US 2026/0300876 A1Published application

Dual protocol pre-trade and post-trade risk management system and method

AssigneeBull Teknoloji

InventorsALI VOLKAN ATLI, MUCAHIT UCER, YAKUP YILDIZ, ELIF GAYRETLI, ADHAMZHON SHUKUROV, FATIH KUCUK, SAVAS SASMAZ, YILMAZ GURAK, MUHAMMET ERDEM

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Abstract

A system and methods are implemented for ultra-low latency pre-trade and non-real-time post-trade risk checks between a high-frequency trader (HFT) and an exchange. The system employs a mechanism to receive a copy (‘clone’) of the order message generated by the HFT using a first messaging protocol, while the order message is being transmitted to the exchange. The cloned order message is then analyzed by a deep packet inspector to assess if it passes risk checks. If the clone does not pass the risk checks, the system generates an order cancellation request on behalf of the HFT and sends it to the exchange using a second messaging protocol. This cancellation request is uniquely linked to the original order using an exchange-generated Order ID.

Claims24

Dependent claims

An article of manufacture having non-transitory computer readable storage medium comprising computer readable program code executable by one or more processors to perform pre-trade or post-trade risk checks, the medium comprising:

a. computer readable program code receiving a cloned order message on a first communications interface via a first messaging protocol during its transmission, the cloned order message generated by cloning an order message received from a high-frequency trading (HFT) system and destined for an exchange;
b. computer readable program code extracting one or more content fields from the cloned order message;
c. computer readable program code receiving a plurality of risk parameters associated with the HFT, and a current Limit Order Book (LOB) sent via a third messaging protocol, the plurality of risk parameters and the LOB received from one or more datastores;
d. computer readable program code comparing the one or more content fields of the cloned order message with the plurality of risk parameters and the current LOB and performing one or more risk checks;
e. computer readable program code, upon failing at least one of the one or more risk checks, generating, on behalf of the HFT, an order cancellation request message in a second messaging protocol;
and
f. computer readable program code sending the order cancelation message in the second messaging protocol to the exchange over a second communications interface.

4 more elements

A system that performs pre-trade or post-trade risk checks, the system comprising

a. a memory;
b. a central processing unit (CPU) implementing pre-trade risk management (PTRM) configuration management and non-real-time risk management functions;
and
c. an FPGA comprising a packet processor, a LOB Handler, an order handler and fast risk management functions, and comprising the following interfaces:
i. a first communications interfaces to connect to a first test access point (TAP) device interface to receive clones of messages originating from a high-frequency trading (HFT) system using a first messaging protocol;
ii. a second communications interface to connect to an exchange to send and receive messages using a second messaging protocol;
iii. a third communications interfaces to connect to a second TAP device interface to receive clones of messages originating from the exchange using the first messaging protocol and a third messaging protocol,
wherein the memory stores computer readable computer code:
(1) receiving a cloned order message on the first communications interface via the first messaging protocol during its transmission, the cloned order message generated by cloning an order message received at the HFT system and destined for the exchange;
(2) extracting one or more content fields from the cloned order message;
(3) receiving a plurality of risk parameters associated with the HFT and a current Limit Order Book (LOB) sent via the third messaging protocol, the plurality of risk parameters and the LOB received from one or more datastores;
(4) comparing the one or more content fields of the cloned order message with the plurality of risk parameters and the current LOB and performing one or more risk checks;
(e) upon failing at least one of the one or more risk checks, generating, on behalf of the HFT, an order cancellation request message in the second messaging protocol;
and (f) sending the order cancelation message in the second messaging protocol to the exchange over the second communications interface.

11 more elements

Dependencies are inferred from the claim text.