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

Patent metadata

Field	Value
Publication number	US-2025356422-A1
Application number	US-202519289924-A
Country	US
Kind code	A1
Filing date	Aug 4, 2025
Priority date	Mar 11, 2014
Publication date	Nov 20, 2025
Grant date	—

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 . An electronic trading system comprising:
a memory configured to store a plurality of previously received but unsatisfied orders, wherein each of the plurality of previously received but unsatisfied orders is characterized by a time of receipt at which each previously received but unsatisfied order was received by the electronic trading system; and a match engine processor coupled with the memory, characterized by an available processing resource capacity, the match engine processor configured to:
receive incoming orders for a transaction of a quantity of a financial instrument at an order price based on an occurrence of an event that affects a processing resource capacity of the match engine processor;
determine an elapse of time; and
attempt to match the incoming orders with the plurality of previously received but unsatisfied orders via:
rearrangement, based on a magnitude of the elapse of time, of the plurality of previously received but unsatisfied orders into at least one non-overlapping subset thereof, each comprising at least one of the plurality of previously received but unsatisfied orders, as a function of the time of receipt thereof;
identification of one or more suitable orders of the previously received but unsatisfied orders to which to allocate the quantity of each of the received incoming orders; and
allocation of the quantity of each of the received incoming orders to at least one of the identified suitable previously received but unsatisfied orders according to a first allocation algorithm and subsequently thereto, allocate the quantity allocated to each subset of previously received but unsatisfied orders for further allocation among the identified suitable previously received but unsatisfied orders thereof according to a second allocation algorithm different from the first allocation algorithm.

2 . The electronic trading system of claim 1 , wherein an interval processor is coupled with the matching engine processor and configured to receive a feedback signal indicative of the occurrence of the event and to regulate a rate of receipt of the incoming orders for processing thereof relative to the available processing resource of the match engine processor.

3 . The electronic trading system of claim 1 , wherein the event comprises one of the elapse of an interval of time, receipt of an acknowledgement from the match engine acknowledging receipt of previously received incoming orders, or where a number of stored received incoming orders exceeds a threshold.

4 . The electronic trading system of claim 1 , wherein the quantity of the incoming order further comprises a residual quantity thereof remaining after fully satisfying one or more other previously received but unsatisfied orders for a transaction counter thereto at a price better than the order price for a total quantity of the financial instrument that is less than the quantity of each of the received incoming orders.

5 . The electronic trading system of claim 1 , wherein the time of receipt of each of the plurality of previously received but unsatisfied orders comprises a time at which the electronic trading system determined the previously received order was unsatisfied.

6 . The electronic trading system of claim 1 , wherein the first allocation algorithm comprises first in first out (“FIFO”) and the second allocation algorithm comprises pro rata.

7 . The electronic trading system of claim 1 , wherein the match engine processor is operative to determine the elapse of time as an amount of time passed since an event has occurred.

8 . The electronic trading system of claim 1 , wherein the match engine processor is operative to determine the elapse of time as an amount of time passed since the oldest of the plurality of previously received but unsatisfied orders was received by the electronic trading system.

9 . The electronic trading system of claim 1 , wherein the match engine processor is operative to determine the elapse of time as an amount of time passed since a first previously received order for a transaction of a quantity of the financial instrument at the order price was determined to be unsatisfied when there were no other previously received but unsatisfied orders at the order price received prior thereto stored in the memory.

10 . The electronic trading system of claim 9 , wherein the match engine processor is operative to determine the elapse of time as the amount of time passed since the first previously received order for a transaction of a quantity of the financial instrument at the order price in excess of a threshold quantity was determined to be unsatisfied when there were no other previously received but unsatisfied orders at the order price received prior thereto stored in the memory.

11 . The electronic trading system of claim 1 , wherein the previously received but unsatisfied orders of a subset are all accorded a time of receipt by the electronic trading system associated with the oldest previously received but unsatisfied order of the subset for use by the match engine processor after a subsequent determination of an elapse of time.

12 . A computer implemented method comprising:
receiving, by a match engine processor of an electronic trading system characterized by an available processing resource capacity, incoming orders for a transaction of a quantity of a financial instrument at an order price based on an occurrence of an event that affects a processing resource capacity of the match engine processor; determining, by the match engine processor, an elapse of time; and attempting, by the match engine processor, to match the incoming orders with a plurality of previously received but unsatisfied orders stored in a memory coupled with the match engine processor, wherein each of the plurality of previously received but unsatisfied orders is characterized by a time of receipt at which each previously received but unsatisfied order was received by the electronic trading system, wherein attempting to match the incoming orders further comprises:
rearranging, by the match engine processor, based on a magnitude of the elapse of time, of the plurality of previously received but unsatisfied orders into at least one non-overlapping subset thereof, each comprising at least one of the plurality of previously received but unsatisfied orders, as a function of the time of receipt thereof;
identifying, by the match engine processor, one or more suitable orders of the previously received but unsatisfied orders to which to allocate the quantity of each of the received incoming orders; and
allocating, by the match engine processor, the quantity of each of the received incoming orders to at least one of the identified suitable previously received but unsatisfied orders according to a first allocation algorithm and subsequently thereto, allocate the quantity allocated to each subset of previously received but unsatisfied orders for further allocation among the identified suitable previously received but unsatisfied orders thereof according to a second allocation algorithm different from the first allocation algorithm.

13 . The computer implemented method of claim 12 , further comprising:
receiving, by an interval processor, a feedback signal indicative of the occurrence of the event; and regulating, by the interval processor, a rate of receipt of the incoming orders for processing thereof relative to the available processing resource of the match engine processor.

14 . The computer implemented method of claim 12 , wherein the event comprises one of an elapse of an interval of time, receipt of an acknowledge

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