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-2015127514-A1
Application number	US-201314074668-A
Country	US
Kind code	A1
Filing date	Nov 7, 2013
Priority date	Nov 7, 2013
Publication date	May 7, 2015
Grant date	—

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 for improving efficiency of an electronic trading system comprising a plurality of match engines coupled therewith, each of the plurality of match engines implementing a market for an associated financial instrument comprising at lease one component and operative to attempt to match an incoming order for a transaction for the associated financial instrument 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, the system comprising:
a first logic component, coupled with each of the plurality of match engines, operative to receive match event data therefrom indicative of whether each match engine was able to match an incoming order for at least one transaction for the associated financial instrument associated with that match engine with at least one previously received but unsatisfied order for a transaction counter thereto for the associated financial instrument, in at least partial satisfaction of one or both of the incoming order or the at least one other previously received order; the first logic component being further operative to, when the match event data indicates that the incoming order has not been fully satisfied, to attempt to identify a set of previously received but unsatisfied orders wherein, for any residual of each particular of the at least one component of the associated financial instrument of the incoming order, the set includes a previously received but unsatisfied order for a counter transaction for another financial instrument comprising at least the particular component to at least partially satisfy one or both of the residual of the particular component of the associated financial instrument of the incoming order or the component of the determined previously received order and wherein the first logic component is further operative to attempt to identify and include in the set, for any component of the financial instrument of any previously received but unsatisfied orders included in the set and not at least partially satisfied by any of the components of the associated financial instrument of the incoming order, another previously received but unsatisfied order for a counter transaction for a financial instrument including at least the component of the financial instrument of the previously received but unsatisfied order, such that the incoming order together with the set of previously received but unsatisfied orders, if the transactions for the financial instruments thereof were completed there between, includes no fully unsatisfied orders; and a second logic component operative to, when the incoming order together with the identified set of previously received but unsatisfied orders, if the components of the financial instruments thereof were completed there between, include no fully unsatisfied orders, generate, for each financial instrument of the incoming order and the set of previously received but unsatisfied orders, a set of unique synthetic counter orders, each for a transaction of another of the financial instruments of the incoming order and the set of previously received but unsatisfied orders comprising at least one component in common.

2 . A system for improving efficiency of an electronic trading system comprising a plurality of match engines coupled therewith, each of the plurality of match engines implementing a market for an associated financial instrument comprising at lease one component and operative to attempt to match an incoming order for a transaction for the associated financial instrument 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, the system comprising:
an implicator coupled with each of the plurality of match engines and operative to receive match event data therefrom indicative of whether each match engine was able to match an incoming order for at least one transaction for the associated financial instrument associated with that match engine with at least one previously received but unsatisfied order for a transaction counter thereto for the associated financial instrument, in at least partial satisfaction of one or both of the incoming order or the at least one other previously received order; the implicator being further operative, when the match event data indicates that the incoming order has not been fully satisfied, to attempt to identify a set of previously received but unsatisfied orders wherein, for any residual of each particular of the at least one component of the associated financial instrument of the incoming order, the set includes a previously received but unsatisfied order for a counter transaction for another financial instrument comprising at least the particular component to at least partially satisfy one or both of the residual of the particular component of the associated financial instrument of the incoming order or the component of the determined previously received order and wherein the implicator is further operative to attempt to identify and include in the set, for any component of the financial instrument of any previously received but unsatisfied orders included in the set and not at least partially satisfied by any of the components of the associated financial instrument of the incoming order, another previously received but unsatisfied order for a counter transaction for a financial instrument including at least the component of the financial instrument of the previously received but unsatisfied order, such that the incoming order together with the set of previously received but unsatisfied orders, if the transactions for the financial instruments thereof were completed there between, includes no fully unsatisfied orders; and an order generator coupled with the implicator and operative to, when the incoming order together with the identified set of previously received but unsatisfied orders, if the components of the financial instruments thereof were completed there between, include no fully unsatisfied orders, generate, for each financial instrument of the incoming order and the set of previously received but unsatisfied orders, a set of unique synthetic counter orders, each for a transaction of another of the financial instruments of the incoming order and the set of previously received but unsatisfied orders comprising at least one component in common.

3 . The system of claim 2 wherein the financial instrument comprises more than one component.

4 . The system of claim 2 wherein the financial instrument comprise one of a futures contract, an option contract, a spread contract, or combinations thereof.

5 . The system of claim 2 wherein the incoming order further specifies a price, a quantity and an intent to one buy or sell the specified quantity of the financial instrument at the specified price.

6 . The system of claim 2 wherein at least one of the other financial instruments of the previously received but unsatisfied orders is associated with a match engine different from the match engine associated with the financial instrument of the incoming order.

7 . The system of claim 2 wherein the order generator is further operative to submit each synthetic order to the match engine associated with the financial instrument thereof.

8 . The system of claim 7 wherein the match event data is further communicated to a plurality of market participants, the implicator being operative to attempt to identify the set of previously receive

Assignees

• Chicago Mercantile Exchange

Inventors

• Studnitzer Ari
• Bonig Zachary
• Eavy Ryan
• Kmiec Frank
• Galster Barry
• Callaway Paul

Classifications

• G06Q40/04 Primary

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