US 2026/0289673 A1 · Order-Queue Storage Engine for Electronic Trading Systems

Abstract

This continuation relates to an order-queue storage engine for electronic trading systems. The engine maintains orders in at least one node, where each node exposes a contiguously addressable slot region of predetermined capacity. Per-slot indicators may be co-indexed arrays or bitmasks, or fields embedded in order objects, with constant-bounded updates on insert, remove, or relocate. Insertion logic selects a position under a priority rule and writes the order or a reference into a selected slot (e.g., append or prepend). When a target node lacks capacity, a relocation cascade moves orders toward adjacent nodes, with a configurable hop limit and allocation of a new node at a boundary. An in-node realignment routine compacts data via cache-aligned vector moves while preserving slot-indicator bijection. A lookup structure maps an order identifier to a storage location of a corresponding order entry within the order book. Implementations include an engine, method, computer-readable medium, and service/API.

Claims34

Dependent claims

A computer-implemented order-queue storage engine for an electronic order book, embodied as computer-executable instructions stored in non-transitory memory and executed by one or more processors, the engine comprising:

(a) at least one 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) one or more per-slot priority indicators logically associated with each slot of the contiguously addressable slot region, each indicator denoting a priority status for an entry stored in a respective slot in accordance with a predetermined priority rule, the engine determining therefrom the priority status of the entry without requiring a search across the entire order book;
and
(c) insertion logic, executed by the one or more processors, configured to, responsive to an insertion request:
(i) determine a target insertion position according to the predetermined priority rule;
(ii) store 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, invoke a capacity overflow handling logic, executed by the one or more processors, that yields a selected slot in any of the nodes, including a node allocated in response to the insertion request, for performing step (ii);
(d) removal logic, executed by the one or more processors, configured to, responsive to a request to remove an entry stored in a slot of any of the nodes, remove or invalidate the entry;
and
(e) wherein, in response to a change in the entries stored in the nodes, the engine updates the per-slot priority indicators for affected slots.

8 more elements

A computer-implemented method executed by one or more processors for maintaining an order-queue storage engine for an electronic order book, the method comprising:

(a) allocating 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) maintaining one or more per-slot priority indicators logically associated with each slot of the contiguously addressable slot region, each indicator denoting a priority status for an entry stored in a respective slot in accordance with a predetermined priority rule, the engine determining therefrom the priority status of the entry without requiring a search across the entire order book;
and
(c) responsive to an insertion request:
(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 a capacity overflow handling logic, executed by the one or more processors, that yields a selected slot in any of the nodes, including a node allocated in response to the insertion request, for performing step (ii);
(d) responsive to a request to remove an entry stored in a slot of any of the nodes, removing or invalidating the entry;
and
(e) responsive to a change in the entries stored in the nodes, updating the per-slot priority indicators for affected slots.

8 more elements

A non-transitory computer-readable medium storing instructions for an order-queue storage engine for an electronic order book, wherein the instructions, when executed by one or more processors, cause the processors 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 per-slot priority indicators logically associated with each slot of the contiguously addressable slot region, each indicator denoting a priority status for an entry stored in a respective slot in accordance with a predetermined priority rule, the engine determining therefrom the priority status of the entry without requiring a search across the entire order book;
and
(c) responsive to an insertion request:
(i) determine a target insertion position according to the predetermined priority rule;
(ii) store 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, invoke a capacity overflow handling logic, executed by the one or more processors, that yields a selected slot in any of the nodes, including a node allocated in response to the insertion request, for performing step (ii);
(d) responsive to a request to remove an entry stored in a slot of any of the nodes, remove or invalidate the entry;
and
(e) responsive to a change in the entries stored in the nodes, update the per-slot priority indicators for affected slots.

8 more elements

A computer-implemented service executing in an electronic trading system, the service comprising:

(a) an application-programming interface (API) configured to receive add, cancel, and modify requests for orders;
and
(b) an internal 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 per-slot priority indicators logically associated with each slot of the contiguously addressable slot region, each indicator denoting a priority status for an entry stored in a respective slot in accordance with a predetermined priority rule, the engine determining therefrom the priority status of the entry without requiring a search across the entire order book;
the service being configured to:
(c) responsive to an add request:
(i) determine a target insertion position according to the predetermined priority rule;
(ii) store 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, invoke a capacity overflow handling logic that yields a selected slot in any of the nodes, including a node allocated in response to the add request, for performing step (ii);
(d) responsive to a request to remove an entry stored in a slot of any of the nodes, remove or invalidate the entry;
and
(e) responsive to a change in the entries stored in the nodes, update the per-slot priority indicators for affected slots.

9 more elements

Dependencies are inferred from the claim text.

Order-Queue Storage Engine for Electronic Trading Systems

Life of this patent

Order-Queue Storage Engine for Electronic Trading Systems

Life of this patent

Abstract

Claims34