Method and apparatus for order entry in an electronic trading system
AssigneeNEX Services North America LLC
InventorsMichael Merold, John E. Schoen
Life of this patent
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Abstract
Orders received by an electronic trading system are processed in batches based on the instrument to which an order relates. An incoming order is assigned to a queue of a queue set that makes up the batch according to a random process. Where orders are received from related trading parties, they are assigned to the same queue set according to their time of receipt. The batch has a random duration within defined minimum and maximum durations and at the end of the batch, the orders held in the queues are transferred to a matching thread of the trading system sequentially with one order being removed from each queue and a number of passes of the queues completed until orders have been removed.
Claims30
A computer implemented method comprising:
- initiating, by a processor, a message collection window having a duration, the processor being disposed on an electronic communications network such that all electronic messages transmitted by a plurality of sources to a destination application are communicated to the processor for subsequent transmission thereby to the destination application;
- receiving, at an input by the processor via the electronic communications network coupled therewith during the message collection window, from one of the plurality of sources, an electronic message transmitted thereby to the destination;
- storing, by the processor, the received electronic message in a memory coupled with the processor in lieu of transmission of the received electronic message to the destination application, the electronic message being stored in the memory along with other stored electronic messages previously received during the message collection window;
- and
- transmitting, by the processor upon ending of the duration, the stored electronic messages to the destination application from the memory, wherein at least a subset of the stored electronic messages are transmitted from the memory to the destination application in an order unrelated to the order in which they were received by the processor such that at least one of the stored electronic messages that was received by the processor after another of the stored electronic messages is transmitted prior thereto to the destination application.
A non-transitory tangible computer readable medium comprising computer-executable instructions that, when executed by a processor coupled therewith and disposed on an electronic communications network such that all electronic messages transmitted by a plurality of sources to a destination application are communicated to the processor for subsequent transmission thereby to the destination application, cause the processor to:
- initiate a message collection window having a duration;
- receive, at an input to the processor via the electronic communications network coupled therewith during the message collection window, from one of the plurality of sources, an electronic message transmitted thereby to the destination;
- store the received electronic message in a memory coupled with the processor in lieu of transmission of the received electronic message to the destination application, the electronic message being stored in the memory along with other stored electronic messages previously received during the message collection window;
- and
- transmit, upon ending of the duration, the stored electronic messages to the destination application from the memory, wherein at least a subset of the stored electronic messages are transmitted from the memory to the destination application in an order unrelated to the order in which they were received by the processor such that at least one of the stored electronic messages that was received by the processor after another of the stored electronic messages is transmitted prior thereto to the destination application.
A system comprising:
- a server disposed on an electronic communications network such that all electronic messages transmitted by a plurality of sources to a destination application are communicated to the processor for subsequent transmission thereby to the destination application, the server being configured to initiate a message collection window having a duration;
- the server being further configured to receive, during the message collection window, from one of the plurality of sources, an electronic message transmitted thereby to the destination, and store the received electronic message in a memory coupled with the server in lieu of transmission of the received electronic message to the destination application, the electronic message being stored in the memory along with other stored electronic messages previously received during the message collection window;
- and
- the server being further configured to transmit, upon ending of the duration, the stored electronic messages to the destination application from the memory, wherein at least a subset of the stored electronic messages are transmitted from the memory to the destination application in an order unrelated to the order in which they were received by the server such that at least one of the stored electronic messages that was received by the server after another of the stored electronic messages is transmitted prior thereto to the destination application.
Dependencies are inferred from the claim text.