Detection and mitigation of effects of high velocity value changes based upon match event outcomes

Patent metadata

Field	Value
Publication number	US-12586091-B2
Application number	US-202418933157-A
Country	US
Kind code	B2
Filing date	Oct 31, 2024
Priority date	Apr 6, 2016
Publication date	Mar 24, 2026
Grant date	Mar 24, 2026

Abstract

A processing module may be centralized and coupled to multiple inputs from customers, and behave deterministically, e.g., programmed to depend on state, inputs and outputs. The rapid speed of automated trading systems implementing such a centralized, deterministic module, where all users can access a central limit order object, can quickly result in an object state that does not reflect a true consensus or desirable state. Accordingly the resulting problem is a problem arising in computer systems due in part to the high speeds of computer systems. The solutions disclosed herein are, in one embodiment, implemented as automatic responses and actions by a computing system.

First claim

What is claimed is:

1 . A computer implemented method comprising:
determining, automatically by a processor based on a current state of a data transaction processing system operative to automatically process electronic data transaction requests as they are received against previously received electronic data transaction requests which results in at least one change to data indicative of a state stored in a data structure maintained by the data transaction processing system, a degree by which the processing of a received electronic data transaction request will change the state of the data transaction processing system, and assigning a comparison value based thereon; identifying, by the processor, upon elapse of two or more time intervals, a comparative value; and determining, by the processor, one of that a first difference between the assigned comparison value and the comparative value of an earlier of the two or more time intervals deviates from a first threshold value, or that a second difference between the assigned comparison value and the comparative value of a later of the two or more time intervals deviates from a second threshold value; and preventing, automatically by the processor based on the determination, subsequent changes to the state of the data transaction processing system by preventing processing of electronic data transaction requests received thereby.

2 . The computer implemented method of claim 1 , wherein the two or more time intervals are contiguous.

3 . The computer implemented method of claim 1 , wherein the comparison value is based on only the received electronic data transaction request when the received electronic data transaction request cannot be processed, based on the received electronic data transaction request and all previously received electronic data transaction requests against which the received electronic data transaction request can transact when the received electronic data transaction request can only be partially processed, and based on only all previously received electronic data transaction requests against which the received electronic data transaction request can transact when the received electronic data transaction request can be entirely processed.

4 . The computer implemented method of claim 1 , further comprises enabling, subsequent to the preventing, processing of electronic data transaction requests received by the data transaction processing system when a pre-determined condition is satisfied.

5 . The computer implemented method of claim 4 , wherein the pre-determined condition comprises a passage of a pre-determined amount of time after receiving the electronic data transaction request message.

6 . The computer implemented method of claim 4 , wherein the pre-determined condition comprises receiving a pre-determined number of subsequent electronic data transaction request messages to perform transactions after receiving the electronic data transaction request message.

7 . The computer implemented method of claim 1 , wherein a length of the earlier of the two or more time intervals is different from a length of the later of the two or more time intervals.

8 . The computer implemented method of claim 1 , wherein the first and second threshold values are different.

9 . The computer implemented method of claim 1 , wherein identifying the first or second comparative values comprises determining one or more of: a minimum value of a data object over the earlier or later time intervals, respectively; a maximum value of the data object over the earlier or later time intervals, respectively; or an average of the value of the data object over the earlier or later time intervals, respectively.

10 . The computer implemented method of claim 1 , wherein the data transaction processing system is an exchange computing system, and wherein the electronic data transaction requests comprise requests to transact a data object which represents a financial instrument traded in the exchange computing system.

11 . The computer implemented method of claim 10 , wherein the comparative value comprises a bid price of the financial instrument, an ask price of the financial instrument, a last traded price of the financial instrument, a last traded quantity of the financial instrument, a volatility of the financial instrument, a market attribute, or a combination thereof.

12 . A system comprising:
a computer processor coupled with a memory, the computer processor specifically configured to: determine, automatically based on a current state of a data transaction processing system operative to automatically process electronic data transaction requests as they are received against previously received electronic data transaction requests which results in at least one change to data indicative of a state stored in a data structure maintained by the data transaction processing system, a degree by which the processing of a received electronic data transaction request will change the state of the data transaction processing system, and assigning a comparison value based thereon; identify, upon elapse of two or more time intervals, a comparative value; and determine one of that a first difference between the assigned comparison value and the comparative value of an earlier of the two or more time intervals deviates from a first threshold value, or that a second difference between the assigned comparison value and the comparative value of a later of the two or more time intervals deviates from a second threshold value; and prevent, automatically based on the determination, subsequent changes to the state of the data transaction processing system by preventing processing of electronic data transaction requests received thereby.

13 . The system of claim 12 , wherein the two or more time intervals are contiguous.

14 . The system of claim 12 , wherein the comparison value is based on only the received electronic data transaction request when the received electronic data transaction request cannot be processed, based on the received electronic data transaction request and all previously received electronic data transaction requests against which the received electronic data transaction request can transact when the received electronic data transaction request can only be partially processed, and based on only all previously received electronic data transaction requests against which the received electronic data transaction request can transact when the received electronic data transaction request can be entirely processed.

15 . The system of claim 12 , wherein the computer processor is further configured to, subsequent to the prevention, enable processing of electronic data transaction requests received by the data transaction processing system when a pre-determined condition is satisfied.

16 . The system of claim 15 , wherein the pre-determined condition comprises a passage of a pre-determined amount of time after receiving the electronic data transaction request message.

17 . The system of claim 15 , wherein the pre-determined condition comprises receiving a pre-determined number of subsequent electronic data transaction request messages to perform transactions after receiving the electronic data transaction request message.

18 . The system of claim 12 , wherein a length of the earlier of the two or more time intervals is different from a length of the later of the two or more time intervals.

19 . The system of claim 12 , wherein the first and second threshold values are different.

Assignees

• Chicago Mercantile Exchange Inc

Inventors

• Lustyk Neil A
• Scheerer John
• Bailey James
• Millhuff Paul

Classifications

• G06Q40/03

  Credit; Loans; Processing thereof · CPC title

• G06Q40/00

  Finance; Insurance; Tax strategies; Processing of corporate or income taxes · CPC title

• G06Q40/04 Primary

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

• G06Q30/0201 Primary

  Market modelling; Market analysis; Collecting market data · CPC title