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US 2022/0188931 A1Published application
Message processing
AssigneeChicago Mercantile Exchange Inc.
InventorsAri Studnitzer, Nathan Ball, Wayne G. Arner, II, Giuseppe Scimeca, John Scheerer, Christopher Reithel, Jacob Doornebos, Brian Wolf
Life of this patent
Estimating the term…
Abstract
Systems and methods are provided for scoring the use of financial market messages. Uses of messages that are efficient and/or improve market liquidity receive positive scores. Traders are charge fees or receive rewards that are dependent upon message quality scores.
Claims20
A system including:
- a communication network;
- and
- a trading engine, communicatively coupled with the communication network and including a hardware processor, the trading engine configured to:
- receive a market data message, characterized by a message type and including one or more parameters and which causes a change to an electronic trading system, from a trader via the communications network;
- process the received market data message and transmit an acknowledgment message to the trader via the communications network responsive to the received market data message;
- determine a message quality score that quantifies an efficiency of the received market data message based on the message type and/or the one or more parameters, wherein the message quality score is assigned a value computed as a function of a change size associated with the change to the electronic trading system such that:
- a first value is assigned when a ratio of a message data size for the message to the change size is at a first level;
- and
- a second value smaller than the first value is assigned when the ratio of the message data size to the change size is at a second level less than the first level;
- augment the acknowledgment message with the message quality score prior to transmission to the trader;
- and
- determine a message volume control limit as a function of the message quality score and add or remove message capacity based thereon.
9 more elements
A method including:
- receiving, by a processor via a communications network communicatively coupled therewith, a market data message, characterized by a message type and including one or more parameters and which causes a change to an electronic trading system, from a trader via the communications network;
- processing, by the processor, the received market data message and transmitting an acknowledgment message to the trader via the communications network responsive to the received market data message;
- determining, by the processor, a message quality score that quantifies an efficiency of the received market data message based on the message type and/or the one or more parameters, wherein the message quality score is assigned a value computed as a function of a change size associated with the change to the electronic trading system such that:
- a first value is assigned when a ratio of a message data size for the message to the change size is at a first level;
- and
- a second value smaller than the first value is assigned when the ratio of the message data size to the change size is at a second level less than the first level;
- augmenting, by the processor, the acknowledgment message with the message quality score prior to transmission to the trader;
- and
- determining, by the processor, a message volume control limit as a function of the message quality score and add or remove message capacity based thereon.
6 more elements
A system including:
- means for receiving, via a communications network communicatively coupled therewith, a market data message, characterized by a message type and including one or more parameters and which causes a change to an electronic trading system, from a trader via the communications network;
- means for processing the received market data message and transmitting an acknowledgment message to the trader via the communications network responsive to the received market data message;
- means for determining a message quality score that quantifies an efficiency of the received market data message based on the message type and/or the one or more parameters, wherein the message quality score is assigned a value computed as a function of a change size associated with the change to the electronic trading system such that:
- a first value is assigned when a ratio of a message data size for the message to the change size is at a first level;
- and
- a second value smaller than the first value is assigned when the ratio of the message data size to the change size is at a second level less than the first level;
- means for augmenting the acknowledgment message with the message quality score prior to transmission to the trader;
- and
- means for determining a message volume control limit as a function of the message quality score and add or remove message capacity based thereon.
6 more elements
Dependencies are inferred from the claim text.