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

Patent metadata

Field	Value
Publication number	US-11875405-B2
Application number	US-202217977395-A
Country	US
Kind code	B2
Filing date	Oct 31, 2022
Priority date	Mar 11, 2014
Publication date	Jan 16, 2024
Grant date	Jan 16, 2024

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 comprising:
an incoming order processor operative to receive, prior to a match engine processor of an electronic trading system, an incoming order of a plurality of incoming orders for a transaction of a quantity of a financial instrument at an order price and store the received incoming order in an incoming order buffer memory coupled with the incoming order receiver, wherein the match engine processor is characterized by a processing resource capacity and is operative to attempt to match the incoming order with a plurality of previously received but unsatisfied order, wherein each of the plurality of previously received but unsatisfied orders is characterized by a time of receipt at which each previously received but unsatisfied order was received by the incoming order processor;
an interval order processor coupled with the incoming order processor and the match engine processor, the interval order processor operative to determine an occurrence of an event, wherein the event comprises a feedback signal indicative of available processing resource capacity of the match engine, wherein the feedback signal indicative of available processing resource capacity of the match engine regulates the electronic trading system to process the plurality of incoming orders according to available processing resource capacity of the match engine by regulating the incoming flow of the plurality of incoming orders relative to available processing resource capacity of the match engine; and
an order forwarder processor coupled with the interval order processor and the match engine processor, the order forwarder processor operative to, upon the occurrence of the event, forward at least a subset of the stored received incoming orders to the match engine processor.

2. 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 a number of stored received incoming orders exceeds a threshold.

3. The system of claim 1 , wherein the quantity of the incoming order further comprises a residual quantity thereof remaining after fully satisfying one or more other previously received but unsatisfied orders for a transaction counter thereto at a price better than the order price for a total quantity of the financial instrument that is less than the quantity of each of the received subset of the stored incoming orders.

4. The system of claim 1 , wherein the time of receipt of each of the plurality of previously received but unsatisfied orders comprises a time at which the electronic trading system determined the previously received order was unsatisfied.

5. The system of claim 1 , further comprising:
a match engine memory coupled with the match engine processor, wherein the match engine processor is further configured to receive and store the forwarded subset of the stored incoming orders from the order forwarder processor in the match engine memory.

6. The system of claim 5 , wherein the match engine processor is further operative to:
determine an elapse of time;
rearrange, based on a magnitude of the elapse of time, 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;
identify one or more suitable orders of the previously received but unsatisfied orders to which to allocate the quantity of each of the received subset of the stored incoming orders; and
allocate the quantity of each of the received subset of the stored incoming orders to at least one of the identified suitable 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 for further allocation among the identified suitable previously received but unsatisfied orders thereof according to a second allocation algorithm different from the first allocation algorithm.

7. The system of claim 6 , wherein the first allocation algorithm comprises first in first out (“FIFO”) and the second allocation algorithm comprises pro rata.

8. The system of claim 6 , wherein the match engine processor is operative to determine the elapse of time as the amount of time passed since an event has occurred.

9. The system of claim 6 , wherein the match engine processor is operative to determine the elapse of time as the amount of time passed since the oldest of the plurality of previously received but unsatisfied orders was received by the electronic trading system.

10. The system of claim 6 , wherein the match engine processor is operative to determine the elapse of time as the amount of time passed since a first previously received order for a transaction of a quantity of the financial instrument at the order price was determined to be unsatisfied when there were no other previously received but unsatisfied orders at the order price received prior thereto stored in the match engine memory.

11. The system of claim 10 , wherein the match engine processor is operative to determine the elapse of time as the amount of time passed since the first previously received order for a transaction of a quantity of the financial instrument at the order price in excess of a threshold quantity was determined to be unsatisfied when there were no other previously received but unsatisfied orders at the order price received prior thereto stored in the match engine memory.

12. The system of claim 6 , wherein the match engine processor is operative to reset the elapse of time upon satisfaction or cancelation of all of the plurality of previously received but unsatisfied orders.

13. The system of claim 6 , wherein the previously received but unsatisfied orders of a subset are all accorded a time of receipt by the electronic trading system associated with the oldest previously received but unsatisfied order of the subset for use by the match engine processor after a subsequent determination of an elapse of time.

14. The system of claim 6 , wherein an arrangement of the plurality of previously received but unsatisfied orders is based on the time of receipt of thereof rounded up to a threshold time increment, the magnitude of the threshold time increment being a function of the magnitude of the determined elapse of time, wherein those previously received but unsatisfied orders having a rounded time of receipt within the same threshold time increment are included in the same subset.

15. The system of claim 6 , wherein an arrangement of the plurality of previously received but unsatisfied orders increasingly reduce differentiation of the plurality of previously received but unsatisfied orders by their time of receipt as the magnitude of the elapse of time increases.

16. The system of claim 15 , wherein as the magnitude of the elapse of time increases, the number of subsets of the plurality of previously received but unsatisfied orders decreases.

17. A computer implemented method comprising:
receiving, by an incoming order processor, prior to a match engine processor of an electronic trading system, an incoming order of a plurality of incoming orders for a transaction of a quantity of a financial instrument at an order price, wherein the match engine processor is characterized by a processing resource capacity and is operative to attempt to match the incoming order with a plurality of p

Assignees

• Chicago Mercantile Exchange Inc

Inventors

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

Classifications

• G06Q40/04 Primary

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