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

Patent metadata

Field	Value
Publication number	US-12400266-B2
Application number	US-202418616805-A
Country	US
Kind code	B2
Filing date	Mar 26, 2024
Priority date	Mar 11, 2014
Publication date	Aug 26, 2025
Grant date	Aug 26, 2025

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:
a match engine processor of an electronic trading system, the match engine processor characterized by an available processing resource capacity; and
a first processor coupled with the match engine processor, the first processor being configured to regulate an incoming flow of incoming orders for processing thereof relative to the available processing resource capacity of the match engine processor and, for each time interval of a plurality of time intervals that begins to elapse, upon receipt of a first incoming order for a transaction for an associated financial instrument subsequent to a prior batch of incoming orders that has been forwarded to the match engine, the first processor being further configured to:
receive an incoming order for a transaction for an associated financial instrument from a client computer of a user;
determining whether the time interval has expired;
when the first processor has determined that the time interval has expired, automatically forward the received incoming order and at least a subset of previously received incoming orders stored in a first buffer as a batch of incoming orders to the match engine processor, the first buffer stored in a non-transitory memory coupled with the first processor; and
when the first processor has determined that the time interval has not expired, the first processor being further configured to:
determine whether the incoming order is characterized by any of a set of order types;
when the first processor has determined that the incoming order is characterized by any of the set of order types, automatically forward the incoming order to the match engine processor; and
when the first processor has determined that the incoming order is not characterized by any of the set of order types, the first processor being further configured to:
determine whether an event has occurred, wherein the event comprises receipt of a feedback signal indicative of the available processing resource capacity of the match engine processor;
when the first processor has determined that the event has not occurred, automatically forward the received incoming order to the first buffer and store the incoming order in the first buffer; and
when the first processor has determined that the event has occurred, automatically forward the received incoming order and at least a subset of previously received incoming orders stored in the first buffer as a batch of incoming orders to the match engine processor.

2. The system of claim 1 , wherein the event comprises one of a receipt of an acknowledgement from the match engine processor 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 first processor is further operative to allow a subsequently received incoming order to modify or cancel a stored received incoming order prior to a forwarding thereof to the match engine processor.

4. The system of claim 1 , wherein the match engine processor is operative to attempt to match the incoming order 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.

5. The system of claim 4 , wherein, when the first processor has determined that the time interval has not expired, that the incoming order is not characterized by any of the set of order types, and that the event has not occurred, the first processor is further operative to:
aggregate the received incoming order with previously received incoming orders stored in the first buffer; and
store the aggregated incoming orders 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.

6. The system of claim 5 , wherein the match engine processor is further operative to determine a sequence in which the match engine processor will attempt to match each of the forwarded incoming orders, wherein the sequence is different than the order in which the aggregated incoming orders were stored in the first buffer.

7. The system of claim 1 , wherein the first processor is further operative to receive the incoming order when an arrival of the incoming order relative to another incoming order has been determined.

8. The system of claim 1 , wherein the first processor is comprised by the match engine processor.

9. The system of claim 1 , wherein the elapse of each of the time intervals is determined by a clock edge.

10. The system of claim 9 , wherein a duration of each of the time intervals is variable.

11. The system of claim 9 , wherein a duration of each of the time intervals is at least partially random.

12. A computer implemented method comprising:
for each time interval of a plurality of time intervals that begin to elapse upon receipt of a first incoming order subsequent to a prior batch of incoming orders that has been forwarded to a match engine processor of an electronic trading system:
regulating, by a first processor coupled with the match engine processor, an incoming flow of incoming orders for processing thereof relative to an available processing resource capacity of the match engine processor, the regulating further comprising:
receiving, by the first processor, an incoming order for a transaction for an associated financial instrument, wherein the incoming order is characterized by any of a set of order types;
determining whether the time interval has expired;
when the first processor has determined that the time interval has expired, automatically forward the received incoming order and at least a subset of previously received incoming orders stored in a first buffer as a batch of incoming orders to the match engine processor, the first buffer stored in a non-transitory memory; and
when the first processor has determined that the time interval has not expired, the method further comprising:
determining, by the first processor, whether the incoming order is characterized by any of a set of order types;
when the first processor has determined that the incoming order is characterized by any of the set of order types, automatically forwarding, by the first processor, the received incoming order to the match engine processor; and
when the first processor has determined that the incoming order is not characterized by any of the set of order types, the method further comprising:
 determining, by the first processor, whether an event has occurred, wherein the event comprises receipt of a feedback signal from the match engine processor indicative of the available processing resource capacity of the match engine processor;
 when the first processor has determined that the event has not occurred, forwarding, automatically by the first processor, the received incoming order to the first buffer and storing, by the first processor, the incoming order in the first buffer; and
 when the first processor has determined that the event has occurred, forwarding, automatically by the first processor, the incoming order and at least a subset of previously received incoming orders stored in the first buffer as a batch of incoming orders to the match engine processor.

13. The computer implemented method of claim 12 , wherein the event comprises receipt of an acknowledgement from the match engine processor acknowledging receipt of previously forwarded incoming orders, or where a number of stored received incoming orders exceeds a

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