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US 2021/0233174 A1Published application
Message transmission timing optimization
AssigneeChicago Mercantile Exchange Inc.
InventorsInderdeep Singh, Frederic Cedric Malabre, Ari L. Studnitzer, David John Geddes
Life of this patent
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Abstract
Systems and methods are provided for message transmission timing optimization. The system receives a large market disrupting transaction and provides a transaction placement strategy that splits up the transaction to maximizes favorable execution value and minimizes time required to execute the entire transaction.
Claims20
A computer implemented method comprising:
- determining, by a processor, that an incoming electronic data transaction request message would cause a change in an electronic data transaction processing system that would exceed a predefined threshold resulting in a disruption thereto, the electronic data transaction processing system being operative to transact a plurality of data items via a hardware matching processor associated therewith that matches, as they are received, incoming electronic data transaction request messages, for one of the plurality of data items received over a data communication network with at least one other previously received but unsatisfied electronic data transaction request message counter thereto stored in a memory associated with the plurality of data items coupled with the hardware matching processor, to at least partially satisfy one or both of the incoming electronic data transaction request messages or the at least one other previously received electronic data transaction request message;
- predicting, by the processor using a machine learnt network coupled therewith, based on an initial state of the electronic data transaction processing system, an expected change in the initial state as a result of one or more potential electronic data transaction request messages with one or more different parameters, wherein the machine learnt network is a structured neural network trained by identifying one or more patterns in historical transaction and state data indicative of expected changes in the historical state data as a result of the historical transaction data and further comprising a layered plurality of dynamically weighted interconnected processing nodes;
- generating, by the processor, using the prediction, one or more electronic data transaction request messages based on the incoming electronic data transaction request message that mitigate the disruption while maximizing one of the one or more different parameters and minimizing another, different from the first parameter, of the one or more different parameters;
- and
- transmitting, by the processor, the one or more electronic data transaction request messages to the electronic data transaction processing system.
2 more elements
A system comprising:
- a database configured to store historical data relating to historical states of an electronic data transaction processing system operative to transact a plurality of data items via a hardware matching processor associated therewith that matches, as they are received, incoming electronic data transaction request messages, for one of the plurality of data items received over a data communication network with at least one other previously received but unsatisfied electronic data transaction request message counter thereto stored in a memory associated with the plurality of data items coupled with the hardware matching processor, to at least partially satisfy one or both of the incoming electronic data transaction request messages or the at least one other previously received electronic data transaction request message;
- a disruption filter configured to identify that an incoming electronic data transaction request message which exceeds a first predefined threshold would cause a change in the electronic data transaction processing system that would exceed a second predefined threshold;
- a machine learnt network coupled with the database and configured to predict a future state of the electronic data transaction processing system as a function of a current state of the electronic data transaction processing system and one or more potential electronic data transaction request messages of different parameters;
- wherein the machine learnt network machine learnt network is a structured neural network trained by identifying one or more patterns in historical transaction and state data indicative of expected changes in the historical state data as a result of the historical transactions and further comprising a layered plurality of dynamically weighted interconnected processing nodes;
- and
- an order optimizer coupled with the machine learnt network and configured to generate one or more electronic data transaction request messages based on predictions by the machine learnt network, each of the one or more electronic data transaction message maximizing a first parameter and minimizing a second parameter, different from the first parameter and not exceeding the first predefined threshold.
3 more elements
A computer implemented method comprising:
- receiving, by a processor, an incoming transaction which exceeds a predefined threshold;
- predicting, using a machine learnt network, based on a calculated state of a data structure, an expected change in the state in the data structure for one or more potential transactions to be transacted at one or more values at one or more different times, wherein the machine learnt network is a structured neural network, wherein the structured neural network is trained by identifying one or more patterns in historical data indicative of expected changes in the historical data as a result of one or more historical transactions and comprises a layered plurality of dynamically weighted interconnected processing nodes;
- generating, by the processor, using the predictions from the machine learnt network, one or more alternative transactions, each of the one or more alternative transactions not exceeding the predefined threshold, wherein the one or more alternative transactions maximize an execution value and limits a time to transact;
- and
- executing, by the processor, the one or more alternative transactions.
2 more elements
A system comprising
- means for determining that an incoming electronic data transaction request message would cause a change in an electronic data transaction processing system that would exceed a predefined threshold resulting in a disruption thereto, the electronic data transaction processing system being operative to transact a plurality of data items via a hardware matching processor associated therewith that matches, as they are received, incoming electronic data transaction request messages, for one of the plurality of data items received over a data communication network with at least one other previously received but unsatisfied electronic data transaction request message counter thereto stored in a memory associated with the plurality of data items coupled with the hardware matching processor, to at least partially satisfy one or both of the incoming electronic data transaction request messages or the at least one other previously received electronic data transaction request message;
- means for predicting, based on an initial state of the electronic data transaction processing system, an expected change in the initial state as a result of one or more potential electronic data transaction request messages with one or more different parameters;
- means for generating using the prediction, one or more electronic data transaction request messages based on the incoming electronic data transaction request message that mitigate the disruption while maximizing one of the one or more different parameters and minimizing another, different from the first parameter, of the one or more different parameters;
- and
- means for transmitting the one or more electronic data transaction request messages to the electronic data transaction processing system.
2 more elements
Dependencies are inferred from the claim text.