Message pattern detection and processing suspension

Patent metadata

Field	Value
Publication number	US-9792164-B1
Application number	US-201615253038-A
Country	US
Kind code	B1
Filing date	Aug 31, 2016
Priority date	Aug 31, 2016
Publication date	Oct 17, 2017
Grant date	Oct 17, 2017

Abstract

A transaction suspension system rapidly determines whether messages received by a centralized, anonymous data transaction processing system related to data objects correspond to a stored message pattern. Stored message patterns may include how the message impact objects within the data transaction processing system, which sources transmitted the messages, and when messages were received by the data transaction processing system. The transaction suspension system may prevent the further processing of messages, e.g., messages from a specific source, even if the message would have otherwise qualified for a completed, or processed, transaction.

First claim

What is claimed is:

1. A computer implemented method for processing electronic data transaction request messages for a data object in an anonymous data transaction processing system, the method comprising:
receiving, by a processor from a first source, a first electronic data transaction request message to perform a first transaction of a first transaction type on a data object, the first electronic data transaction request message having a first value and a first quantity;
modifying, by the processor, the data object based on the first electronic data transaction request message;
determining, by the processor, that a predetermined amount of a quantity associated with the first transaction type for the data object is associated with the first source;
receiving, by the processor from a second source, a second electronic data transaction request message to perform a second transaction of the first transaction type on the data object, the second electronic data transaction request message having a second value and a second quantity;
modifying, by the processor, the data object based on the second electronic data transaction request message;
receiving, by the processor at a first time from the first source, a third electronic data transaction request message to cancel the first electronic data transaction request message;
modifying, by the processor, the data object based on the third electronic data transaction request message;
receiving, by the processor at a second time later than the first time from the first source, a fourth electronic data transaction request message to perform a first transaction of a second transaction type on the data object, the fourth electronic data transaction request message having a fourth value and a fourth quantity; and
upon determining that the second value and the fourth value are equal, and that the difference between the second time and first time is a predetermined amount of time, automatically suspending, by the processor, processing of the fourth electronic data transaction request message.

2. The computer implemented method of claim 1 , wherein the anonymous data transaction processing system does not transmit data identifying any one source to any other source.

3. The computer implemented method of claim 2 , wherein the anonymous data transaction processing system does not transmit, to the second source, data indicating that the first, third and fourth messages were transmitted by the same first source.

4. The computer implemented method of claim 1 , further comprising:
receiving, by the processor at a third time later than the second time from a third source, a fifth electronic data transaction request message to perform a second transaction of the second transaction type on the data object, the fifth electronic data transaction request message having a fifth value equal to the second value and a fifth quantity;
matching, by the processor, the fifth electronic data transaction request message with the second electronic data transaction request message; and
modifying, by the processor, the data object based on the fifth electronic data transaction request message.

5. The computer implemented method of claim 4 , wherein the processor processes the fifth electronic data transaction request message before the fourth electronic data transaction request message even if the fourth electronic data transaction request message has a higher priority than the fifth electronic data transaction request message.

6. The computer implemented method of claim 4 , wherein matching the fifth electronic data transaction request message with the second electronic data transaction request message comprises matching an amount equal to the lesser of the second and fifth quantities from the fifth electronic data transaction request message with the amount equal to the lesser of the second and fifth quantities from the second electronic data transaction request message.

7. The computer implemented method of claim 1 , further comprising:
receiving, by the processor at a third time later than the second time from the second source, a sixth electronic data transaction request message canceling the second electronic data transaction request message; and
modifying, by the processor, the data object based on the sixth electronic data transaction request message.

8. The computer implemented method of claim 1 , further comprising:
after a passage of a predetermined amount of time, matching, by the processor, the fourth electronic data transaction request message with the second electronic data transaction request message; and
modifying, by the processor, the data object based on the fourth electronic data transaction request message.

9. The computer implemented method of claim 1 , further comprising determining that electronic data transaction request messages are transmitted by a same source if the electronic data transaction request messages: originate from a same client computer; originate from a same client server; are associated with a same client identifier; or are associated with a same user identifier.

10. The computer implemented method of claim 1 , wherein the second transaction type is counter to the first transaction type.

11. The computer implemented method of claim 10 , wherein the first transaction type is one of relinquish or purchase a quantity of a financial instrument associated with the data object, and wherein the second transaction type is the other of relinquish or purchase a quantity of the financial instrument associated with the data object.

12. The computer implemented method of claim 1 , wherein values associated with electronic data transaction request messages are stored in a data structure.

13. The computer implemented method of claim 12 , wherein the data structure comprises a queue associated with the data object.

14. The computer implemented method of claim 13 , wherein the queue is a first queue storing data related to transactions of the first transaction type, and wherein the data object is associated with a second queue storing data related to transactions of the second transaction type.

15. The computer implemented method of claim 1 , wherein the processor is a matching processor, and wherein suspending processing of an electronic data transaction request message received for the data object includes suspending matching of the electronic data transaction request message by the matching processor.

16. The computer implemented method of claim 1 , wherein the suspending of an electronic data transaction request message prevents modification of the data object based on the electronic data transaction request message.

17. The computer implemented method of claim 1 , wherein the data transaction processing system is an exchange computing system, and wherein the data object represents an electronic order book for a financial instrument traded in the exchange computing system.

18. The computer implemented method of claim 1 , further comprising:
upon modifying the data object based on an electronic data transaction request message received from a transmitting source, publishing, by the processor, to a plurality of sources, data indicating the modification to the data object based on the electronic data transaction request message, the published data not including identifying information about the transmitting source.

19. A computer system which processes electronic data transaction request messages for a data object in an autonomous data transaction processing system, the system comprising: an

Assignees

• Chicago Mercantile Exchange Inc

Inventors

• Millhuff Paul
• Lustyk Neil
• Scheerer John
• Bailey James
• Dhillon Supreet

Classifications

• G06Q40/04 Primary

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

• G06F9/466

  Transaction processing · CPC title

• G06F9/546 Primary

  Message passing systems or structures, e.g. queues · CPC title