US 12,288,254 B2 · Low latency regulation of distributed transaction processing in accordance with centralized demand-based dynamically reallocated limits

Abstract

The disclosed embodiments relate to systems/methods for low latency regulation of distributed, e.g., geographically and/or logically, transaction processing, such as trading of financial instruments, in accordance with centralized demand-based dynamically reallocated post-trade-based limits, e.g., credit/risk limits. In particular, the disclosed embodiments relate to monitoring credit demand across execution venues, as opposed to actual utilization, and, based thereon, modifying execution specific limits to reallocate of portions of a credit/risk allotment, such as a credit/risk limit, to multiple execution venues for use in approving transactions, which may implement order driven and/or quote driven markets, so as to dynamically rebalance the allocations to the execution venues based on demand/need, rather than utilization, thereby avoiding having to mitigate latencies in determining and responding to utilization. In addition, the disclosed embodiments may maximize the total available amount for reallocation by recognizing inter-execution venue limit offsetting positions, i.e., trades, during the rebalancing process.

A computer implemented method for regulating electronic processing of a plurality of transactions by a distributed electronic transaction processing system, each of the plurality of transactions being characterized by an associated transactional value, in accordance with a dynamically reallocated global limit defining a total associated transactional value of processed transactions, the method comprising:

receiving, by an allocation processor from any one of a distributed plurality of transaction processors via a communications network coupled therebetween, data indicative of either a rejection or at least acceptance and an associated transactional value of a transaction processed thereby, the at least acceptance of a transaction by a particular one of the plurality of transaction processors causing an amount of a portion of a total limit previously allocated thereto to be consumed in accordance with the transactional value associated with the at least accepted transaction, a transaction being rejected by a transaction processor when, as compared at least with the transactional value associated with the rejected transaction, an insufficient amount remains of the portion of the total limit previously allocated thereto;
accumulating, by the allocation processor, the associated transactional values of the at least accepted transactions, separately in association with each transaction processor from which data indicative thereof was received, in a shadow database coupled with and exclusively maintained by the allocation processor, each transaction processor maintaining its own accumulation of the transactional values of the at least accepted transactions accepted thereby;
determining, by the allocation processor, that at least one of the plurality of transaction processors has rejected a transaction or, based solely on the accumulated transactional values in the shadow database, at least one of the plurality of transaction processors has an associated accumulated transactional value equal to, or within a threshold of, the portion of the total limit previously allocated thereto, and a computed difference between the total limit and a total of the accumulated transactional values associated with all of the transaction processors in the shadow database exceeds a defined threshold amount, and based thereon:
computing, by the allocation processor based on the accumulated transactional values associated with all of the transaction processors stored in the shadow database and the computed difference, for each of the plurality of transaction processors, a proposed portion of the total limit to be allocated thereto which is greater than, equal to, or less than the portion of the total limit previously allocated thereto;
transmitting, by the allocation processor via the communications network, a request message to each of the plurality of transaction processors for which the proposed portion of the total limit to be allocated thereto is less than the portion of the total limit previously allocated thereto, the request message requesting that each of those transaction processors reduce the portion of the total limit previously allocated thereto to the proposed portion of the total limit to be allocated thereto and respond with a data message comprising data indicative of an amount by which the transaction processor has reduced the portion of the total limit previously allocated thereto responsive to the requested reduction based on its own maintained accumulation of the transactional values of the at least accepted transactions accepted thereby;
upon receipt of each data message, accumulating, by the allocation processor, the amount of each reduction indicated thereby;
allocating, by the allocation processor, a portion of the accumulated amounts of reduction to each of the plurality of transaction processors for which the proposed portion of the total limit to be allocated thereto is greater than the portion of the total limit previously allocated thereto;
and
transmitting, by the allocation processor via the communications network, a data message to each of the plurality of transaction processors for which the proposed portion of the total limit to be allocated thereto is greater than the portion of the total limit previously allocated thereto, the data message comprising data indicative of an increase to the portion of the total limit previously allocated thereto in an amount of the portion of the accumulated amount allocated thereto, the receiving transaction processor, based on receipt thereof, adjusting the portion of the total limit previously allocated thereto based on the allocated portion of the accumulated amount.

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Low latency regulation of distributed transaction processing in accordance with centralized demand-based dynamically reallocated limits

Life of this patent

Low latency regulation of distributed transaction processing in accordance with centralized demand-based dynamically reallocated limits

Life of this patent

Abstract

Claims33