US 9,754,323 B2Granted

Rule based exchange simulator

AssigneeBank of America Corporation

InventorsRehman Ahmed Khan, Srinivasa Rao Aravala, Suhas Prakash Shahapurkar

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Abstract

Methods, systems, and computer-readable media for providing a rule based exchange simulator are presented. A plurality of rules may be received at an exchange simulator that define how orders should be processed at the exchange simulator. The received rules may be stored, for instance, at a rules engine. For example, rules may comprise a fill rule, a cancel rule, a reject rule, a no acknowledgment rule, and a market data rule. An order that comprises a stock exchange order may be received at the exchange simulator. For example, an order may comprise a buy or sell order for a particular instrument, such as a stock, and may comprise a particular quantity. Based on the one or more rules stored in the rules engine, the received order may be fully filled, partially filled, or not filled.

Claims20

Dependent claims

A computer implemented method, comprising:

receiving, by an exchange simulator having at least one processor, a plurality of rules, wherein the rules comprise rules to process orders received at the exchange simulator;
storing, by a rules engine of the exchange simulator, the plurality of rules;
receiving, via a server of the exchange simulator, a plurality of orders from a client, each order of the plurality of orders being received via a different messaging protocol, wherein at least a first order of the plurality of orders comprises an exchange order that includes an instrument;
transforming, by the server, the received plurality of orders from the received messaging protocol of the respective order to a first messaging protocol different from the received messaging protocol of the respective order, the first messaging protocol being a proprietary messaging protocol used by the exchange simulator;
identifying, from the rules engine, one or more rules from the plurality of rules that apply to the received at least a first order based on the instrument;
determining whether a current time is within normal business hours for a designated time zone;
responsive to determining that the current time is within normal business hours for the designated time zone, processing, by the exchange simulator, the received at least a first order based on the identified one or more rules, wherein the processing comprises:
filling at least a portion of the order when the identified one or more rules define that the received at least a first order should be filled;
and
not filling the order when the identified one or more rules define that the received at least a first order should not be filled;
generating, by the exchange simulator, a response in the first messaging protocol;
transforming, by the server, the response from the first messaging protocol to the received messaging protocol of the respective order;
and
routing, from the server to the client, the generated response.

11 more elements

A system comprising:

at least one client computing device having at least a first processor and a first memory;
an exchange simulator having at least a second processor and at least a second memory, the exchange simulator further including:
a server configured to:
receive, from the at least one client computing device, a plurality of orders, each order of the plurality of orders being received via a different messaging protocol;
transform the received plurality of orders from a received messaging protocol of a respective order to a first messaging protocol different from the received messaging protocol of the respective order, the first messaging protocol being a proprietary messaging protocol used by the exchange simulator;
a rules engine configured to:
receive a plurality of rules, wherein the rules comprise rules to process the received plurality of orders;
store the plurality of rules;
the exchange simulator configured to:
receive at least a first order from the server, wherein the at least a first order comprises a stock exchange order that includes an instrument;
determine one or more rules from the rules engine that apply to the received at least a first order based on the instrument;
determine whether a current time is within normal business hours for a designated time zone;
responsive to determining that the current time is within normal business hours for the designated time zone, process the received at least a first order based on the one or more determined rules, wherein the processing comprises:
filling at least a portion of the order when the one or more determined rules define that the received at least a first order should be filled;
and
not filling the order when the one or more determined rules define that the received at least a first order should not be filled
generate a response in the first messaging protocol;
responsive to determining that the current time is not within normal business hours for the designated time zone, not processing the received at least a first order;
the server further configured to:
transform the generated response from the first messaging protocol to the received messaging protocol of the respective order;
and
route the generated response in the received messaging protocol to the client computing device.

19 more elements

One or more non-transitory computer readable media having stored thereon instructions that, when executed by a processor of an exchange simulator, cause the exchange simulator to:

receive a plurality of rules, wherein the rules comprise rules to process orders received at the exchange simulator;
store, by a rules engine of the exchange simulator, the plurality of rules;
receive, via a server, a plurality of orders from a client, each order of the plurality of orders being received via a different messaging protocol, wherein at least a first order of the plurality of orders comprises a stock exchange order that includes an instrument;
transforming, by the server, the received plurality of orders from a received messaging protocol of a respective order to a first messaging protocol different from the received messaging protocol of the respective order, the first messaging protocol being a proprietary messaging protocol used by the exchange simulator;
identifying, by the rules engine, one or more rules from the plurality of rules that apply to the received at least a first order based on the instrument;
determining whether a current time is within normal business hours for a designated time zone;
responsive to determining that the current time is within normal business hours for the designated time zone, process the received at least a first order based on the one or more determined rules, wherein the processing comprises:
filling at least a portion of the order when the identified one or more rules define that the received at least a first order should be filled;
and
not filling the order when the identified one or more rules define that the received at least a first order should not be filled;
generate a response in the first messaging protocol;
transform, by the server, the response from the first messaging protocol to the received messaging protocol of the respective order;
route, from the server to the client, the generated response;
and
responsive to determining that the current time is not within normal business hours for the designated time zone, not processing the received at least a first order.

12 more elements

Dependencies are inferred from the claim text.