determining that the second difference between the comparison value and the second comparative value deviates from the second threshold value for the next furthest comparison value until one of
(a) an action is performed, or
(b) the determining that the second difference between the comparison value and the second comparative value deviates from the second threshold value has been performed for all of the comparison values.

5. The computer implemented method of claim 4 , wherein the transaction is to one of purchase or 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 one of smallest or largest compared to the message value.

6. The computer implemented method of claim 1 , wherein the action further comprises automatically halting, by the processor, processing of electronic data transaction request messages received for the data object by the data transaction processing system to determine, whether the received electronic data transaction request message is counter to a previously received electronic data transaction request until a pre-determined condition is satisfied.

7. The computer implemented method of claim 6 , wherein the pre-determined condition is a passage of a pre-determined amount of time after receiving the electronic data transaction request message.

8. The computer implemented method of claim 6 , 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.

9. The computer implemented method of claim 6 , further comprising resuming, after the pre-determined condition is satisfied, processing of electronic data transaction request messages received for the data object.

10. The computer implemented method of claim 1 , wherein the first and second durations of time are different.

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

Assignees

• Chicago Mercantile Exchange Inc

Inventors

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

Classifications

• G06Q40/03

  Credit; Loans; Processing thereof · CPC title

• G06Q40/04 Primary

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

• G06Q30/0201 Primary

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

• G06Q40/00

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

• G06Q40/025

  Physics · mapped topic