Order Book Storage Architecture for Electronic Trading Systems.

An order-queue storage accelerator circuit for an electronic order book, the accelerator circuit comprising:

• (a) memory comprising at least one node, each node having a contiguously addressable slot region configured to store up to a predetermined number of entries, each entry comprising an order object or a reference thereto, the contiguously addressable slot region providing sequential memory access;
• (b) indicator storage maintaining one or more priority indicators logically associated with slots of the contiguously addressable slot region, the one or more priority indicators denoting priority status of entries stored in the slots in accordance with a predetermined priority rule, the accelerator circuit determining therefrom priority status of an entry in a slot without requiring a search across the entire order book;
• and
• (c) operation logic comprising one or both of:
• (i) insertion logic configured to write an entry into a selected slot according to the predetermined priority rule;
• or
• (ii) removal logic configured to remove or invalidate an entry stored in a selected slot;
• (d) wherein the operation logic is configured to maintain, upon completion of each operation performed by the accelerator circuit involving an entry in a slot region, the priority indicators in coherent state with the priority status of entries stored in the slots under the predetermined priority rule.

A non-transitory machine-readable medium storing machine-executable content for an order-queue storage engine for an electronic order book, wherein the machine-executable content, when loaded onto a target device, causes the target device to:

• (a) instantiate at least one node, each node having a contiguously addressable slot region configured to store up to a predetermined number of entries, each entry comprising an order object or a reference thereto, the contiguously addressable slot region providing sequential memory access;
• (b) maintain one or more priority indicators logically associated with slots of the contiguously addressable slot region, the one or more priority indicators denoting priority status of entries stored in the slots in accordance with a predetermined priority rule, the engine determining therefrom priority status of an entry in a slot without requiring a search across the entire order book;
• (c) insert or reinsert an entry by:
• (i) determining a target insertion position according to the predetermined priority rule;
• (ii) storing an entry into a selected slot of a selected one of the nodes;
• and
• (iii) when the selected one of the nodes lacks a free slot, invoking capacity overflow handling logic that yields a selected slot in any of the nodes, including in a node allocated for the insertion or reinsertion, for performing step (ii);
• (d) remove or invalidate an entry stored in a slot of any of the nodes;
• and
• (e) upon completion of each operation involving an entry in the slot region, maintain the priority indicators in coherent state with the priority status of entries stored in the slots under the predetermined priority rule.

A service for an electronic order book, the service embodied as computer-executable instructions executed by one or more processors, as hardware circuitry, or as a combination thereof, the service comprising:

• (a) an application-programming interface (API) configured to receive at least one of add, cancel, or modify requests for orders, or any combination thereof;
• and
• (b) a store realized as an order-queue storage engine comprising at least one node, each node having a contiguously addressable slot region configured to store up to a predetermined number of entries, each entry comprising an order object or a reference thereto, the contiguously addressable slot region providing sequential memory access, and one or more priority indicators logically associated with slots of the contiguously addressable slot region, the one or more priority indicators denoting priority status of entries stored in the slots in accordance with a predetermined priority rule, the engine determining therefrom priority status of an entry in a slot without requiring a search across the entire order book;
• the service being configured to:
• (c) insert or reinsert an entry by:
• (i) determining a target insertion position according to the predetermined priority rule;
• (ii) storing an entry into a selected slot of a selected one of the nodes;
• and
• (iii) when the selected one of the nodes lacks a free slot, invoking capacity overflow handling logic that yields a selected slot in any of the nodes, including in a node allocated for the insertion or reinsertion, for performing step (ii);
• (d) remove or invalidate an entry stored in a slot of any of the nodes;
• and
• (e) upon completion of each operation involving an entry in the slot region, maintain the priority indicators in coherent state with the priority status of entries stored in the slots under the predetermined priority rule.