Throttling modification messages

Patent metadata

Field	Value
Publication number	US-9934534-B2
Application number	US-201113077951-A
Country	US
Kind code	B2
Filing date	Mar 31, 2011
Priority date	Mar 31, 2011
Publication date	Apr 3, 2018
Grant date	Apr 3, 2018

Abstract

The present embodiments relate to intelligently throttling a modification message based on a period of time that a trade order is required to remain in a market. In an embodiment, intelligently throttling a modification message includes intelligently selecting a transmission time of a modification message based on a period of time that a trade order is required to remain in a market. The modification message is transmitted at the selected time to ensure that the modification order is received at an electronic exchange at or shortly after, but not before, the period of time has expired. As a result, the modification order is accepted (e.g., not rejected) by the electronic exchange. The modification order does not need to be resent to the electronic exchange.

First claim

The invention claimed is:

1. A method comprising:
determining, by a computing device, an estimated message transmission time between the computing device and an electronic exchange;
receiving, by the computing device, a first user input from a trader to trade a tradeable object that is listed at the electronic exchange;
sending, from the computing device to the electronic exchange, a trade order to trade the tradeable object, the trade order being a request to buy or sell the tradeable object that is listed at the electronic exchange and pending execution in a market at the electronic exchange for the tradeable object subsequent to sending the trade order to the electronic exchange;
receiving, by the computing device, a period of time during which the trade order pending execution in the market at the electronic exchange for the tradeable object is required by the electronic exchange to remain pending in the market at the electronic exchange without modification by the trader;
determining, using the computing device, an earliest modification time for sending a modification message to modify the trade order that was previously sent and is pending execution in the market at the electronic exchange for the tradeable object, the earliest modification time being determined based on an order entry time received in an acknowledgment message from the electronic exchange confirming that the trade order was received at the electronic exchange, the period of time during which the trade order pending execution in the market at the electronic exchange for the tradeable object is required by the electronic exchange to remain pending in the market without modification by the trader and the estimated message transmission time, wherein the order entry time is a time at which the pending trade order was placed in the market;
receiving, by the computing device, a second user input from the trader to send the modification message to the electronic exchange to modify the trade order pending execution at the electronic exchange and wherein the modification message includes a modification order that modifies the trade order;
in response to receiving the second user input prior to expiration of the determined earliest modification time, sending, by the computing device at the determined earliest modification time, the modification message to the electronic exchange at which the pending trade order is in the market to modify the pending trade order, wherein the modification message is not received by the electronic exchange before expiration of the period of time during which the pending trade order is required to remain pending in the market without modification by the trader, and wherein the modification message includes the modification order that modifies the trade order; and
in response to receiving the second user input subsequent to expiration of the determined earliest modification time, sending, by the computing device, the modification message to the electronic exchange at which the pending trade order is in the market to modify the pending trade order, and wherein the modification message includes the modification order that modifies the trade order.

2. The method of claim 1 , wherein the estimated message transmission time is an amount of time for the modification message to travel from the computing device to the electronic exchange.

3. The method of claim 1 , wherein sending the modification message further includes queuing the modification message until the determined earliest modification time.

4. The method of claim 1 , wherein determining the earliest modification time comprises calculating when the pending trade order can be modified without being rejected from the electronic exchange.

5. The method of claim 1 , wherein determining the earliest modification time includes receiving an acknowledgment message from the electronic exchange, wherein the acknowledgment message is a message confirming that the trade order was received at the electronic exchange.

6. A non-transitory computer readable medium having stored therein instructions executable by a processor, wherein the instructions are executable to:
determine, by a computing device, an estimated message transmission time between the computing device and an electronic exchange;
receive, by the computing device, a first user input from a trader to trade a tradeable object that is listed at the electronic exchange;
send, from the computing device to the electronic exchange, a trade order to trade the tradeable object, the trade order being a request to buy or sell the tradeable object that is listed at the electronic exchange and pending execution in a market at the electronic exchange for the tradeable object subsequent to sending the trade order to the electronic exchange;
receive, by the computing device, a period of time during which the trade order pending execution in the market at the electronic exchange for the tradeable object is required by the electronic exchange to remain pending in the market at the electronic exchange without modification by the trader;
determine, using the computing device, an earliest modification time for sending a modification message to modify the trade order that was previously sent and is pending execution in the market at the electronic exchange for the tradeable object, the earliest modification time being determined based on an order entry time received in an acknowledgment message from the electronic exchange confirming that the trade order was received at the electronic exchange, the period of time during which the trade order pending execution in the market at the electronic exchange for the tradeable object is required by the electronic exchange to remain pending in the market without modification by the trader and the estimated message transmission time, wherein the order entry time is a time at which the pending trade order was placed in the market;
receive, by the computing device, a second user input from the trader to send the modification message to the electronic exchange to modify the trade order pending execution at the electronic exchange and wherein the modification message includes a modification order that modifies the trade order;
in response to receiving the second user input prior to expiration of the determined earliest modification time, send, by the computing device at the determined earliest modification time, the modification message to the electronic exchange at which the pending trade order is in the market to modify the pending trade order, wherein the modification message is not received by the electronic exchange before expiration of the period of time during which the pending trade order is required to remain pending in the market without modification by the trader, and wherein the modification message includes the modification order that modifies the trade order; and
in response to receiving the second user input subsequent to expiration of the determined earliest modification time, sending, by the computing device, the modification message to the electronic exchange at which the pending trade order is in the market to modify the pending trade order, and wherein the modification message includes the modification order that modifies the trade order.

7. The non-transitory computer readable medium of claim 6 , wherein the estimated message transmission time is an amount of time for the modification message to travel from the computing device to the electronic exchange.

8. The non-transitory computer readable medium of claim 6 , wherein the instructions are executable to queue the modification message until the determined earliest modification time.

9. The non-transitory computer readable medium of claim 6 , wherein determini

Assignees

• Unetich Michael
• Trading Technologies Int Inc

Inventors

• Unetich Michael

Classifications

• G06Q40/04 Primary

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