Low latency regulation of distributed transaction processing in accordance with centralized demand-based dynamically reallocated limits

Patent metadata

Field	Value
Publication number	US-12288254-B2
Application number	US-202217733565-A
Country	US
Kind code	B2
Filing date	Apr 29, 2022
Priority date	Apr 29, 2022
Publication date	Apr 29, 2025
Grant date	Apr 29, 2025

Abstract

The disclosed embodiments relate to systems/methods for low latency regulation of distributed, e.g., geographically and/or logically, transaction processing, such as trading of financial instruments, in accordance with centralized demand-based dynamically reallocated post-trade-based limits, e.g., credit/risk limits. In particular, the disclosed embodiments relate to monitoring credit demand across execution venues, as opposed to actual utilization, and, based thereon, modifying execution specific limits to reallocate of portions of a credit/risk allotment, such as a credit/risk limit, to multiple execution venues for use in approving transactions, which may implement order driven and/or quote driven markets, so as to dynamically rebalance the allocations to the execution venues based on demand/need, rather than utilization, thereby avoiding having to mitigate latencies in determining and responding to utilization. In addition, the disclosed embodiments may maximize the total available amount for reallocation by recognizing inter-execution venue limit offsetting positions, i.e., trades, during the rebalancing process.

First claim

What is claimed is:

1. A computer implemented method for regulating electronic processing of a plurality of transactions by a distributed electronic transaction processing system, each of the plurality of transactions being characterized by an associated transactional value, in accordance with a dynamically reallocated global limit defining a total associated transactional value of processed transactions, the method comprising:
receiving, by an allocation processor from any one of a distributed plurality of transaction processors via a communications network coupled therebetween, data indicative of either a rejection or at least acceptance and an associated transactional value of a transaction processed thereby, the at least acceptance of a transaction by a particular one of the plurality of transaction processors causing an amount of a portion of a total limit previously allocated thereto to be consumed in accordance with the transactional value associated with the at least accepted transaction, a transaction being rejected by a transaction processor when, as compared at least with the transactional value associated with the rejected transaction, an insufficient amount remains of the portion of the total limit previously allocated thereto;
accumulating, by the allocation processor, the associated transactional values of the at least accepted transactions, separately in association with each transaction processor from which data indicative thereof was received, in a shadow database coupled with and exclusively maintained by the allocation processor, each transaction processor maintaining its own accumulation of the transactional values of the at least accepted transactions accepted thereby;
determining, by the allocation processor, that at least one of the plurality of transaction processors has rejected a transaction or, based solely on the accumulated transactional values in the shadow database, at least one of the plurality of transaction processors has an associated accumulated transactional value equal to, or within a threshold of, the portion of the total limit previously allocated thereto, and a computed difference between the total limit and a total of the accumulated transactional values associated with all of the transaction processors in the shadow database exceeds a defined threshold amount, and based thereon:
computing, by the allocation processor based on the accumulated transactional values associated with all of the transaction processors stored in the shadow database and the computed difference, for each of the plurality of transaction processors, a proposed portion of the total limit to be allocated thereto which is greater than, equal to, or less than the portion of the total limit previously allocated thereto;
transmitting, by the allocation processor via the communications network, a request message to each of the plurality of transaction processors for which the proposed portion of the total limit to be allocated thereto is less than the portion of the total limit previously allocated thereto, the request message requesting that each of those transaction processors reduce the portion of the total limit previously allocated thereto to the proposed portion of the total limit to be allocated thereto and respond with a data message comprising data indicative of an amount by which the transaction processor has reduced the portion of the total limit previously allocated thereto responsive to the requested reduction based on its own maintained accumulation of the transactional values of the at least accepted transactions accepted thereby;
upon receipt of each data message, accumulating, by the allocation processor, the amount of each reduction indicated thereby;
allocating, by the allocation processor, a portion of the accumulated amounts of reduction to each of the plurality of transaction processors for which the proposed portion of the total limit to be allocated thereto is greater than the portion of the total limit previously allocated thereto; and
transmitting, by the allocation processor via the communications network, a data message to each of the plurality of transaction processors for which the proposed portion of the total limit to be allocated thereto is greater than the portion of the total limit previously allocated thereto, the data message comprising data indicative of an increase to the portion of the total limit previously allocated thereto in an amount of the portion of the accumulated amount allocated thereto, the receiving transaction processor, based on receipt thereof, adjusting the portion of the total limit previously allocated thereto based on the allocated portion of the accumulated amount.

2. The computer implemented method of claim 1 , further comprising:
determining, by the allocation processor based on the accumulated associated transactional values of transactions for which the received data indicative thereof indicates those transactions were both accepted and executed, one or more of the transactions that were both accepted and executed by one of the plurality of transaction processors which are at least partially offset by one or more of the transactions that were both accepted and executed by another of the plurality of transaction processors, and based thereon transmitting, by the allocation processor, to one of, or both, the one transaction processor or the other transaction processor, a data message comprising data indicative of an amount of the offset, wherein, upon receipt, the one or the other transaction processor adjusts, based on the amount of the offset, an amount of the portion of the total limit previously allocated thereto.

3. The computer implemented method of claim 2 , wherein prior to the determining of the one or more of the transactions that were both accepted and executed by one of the plurality of transaction processors which are at least partially offset by one or more of the transactions that were both accepted and executed by another of the plurality of transaction processors, directing the one and the other transaction processors to prevent one or more of the transactions that were both accepted and executed by the one transaction processor and the one or more of the transactions that were both accepted and executed by the other transaction processor from being closed until after receipt of the data indictive of the amount of the offset.

4. The computer implemented method of claim 1 , wherein the amount consumed of the portion of the total limit previously allocated to a transaction processor changes after the transaction processor transmits the data indicative of either a rejection or at least acceptance and an associated transactional value of a transaction processed thereby, the accumulated associated transactional values of the transaction processor, therefore, being not equal to the amount consumed.

5. The computer implemented method of claim 1 , wherein the amount consumed of the portion of the total limit previously allocated to a transaction processor accounts for one or more transactions processed by that transaction processor which offset one or more other transactions processed by that transaction processor, the accumulated associated transactional values of the transaction processor, therefore, being not equal to the amount consumed.

6. The computer implemented method of claim 1 , wherein the total limit comprises a credit limit.

7. The computer implemented method of claim 1 , wherein the total limit is one of a plurality of total limits, each governing acceptance of a subset of transactions processed by the plurality of transaction processors.

8. The computer implemented method of claim 1 , wherein the data indicative of either a rejection or at least acceptance and an associated tra

Assignees

• Chicago Mercantile Exchange Inc

Inventors

• Merold Michael S
• Hegde Venkatesh
• Morano Matthew
• Bakalar Francis B
• Dugdale Brian G
• Sinha Indira P
• Liberman Stanislav
• Sheves Michal
• Bucaj Mark

Classifications

• G06Q40/04 Primary

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

• G06Q40/045

  Accepting or processing orders in an exchange · CPC title

• G06Q40/0421

  using artificial intelligence, machine learning or neural networks · CPC title

• G06Q40/044

  using tick sizes or order constraints · CPC title