Systems and methods of retrospectively determining how submitted data transaction requests operate against a dynamic data structure

Patent metadata

Field	Value
Publication number	US-12579196-B2
Application number	US-202418444293-A
Country	US
Kind code	B2
Filing date	Feb 16, 2024
Priority date	Feb 16, 2017
Publication date	Mar 17, 2026
Grant date	Mar 17, 2026

Abstract

A computer system is provided for retrospectively processing a data structure that includes a plurality of entries. The computer system determines if certain data transactions requests that have been recorded in the data structure could have been executed differently (e.g., by being processed at an earlier point in time). For a given entry in the data structure, the system determines if data transaction request could have at least partly succeeded against a prior recorded state of at least one of two ordered lists of pending data transaction requests. Another entry is then found that caused the initial entry to fail in execution and a time delta is stored between the timestamp of the another entry and the timestamp of the initial entry.

First claim

The invention claimed is:

1 . A computer system for retrospective processing entries of a dataset, the computer system comprising:
electronic data storage configured to store a plurality of entries that each correspond to a state change in a data structure that stores data transaction requests, wherein each entry includes an action that caused the state change in the data structure and when the corresponding action occurred relative to other actions that caused state changes in the data structure, where at least some of the plurality of entries include a snapshot that is based on multiple different data transactions in the data structure; a memory coupled to at least one hardware processor that is configured to perform operations comprising:
generating multiple time deltas that are each associated with a difference in time between two entries of the plurality of entries, wherein each of the multiple deltas is generated by at least:
(a) selecting a first entry from the plurality of entries that corresponds to a first data transaction request that is determined to have failed in execution against the data structure;
(b) iterating, from the selected first entry, through the plurality of entries to determine a second entry that includes a snapshot, wherein the snapshot of the second entry includes data for contra-side data transaction request(s) that could have resulted in execution of the first data transaction request against the data structure;
(c) based on the second entry being determined, selecting, from the plurality of entries, a third entry, for which the action thereof was processed after processing the action of the second entry, that corresponds to a third data transaction request that resulted in modification of the data structure so that the first data transaction request failed in execution against the data structure; and
(d) determining a time delta between the third entry and the first entry.

2 . The computer system of claim 1 , wherein the snapshot of the second entry represents a state of the data structure for which the first data transaction request could have fully executed against.

3 . The computer system of claim 1 , wherein the operations further comprise:
locating a fourth entry that includes a snapshot, wherein the snapshot of the fourth entry represents a state of the data structure for which the first data transaction request could have partly, but not fully, executed against.

4 . The computer system of claim 3 , wherein the corresponding action for the fourth entry occurred between, in time, the corresponding action of the first entry and the corresponding action of the second entry.

5 . The computer system of claim 4 , wherein the corresponding action for the fourth entry occurred temporally between the corresponding action of the first entry and the corresponding action of the second entry.

6 . The computer system of claim 1 , wherein the data structure is an order book data structure.

7 . The computer system of claim 1 , wherein the snapshot of the second entry represents a state of the data structure for which the first data transaction request could have partly, but not fully, executed against.

8 . The computer system of claim 1 , wherein each snapshot of a corresponding one of the plurality of entries includes: a side parameter, a level parameter, an aggregated quantity of all data transaction requests at each level, and a total number of data transaction requests that make up the aggregated quantity for each level,
wherein the third data transaction request is associated with an action that caused removal of at least some of the aggregated quantity at a level that is associated with the third data transaction request.

9 . The computer system of claim 8 , wherein the operations further comprise:
storing, based on selecting the third entry, a quantity amount removed from the aggregated quantity value as a result of the action that caused the state change to the data structure for the third data transaction request; and storing, based on selecting the third entry, a data transaction request type for the third data transaction request that caused the removal of the quantity amount.

10 . The computer system of claim 9 , wherein the data transaction request type includes one of an execute data transaction request type and a cancel data transaction request type.

11 . The computer system of claim 8 , wherein the second entry is determined, at least in part, based on being an add data transaction request type that is a type that adds quantity to at least one level of the data structure.

12 . The computer system of claim 1 , wherein each of the plurality of entries includes a value that represents a time value from a clock that indicates when the corresponding action occurred.

13 . The computer system of claim 1 , wherein snapshots of the data structure are only stored in the plurality of entries for which the corresponding action results in adding quantity to the data structure.

14 . The computer system of claim 1 , wherein determination of the second entry is further based on determination that the corresponding action of the second entry falls within a window that is calculated based at least in part on when the corresponding action of the first entry occurred.

15 . The computer system of claim 1 , wherein the operations further comprise:
generating a graphical user interface that includes, for each corresponding window of a plurality of windows that are over different sets of the plurality of entries, (1) a total quantity that is calculated from a quantity of each data transaction request associated with the corresponding window, and (2) a selectable element for each first entry that falls within the corresponding window.

16 . The computer system of claim 1 , wherein determination of failure of execution of the first data transaction request against the data structure includes determination that the first data transaction request completely failed to execute against any other data transaction request that was pending in the data structure.

17 . A method implemented on a computer system for retrospectively processing entries of a dataset that each indicate state changes to a data structure, the method comprising:
storing, to a non-transitory computer-readable storage medium of the computer system, a plurality of entries that each correspond to a state change in a data structure that stores data transaction requests, wherein each entry includes an action that caused the state change in the data structure and when the corresponding action occurred relative to other actions that caused state changes in the data structure, where at least some, but not all, of the plurality of entries include a snapshot that is based on multiple different data transactions that were in the data structure when the action that caused the state change occurred; generating multiple time deltas that are each associated with a difference between when respective corresponding actions of two entries of the plurality of entries occurred, wherein each of the multiple time deltas is generated by at least:
(a) selecting a first entry from the plurality of entries that corresponds to a first data transaction request that is determined to have failed in execution against the data structure;
(b) iterating, from the selected first entry, through the plurality of entries to determine a second entry that includes a snapshot, wherein the snapshot of the second entry includes data for contra-side data transaction request(s) that could have resulted in

Assignees

• Nasdaq Tech Ab

Inventors

• Nordin Jonas

Classifications

• G06F16/2465 Primary

  Query processing support for facilitating data mining operations in structured databases · CPC title

• G06F11/00

  Error detection; Error correction; Monitoring (error detection, correction or monitoring in information storage based on relative movement between record carrier and transducer G11B20/18; monitoring, i.e. supervising the progress of recording or reproducing G11B27/36; in static stores G11C29/00) · CPC title

• G06F9/5005

  to service a request · CPC title

• G06F2201/835

  Timestamp · CPC title

• G06F2201/84

  Using snapshots, i.e. a logical point-in-time copy of the data · CPC title