Electronic market message management with priority determination
AssigneeChicago Mercantile Exchange Inc.
InventorsAlan Shontz, John Labuszewski, Richard Co, Steve Peters, David Boberski, Roberta Paffaro
Life of this patent
Estimating the term…
Abstract
Methods, devices, and systems for managing electronic messages of an electronic trading system in which orders are extracted from the electronic messages involve executing actions associated with respect to the orders and matching orders to counter orders. Matching orders may be based on a priority determined using a market quality index of the order and an associated market participant.
Claims27
A computer implemented method of managing incoming order allocation in an electronic trading system, the electronic trading system comprising a processor which implements a match engine and an electronic market for an associated financial instrument by being operative to attempt to match an incoming order to buy or sell the associated financial instrument with at least one other unsatisfied order for a transaction counter thereto, to at least partially satisfy one or both of the incoming order or the at least one other order, the method comprising:
- receiving, by the processor, an incoming transaction from a market participant in the electronic market;
- determining, by the processor, whether the incoming transaction comprises an order to buy or sell a quantity of the associated financial instrument or an order to modify or cancel an existing order in the electronic market;
- storing, by the processor in a memory coupled therewith in association with the market participant, when the incoming transaction comprises an order to modify or cancel a previously received order, data indicative thereof;
- storing, by the processor in the memory coupled therewith in association with the market participant, when the incoming transaction is an order to buy or sell the financial instrument, data indicative of quantity and associated price thereof;
- and
- wherein, the incoming transaction is an order to buy or sell the financial instrument, the method further comprises:
- calculating, by the processor, based on the price of the incoming order, the previously stored quantities, the previously stored data indicative of previously received orders to modify or cancel, and previously stored data indicative of a result of attempts to match previously received orders stored in association with the market participant, a value indicative of the previously received transactions from the market participant having increased a probability that the processor will successfully match a subsequently received incoming order to buy or sell the associated financial instrument with at least one other 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 received order;
- attempting, by the processor, to match the incoming order with at least one other received but unsatisfied order in the electronic market to at least partially satisfy one or both of the incoming order or at least one other received but unsatisfied order, the determination of which of the other received but unsatisfied orders match with the incoming order being at least partially dependent upon the value indicative of the previously received transactions from the market participant having increased a probability that the processor will successfully match a subsequently received incoming order to buy or sell the associated financial instrument with at least one other 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 received order that was previously calculated when the other received but unsatisfied order was first received;
- and
- storing, by the processor in the memory coupled therewith, data indicative of a result of the attempt to match the incoming order along with data indicative of the calculated value.
A computer system for managing incoming order allocation in an electronic trading system, the electronic trading system comprising a processor which implements a match engine and an electronic market for an associated financial instrument by being operative to attempt to match an incoming order to buy or sell the associated financial instrument with at least one other unsatisfied order for a transaction counter thereto, to at least partially satisfy one or both of the incoming order or the at least one other order, the system comprising:
- a memory operable to store data indicative of received transactions of a market participant;
- and
- a computer processor, coupled with the memory, the computer processor configured to:
- receive an incoming transaction from a market participant in the electronic market;
- determine whether the incoming transaction comprises an order to buy or sell a quantity of the associated financial instrument or an order to modify or cancel an existing order in the electronic market;
- store, in the memory, in association with the market participant, when the incoming transaction comprises an order to modify or cancel a previously received order, data indicative thereof;
- store, in the memory, in association with the market participant, when the incoming transaction is an order to buy or sell the financial instrument, data indicative of quantity and associated price thereof;
- wherein, when the incoming transaction is an order to buy or sell the financial instrument, the processor is also configured to calculate, based on the price of the incoming order, the previously stored quantities, the previously stored data indicative of previously received orders to modify or cancel, and previously stored data indicative of a result of the attempt to match previously received orders stored in association with the market participant, a value indicative of the previously received transactions from the market participant having increased a probability that the processor will successfully match a subsequently received incoming order to buy or sell the associated financial instrument with at least one other 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 received order;
- attempt to match the incoming order with at least one other received but unsatisfied order in the electronic market to at least partially satisfy one or both of the incoming order or at least one other received but unsatisfied order, the determination of which of the other received but unsatisfied orders match with the incoming order being at least partially dependent upon the value indicative of the previously received transactions from the market participant having increased a probability that the processor will successfully match a subsequently received incoming order to buy or sell the associated financial instrument with at least one other 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 received order that was previously calculated when the other received but unsatisfied order was first received;
- and
- store, in the memory, data indicative of a result of the attempt to match the incoming order along with data indicative of the calculated value.
A non-transitory computer readable medium including instructions for managing incoming order allocation in an electronic trading system, the electronic trading system comprising a processor which implements a match engine and an electronic market for an associated financial instrument by being operative to attempt to match an incoming order to buy or sell the associated financial instrument with at least one other unsatisfied order for a transaction counter thereto, to at least partially satisfy one or both of the incoming order or the at least one other order, that when executed by the computer system are operable to:
- receive an incoming transaction from a market participant in the electronic market;
- determine whether the incoming transaction comprises an order to buy or sell a quantity of the associated financial instrument or an order to modify or cancel an existing order in the electronic market;
- store in association with the market participant, when the incoming transaction comprises an order to modify or cancel a previously received order, data indicative thereof;
- store in association with the market participant, when the incoming transaction is an order to buy or sell the financial instrument, data indicative of quantity and associated price thereof;
- wherein, when the incoming transaction is an order to buy or sell the financial instrument, the instructions are further configured to calculate, based on the price of the incoming order, the previously stored quantities, the previously stored data indicative of previously received orders to modify or cancel, and previously stored data indicative of a result of the attempt to match previously received orders stored in association with the market participant, a value indicative of the previously received transactions from the market participant having increased a probability that the processor will successfully match a subsequently received incoming order to buy or sell the associated financial instrument with at least one other 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 received order;
- attempt to match the incoming order with at least one other received but unsatisfied order in the electronic market to at least partially satisfy one or both of the incoming order or at least one other received but unsatisfied order, the determination of which of the other received but unsatisfied orders match with the incoming order being at least partially dependent upon the value indicative of the previously received transactions from the market participant having increased a probability that the processor will successfully match a subsequently received incoming order to buy or sell the associated financial instrument with at least one other 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 received order that was previously calculated when the other received but unsatisfied order was first received;
- and
- store data indicative of a result of the attempt to match the incoming order along with data indicative of the calculated value.
Dependencies are inferred from the claim text.