Systems and methods of prioritized electronic data match processing

Patent metadata

Field	Value
Publication number	US-11567968-B2
Application number	US-202017063471-A
Country	US
Kind code	B2
Filing date	Oct 5, 2020
Priority date	Oct 8, 2015
Publication date	Jan 31, 2023
Grant date	Jan 31, 2023

Abstract

An electronic exchange computing system is provided that includes a computer storage system, at least one transceiver, and a processing system. The storage system stores an electronic order book. The transceiver receives data transaction requests and transmits messages of an electronic data feed. The processing system determines that a first order has priority and generates a new order ID for the first order. The first order is maintained in the electronic order book (e.g., with a quantity of 0). Additional order instructions are received from a client computer system and are associated with the first order. A match is found based on the additional order instructions. A data feed update message is generated and transmitted as part of a real-time data feed and includes the newly generated order ID for the first order.

First claim

The invention claimed is:

1. A computing system comprising:
a computer storage system configured to store an electronic order book;
at least one transceiver configured to transmit, to subscribing computing systems, an electronic data communications feed that includes information on electronic order book updates;
a processing system that includes at least one hardware processor coupled to the computer storage system, the processing system storing instructions configured to cause the at least one processor to perform operations comprising:
identifying a match between a first order, which has a first order identifier, and at least one other order;
based on identification of the match, determining that at least the first order has priority over other orders in the electronic order book;
based on determination that the first order has priority, initiating a priority timer and generating a new order identifier that is associated with the first order;
while the priority timer is active, processing a further data transaction request that includes an amount for a quantity parameter, the further data transaction request being associated with the first order;
performing match processing for some or all of the amount that is indicated by the further data transaction request with at least one other order included in the electronic order book; and
generating, in accordance with the match that involves some or all of the amount indicated by the further data transaction request, a message for the electronic data communications feed, the message including: 1) the new order identifier that is associated with the first order, 2) data indicating that the match used at least some of the amount indicated by the further data transaction request, and 3) data that the match was performed using the determined priority of the first order.

2. The computing system of claim 1 , wherein the message is a combination of an order execution message and an add message that is associated with the new order identifier.

3. The computing system of claim 1 , wherein the operations performed by the at least one processor further comprise:
in accordance with initiation of the priority timer, executing a priority mode; and
responsive to a determination that the priority timer has reached a threshold, generating and transmitting a second message as part of the electronic data communications feed, the second message indicating that the first order and/or the new order identifier are no longer being executed in a priority mode.

4. The computing system of claim 1 , wherein the operations performed by the at least one processor further comprise:
determining that the first order exceeds a threshold priority quantity requirement,
wherein determination that the first order has priority is further based on determination that the first order exceeded the threshold priority quantity requirement.

5. The computing system of claim 1 , wherein determination that the first order has priority is further based on a determination that the first order has been fulfilled.

6. The computing system of claim 1 , wherein the electronic data communications feed is transmitted according to the ITCH data-feed protocol.

7. The computing system of claim 1 , wherein the operations performed by the at least one processor further comprise:
based on determination that the first order has priority and while the first order has priority based on the determination, halting match processing that does not involve the first order and for the same instrument ID.

8. The computing system of claim 1 , wherein the operations performed by the at least one processor further comprise organizing the electronic order book on a price/time priority basis, where any quantity associated with the first order is matched according priority of the first order identifier in the electronic order book and not the new order identifier.

9. The computing system of claim 1 , wherein the first order is maintained within the electronic order book with the first order identifier after execution of the match between the first order and the at least one other order.

10. A method comprising:
processing electronic data messages submitted to an electronic exchange computing system that includes 1) a computer storage system, 2) at least one transceiver, and 3) at least one hardware processor;
storing, to the computer storage system, an electronic order book that is configured to store a plurality of pending orders;
transmitting, as part of an electronic data communications feed and to subscribing computing systems, messages that are based on changes to the electronic order book;
identifying a match between a first order, which has a first order identifier, and at least one other order;
based on identification of the match determining that at least the first order has priority over other orders in the electronic order book;
based on determination that the first order has priority, initiating a priority timer and generating a new order identifier that is associated with the first order;
while the priority timer is active, processing a further data transaction request that includes an amount for a quantity parameter, the further data transaction request being associated with the first order;
match some or all of the amount that is indicated by the further data transaction request with at least one other order included in the electronic order book; and generating, by using the least one hardware processor and in accordance with the match that involves some or all of the amount indicated by the further data transaction request, a message that is sent via the electronic data communications feed, the message including: a) the new order identifier that is associated with the first order, b) data indicating that the match used at least some of the amount indicated by the further data transaction request, and c) data that the match was performed using the determined priority of the first order.

11. The method of claim 10 , wherein the first order is maintained within the electronic order book with the first order identifier after execution of the match between the first order and the at least one other order.

12. The method of claim 10 , wherein the message is a combination of an order execution message and an add message that includes the new order identifier.

13. The method of claim 10 , further comprising:
in accordance with initiation of the priority timer, starting a priority mode; and
responsive to determination that the priority timer has reached a threshold, generating and transmitting a second message as part of the electronic data communications feed, the second message indicating that the first order and/or the new order identifier are no longer being executed in a priority mode.

14. The method of claim 10 , further comprising:
calculating that the first order exceeds a threshold priority quantity requirement,
wherein determination that the first order has priority is further based on determination that the first order exceeded the threshold priority quantity requirement.

15. The method of claim 10 , further comprising:
sorting, by using the least one hardware processor, the electronic order book on a price/time priority basis, where any quantity associated with the first order is matched according to priority of the first order identifier in the electronic order book and not the new order identifier.

16. The method of claim 10 , further comprising:
based on determination that the first order has priority and while the first order has priority based on the determination, suspendi

Assignees

• Nasdaq Inc

Inventors

• GOLUBOVSKY Leo
• Wang Chung-Sin

Classifications

• G06F16/93

  Document management systems · CPC title

• G06Q40/04 Primary

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

• G06F16/27 Primary

  Replication, distribution or synchronisation of data between databases or within a distributed database system; Distributed database system architectures therefor · CPC title