Market operation through regulation of incoming order match allocation and/or dynamic resting order match allocation priorities

Patent metadata

Field	Value
Publication number	US-11544785-B2
Application number	US-201514644460-A
Country	US
Kind code	B2
Filing date	Mar 11, 2015
Priority date	Mar 11, 2014
Publication date	Jan 3, 2023
Grant date	Jan 3, 2023

Abstract

The disclosed embodiments relate to regulation of a rate of incoming orders by buffering or otherwise batching orders together as they are received and subsequently forwarding batches of orders to a match engine for processing thereby in a manner which may equalize orders from traders having varying abilities to rapid submit orders or otherwise capitalize on market events. The disclosed embodiments further relate to prioritizing the matching of resting orders against an incoming order. In particular, the disclosed embodiments alter the priority of a given resting order to match against an incoming order, relative to other suitably matching resting orders, as a function of how long the orders have been resting on the order book.

First claim

What is claimed is:

1. A system for regulating communication of an incoming order to an electronic trading system, the system comprising:
a match engine of the electronic trading system, characterized by an available processing resource capacity, which implements a market for an associated financial instrument by being operative to attempt to match the incoming order for a transaction for the associated financial instrument with at least one other previously received but unsatisfied order for a transaction counter thereto for the associated financial instrument, to at least partially satisfy one or both of the incoming order or the at least one other previously received order;
first logic stored in a first non-transitory memory and executable by a first processor coupled therewith to cause the first processor to determine an occurrence of an event, wherein the event comprises receipt, from the match engine by the first processor, of a feedback signal indicative of the available processing resource capacity of the match engine, wherein the electronic trading system, based on the feedback signal indicative of available processing resource capacity of the match engine, regulates the incoming flow of the incoming order for processing thereof relative to available processing resource capacity of the match engine and wherein the stored received incoming orders comprise previously received incoming orders stored in a first buffer in the first memory as they were received when the first logic had previously determined that the event had not occurred, the first memory coupled with the first processor, the first processor configured to normalize the rate of receipt of the incoming order for the transaction to the occurrence of the event;
second logic stored in the first memory and executable by the first processor to cause the first processor to:
receive, from a client computer of a user, an incoming order;
determine whether the incoming order is characterized by any of a set of order types;
wherein when the incoming order is determined to be characterized by any of the set of order types, automatically forward the incoming order to the match engine; and
wherein when the incoming order is determined not be characterized by any of the set of order types, the second logic is further executable by the first processor to cause the first processor to:
when the first logic has determined that the event has not occurred:
forward the received incoming order to the first buffer, the first buffer disposed between the client computer and the match engine;
store the received incoming order in the first buffer; and
aggregate the received incoming order with the previously received incoming orders, the aggregated incoming orders being stored in the first buffer in association with data indicative of time and/or order of receipt by the first processor in an order based on when they were received; and

when the first logic has determined that the event has occurred:
create a second buffer in the memory;
forward the received incoming order to the second buffer; and
store the received incoming order in the second buffer; and

third logic stored in the first memory and executable by the first processor to cause the first processor to, when the first logic has determined that the event has occurred, automatically forward at least a subset of the previously received incoming orders stored in the first buffer to the match engine, wherein the third logic is further executable by the first processor to cause the first processor to allow the subsequently received incoming order to modify or cancel a stored received incoming order prior to a forwarding thereof to the match engine; and
wherein the match engine is further operative to determine a sequence in which the match engine will attempt to match each of the forwarded subset of the received incoming orders, wherein the sequence is different from the order in which the aggregated incoming orders were stored in the first buffer.

2. The system of claim 1 for further determining, by the match engine, an allocation of an incoming order for a transaction of a quantity of a financial instrument at an order price among a plurality of previously received but unsatisfied orders, stored in a second memory, for a transaction counter thereto at the order price for a total quantity of the financial instrument that is less than the quantity of the incoming order, wherein each of the plurality of previously received but unsatisfied orders is characterized by a time of receipt at which the previously received but unsatisfied order was received by the electronic trading system, the system further comprising:
fourth logic stored in a third memory and executable by a second processor coupled therewith to cause the second processor to receive the forwarded received incoming orders from the third logic;
fifth logic stored in the third memory and executable by the second processor to cause, for each of the forwarded received incoming orders, the second processor to determine an elapse of time and based on the magnitude thereof, divide the plurality of previously received but unsatisfied orders into at least one non-overlapping subset thereof, each comprising at least one of the plurality of previously received but unsatisfied orders, as a function of the time of receipt thereof; and
sixth logic stored in the third memory and executable by the second processor to cause the second processor to allocate the quantity of the forwarded received incoming order to each of the at least one subset of previously received but unsatisfied orders according to a first allocation algorithm and subsequently thereto, allocate the quantity allocated to each subset of previously received but unsatisfied orders among the previously received but unsatisfied orders thereof according to a second allocation algorithm different from the first allocation algorithm.

3. The system of claim 1 , wherein the event further comprises one of an elapse of an interval of time, receipt of an acknowledgement from the match engine acknowledging receipt of previously forwarded incoming orders, or where the number of stored received incoming orders exceeds a threshold.

4. A system for regulating communication of an incoming order to an electronic trading system, the system comprising:
a match engine of the electronic trading system, characterized by an available processing resource capacity, which implements a market for an associated financial instrument by being operative to attempt to match the incoming order for a transaction for the associated financial instrument with at least one other previously received but unsatisfied order for a transaction counter thereto for the associated financial instrument, to at least partially satisfy one or both of the incoming order or the at least one other previously received order;
an interval processor operative to determine an occurrence of an event, wherein the event comprises receipt, from the match engine by the interval processor, of a feedback signal indicative of the available processing resource capacity of the match engine, wherein the electronic trading system, based on the feedback signal indicative of available processing resource capacity of the match engine regulates the incoming flow of the incoming order for processing thereof relative to available processing resource capacity of the match engine and wherein the stored received incoming orders comprise previously received incoming orders stored in a first buffer in a non-transitory memory as they were received, the memory coupled with the interval processor and containing computer-executable instructions, the computer-executable instructions being operative, when executed by the interval processor, to cause the interval processor to normalize the rate of receipt of

Assignees

• Chicago Mercantile Exchange Inc

Inventors

• Callaway Paul
• Castette Sean
• Reddy Kireeti
• Yamaguchi Akira
• Acuña-Rohter Jose Antonio
• Peck-Walden Pearce
• Bonig Zachary

Classifications

• G06Q40/04 Primary

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