Transactionally deterministic high speed financial exchange having improved, efficiency, communication, customization, performance, access, trading opportunities, credit controls, and fault tolerance

Patent metadata

Field	Value
Publication number	US-12190382-B2
Application number	US-202318495184-A
Country	US
Kind code	B2
Filing date	Oct 26, 2023
Priority date	Nov 7, 2013
Publication date	Jan 7, 2025
Grant date	Jan 7, 2025

Abstract

The disclosed embodiments relate to implementation of a trading system, which may also be referred to as a trading system architecture, having improved performance which further assures transactional determinism under increasing processing transaction loads while providing improved trading opportunities, fault tolerance, low latency processing, high volume capacity, risk mitigation and market protections with minimal impact, as well as improved and equitable access to information and opportunities.

First claim

What is claimed is:

1. A system comprising:
a plurality of hardware match engines, each characterized by a current state and operative to attempt to match an incoming order from a participant for at least one transaction for an associated financial instrument with at least one other previously received but unsatisfied order for a transaction counter thereto, to at least partially satisfy one or both of the incoming order or the at least one other previously received order, wherein a match changes the current state of the hardware match engine; and
a logic component external to and coupled between the plurality of hardware match engines and the participant such that an incoming order from the participant to any of the plurality of hardware match engines flows through the logic component to be forwarded thereto, the logic component operative to, prior to forwarding the incoming order to the hardware match engine and an actual match being identified, derive a risk of loss value unique to the incoming order based on a hypothetical matching of the incoming order as if the incoming order were to be matched by the hardware match engine and at least partially satisfied by at least one other previously received but unsatisfied order which, if completed, would change the current state of the hardware match engine, the derived the risk of loss being further based on a probability that the incoming order will be satisfied by one or more subsequently received orders, there being no derived risk of loss when the incoming order is determined not to hypothetically match any previously received but unsatisfied orders, and, based thereon, determine that the incoming order is invalid when the derived risk of loss exceeds a threshold, and based thereon, prevent the incoming order from being forwarded to the hardware match engine, thereby preventing a change in the current state thereof and avoiding reverting the current state of the associated hardware match engine, caused by matching an incoming order determined to be invalid; and
wherein the logic component is further operative to automatically compute a synthetic solicitation of another order in place of the incoming order which, if satisfied, would result in the derived risk of loss not exceeding the threshold, and transmit the computed synthetic solicitation to the hardware match engine to cause the hardware match engine to transmit the synthetic solicitation to a plurality of participants so as to cause submission of the other order.

2. The system of claim 1 , wherein the logic component is configured to forward the incoming order to each of the plurality of hardware match engines when the incoming order is determined not to be invalid.

3. The system of claim 1 , wherein the logic component is configured to forward the incoming order to one of the plurality of hardware match engines when the incoming order is determined not to be invalid.

4. A system comprising:
at least two hardware match engines, each characterized by a current state and operative to attempt to match an incoming order from a participant for at least one transaction for an associated financial instrument with at least one other previously received but unsatisfied order for a transaction counter thereto, to at least partially satisfy one or both of the incoming order or the at least one other previously received order, wherein a match changes the current state of the hardware match engine; and
a transaction validator external to and coupled between the plurality of hardware match engines and the participant such that an incoming order from the participant to any of the plurality of hardware match engines flows through the transaction validator to be forwarded thereto, the transaction validator operative to, prior to forwarding the incoming order to the hardware match engine and an actual match being identified, derive a risk of loss value unique to the incoming order based on a hypothetical matching of the incoming order as if the incoming order were to be matched by the hardware match engine and at least partially satisfied by at least one other previously received but unsatisfied order which, if completed, would change the current state of the hardware match engine, the derived the risk of loss being further based on a probability that the incoming order will be satisfied by one or more subsequently received orders, there being no derived risk of loss when the incoming order is determined not to hypothetically match any previously received but unsatisfied orders, and, based thereon, determine that the incoming order is invalid when the derived risk of loss exceeds a threshold, and based thereon, prevent the incoming order from being forwarded to the hardware match engine, thereby preventing a change in the current state thereof and avoiding reverting the current state of the associated hardware match engine, caused by matching an incoming order determined to be invalid; and
wherein the transaction validator is further operative to automatically compute a synthetic solicitation of another order in place of the incoming order which, if satisfied, would result in the derived risk of loss not exceeding the threshold, and transmit the computed synthetic solicitation to the hardware match engine to cause the hardware match engine to transmit the synthetic solicitation to a plurality of participants so as to cause submission of the other order.

5. The system of claim 4 , wherein the logic component is configured to forward the incoming order to each of the plurality of hardware match engines when the incoming order is determined not to be invalid.

6. The system of claim 4 , wherein the logic component is configured to forward the incoming order to one of the plurality of hardware match engines when the incoming order is determined not to be invalid.

7. The system of claim 4 , wherein the derived risk of loss comprises a potential loss in value over a predefined period of time at a predefined confidence level.

8. The system of claim 4 , wherein the derived risk of loss may be independent of the magnitude of a quantity or price of the incoming order.

9. The system of claim 4 , wherein the transaction validator is further operative to derive the risk of loss further based on one or more other incoming orders.

10. The system of claim 9 , wherein the incoming order and the one or more other incoming orders are representative of a behavioral pattern indicative of risk.

11. The system of claim 4 , wherein the transaction validator is further operative, when the incoming order is determined to be invalid, cause the incoming order to be only partially satisfied thereby reducing the derived risk of loss.

12. A computer implemented method comprising:
providing two or more hardware match engines, each characterized by a current state and operative to attempt to match an incoming order from a participant for at least one transaction for an associated financial instrument with at least one other previously received but unsatisfied order for a transaction counter thereto, to at least partially satisfy one or both of the incoming order or the at least one other previously received order, wherein a match changes the current state of the hardware match engine;
upon receipt of an incoming order by a processor external to and coupled between the plurality of hardware match engines and the participant such that the incoming order from the participant to any of the plurality of hardware match engines flows through the processor to be forwarded thereto, prior to forwarding the incoming order to the hardware match engine and an actual match being identified, deriving a risk of loss value unique to the incoming order ba

Assignees

• Chicago Mercantile Exchange Inc

Inventors

• Studnitzer Ari
• Bonig Zachary
• Eavy Ryan
• Kmiec Frank
• Henderson Scott

Classifications

• G06Q40/04 Primary

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