Message processing

Patent metadata

Field	Value
Publication number	US-11301935-B2
Application number	US-202016916878-A
Country	US
Kind code	B2
Filing date	Jun 30, 2020
Priority date	Aug 2, 2012
Publication date	Apr 12, 2022
Grant date	Apr 12, 2022

Abstract

Systems and methods are provided for scoring the use of financial market messages. Uses of messages that are efficient and/or improve market liquidity receive positive scores. Traders are charge fees or receive rewards that are dependent upon message quality scores.

First claim

We claim:

1. A system comprising:
a communication network;
a trading engine, communicatively coupled with the communication network, that receives a market data message, characterized by a message type and including one or more parameters and which causes a change to an electronic trading system, from a trader via the communications network, processes the received market data message and transmits an acknowledgment message to the trader via the communications network responsive to the received market data message, the trading engine including:
a hardware message quality module containing a first computer-readable medium containing computer-executable instructions that, when executed, determine a message quality score that quantifies an efficiency of the received market data message based on the message type and/or the one or more parameters, wherein the message quality score is assigned one of a computed value computed as a function of the change caused by the market data message in the electronic trading system or one of:
a first value when the message type is a new order message type,
a second value different than the first value when the message type is a cancel order message type, and
a third value between the first value and the second value when the message type is a third message type which obtains the same result as a combination of the new order message type and the cancel order message type; and

wherein the trading engine further:
augments the acknowledgment message with the message quality score prior to transmission to the trader; and
determine a message volume control limit as a function of the message quality score and add or remove message capacity based thereon.

2. The system of claim 1 , further comprising:
a gateway communicatively coupled with the communications network and including a computer-readable medium containing computer-executable instructions that when executed cause the gateway to:
receive the augmented acknowledgement message from the trading engine via the communications network prior to receipt by the trader;
perform volume control checks; and
transmit the message quality score of the received augmented acknowledgment message to the trader.

3. The system of claim 1 , wherein the market data message comprises an order for a derivative product.

4. The system of claim 1 , wherein the third value is less than an average of the first and second values.

5. The system of claim 1 , wherein the computed value is computed as a function of a change in price level from a best bid or a best offer caused by the market data message, function of a change in order size caused by the market data message and/or a time that a prior order has been in the electronic trading system prior to being changed by the market data message.

6. The system of claim 5 , wherein the message quality score increases as a price level moves away from a best bid or best offer, increases as the order size decreases or decreases the longer that the prior order has been in the electronic trading system.

7. The system of claim 5 , wherein the message quality score is based at least in part on a weighted sum of:
the change in the price level;
the order size; and
the time that the prior order has been in the electronic trading system.

8. The system of claim 1 , wherein the trading engine further includes an aggregation module that aggregates a plurality of message quality scores into an aggregate message quality score for a trading entity.

9. The system of claim 8 , wherein the aggregation module aggregates the plurality of message quality scores over a time period.

10. A computer implemented method comprising:
receiving, by a trading engine via a communications network communicatively coupled therewith, a market data message, characterized by a message type and including one or more parameters and which causes a change to an electronic trading system, from a trader, processing the received market data message and transmitting an acknowledgment message to the trader via the communications network responsive to the received market data message, the method further including:
determining, by a hardware message quality module, a message quality score that quantifies an efficiency of the received market data message based on the message type and/or the one or more parameters, wherein the message quality score is assigned one of a computed value computed as a function of the change caused by the market data message in the electronic trading system or one of:
a first value when the message type is a new order message type,
a second value different than the first value when the message type is a cancel order message type, and
a third value between the first value and the second value when the message type is a third message type which obtains the same result as a combination of the new order message type and the cancel order message type; and

wherein the method further comprising:
augmenting the acknowledgment message with the message quality score prior to transmission to the trader; and
determining a message volume control limit as a function of the message quality score and add or remove message capacity based thereon.

11. The computer implemented method of claim 10 , further comprising:
receiving, by a gateway communicatively coupled with the communications network, the augmented acknowledgement message from the trading engine via the communications network prior to receipt by the trader;
performing, by the gateway, volume control checks; and
transmitting, by the gateway, the message quality score of the received augmented acknowledgment message to the trader.

12. The computer implemented method of claim 10 , wherein the market data message comprises an order for a derivative product.

13. The computer implemented method of claim 10 , wherein the third value is less than an average of the first and second values.

14. The computer implemented method of claim 10 , wherein the computed value is computed as a function of a change in price level from a best bid or a best offer caused by the market data message, function of a change in order size caused by the market data message and/or a time that a prior order has been in the electronic trading system prior to being changed by the market data message.

15. The computer implemented method of claim 14 , wherein the message quality score increases as a price level moves away from a best bid or best offer, increases as the order size decreases or decreases the longer that the prior order has been in the electronic trading system.

16. The computer implemented method of claim 14 , wherein the message quality score is based at least in part on a weighted sum of:
the change in the price level;
the order size; and
the time that the prior order has been in the electronic trading system.

17. The computer implemented method of claim 10 , further comprising aggregating, by an aggregation module of the trading engine, a plurality of message quality scores into an aggregate message quality score for a trading entity.

18. The computer implemented method of claim 17 , wherein the aggregation module aggregates the plurality of message quality scores over a time period.

19. A trading engine communicatively coupled with a communication network, that receives a market data message, characterized by a message type and including one or more parameters and which causes a change to an electronic trading system, from a trader via the communications network, processes the received market data me

Assignees

• Chicago Mercantile Exchange Inc

Inventors

• Studnitzer Ari
• Ball Nathan
• Arner Ii Wayne G
• Scimeca Giuseppe
• Scheerer John
• Reithel Christopher
• Doornebos Jacob
• Wolf Brian

Classifications

• G06Q40/04 Primary

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