System, method, and computer-readable medium for improving the efficiency and stability of financial markets

• US 10,127,612 B2
• Filed: 03/14/2013
• Issued: 11/13/2018
• Est. Priority Date: 05/03/2012
• Status: Active Grant

• Current Assignee: Tamer Trading Technologies LLC
• Original Assignee: Tamer Trading Technologies LLC
• Inventors: Mannix, Brian F.
• Primary Examiner(s): Shrestha, Bijendra K
• Application Number:
  US13/828,398
• Publication Number:
  US 20130297478A1
• Time in Patent Office: 2,070 Days
• Field of Search: 705 37
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: H04L 43/0852 Delays

Abstract

A method to assist in the operation of a financial market. The method including receiving one or more transaction messages, where the one or more transaction messages include one or more orders or order commitments to be executed on the financial market; imposing one or more delays on the one or more orders or order commitments using a delay algorithm; processing the one or more order or order commitments by opening the one or more transaction messages after the one or more delays; matching the opened orders or order commitments; and executing the matched orders or order commitments.

Claims

1. A computer-implemented method to assist in operation of a buffered financial market comprising:

receiving a plurality of financial transaction messages by a computer system having one or more processors, wherein each financial transaction message of the plurality of financial transaction messages includes an order or order commitment to be executed on the buffered financial market;

calculating a random delay by the computer system using a random delay algorithm, the random delay representing at least one of;

a random period of time, or

a randomly determined position in a queue,

wherein the random delay is adjusted, up to a predetermined limit, in response to observations of at least one of;

sudden price movements, unusually high or low trading volume, one-sided order flow, low liquidity, or market volatility;

imposing, by the computer system, the random delay on a financial transaction message of the plurality of financial transaction messages;

opening, by the computer system, the financial transaction message after the random delay imposed on the financial transaction message;

after the opening of the financial transaction message, processing the order or order commitment included in the financial transaction message;

after the random delay, matching, by the computer system, the order or order commitment to one or more other opened orders or order commitments in the buffered financial market, wherein orders or order commitments that have not been subject to a delay based on the random delay algorithm are excluded from the matching, to yield matched orders; and

executing, by the computer system, the matched orders in the buffered financial market.

2. The method of claim 1, further comprising:

decrypting the order or order commitment after the random delay, wherein the order or order commitment is received encrypted.

3. The method of claim 1, further comprising:

protecting the order or order commitment from disclosure to a third party for a duration of the random delay.

4. The method of claim 1, further comprising:

verifying that the order or order commitment has not been altered prior to execution.

5. The method of claim 1, wherein the order or order commitment comprises an instruction to buy or sell at least one of:

an equity, a stock, a bond, a mutual fund, an option, a bank note, a security, debt, a contract, an exchanged traded fund, an index fund, a currency, an asset, a liability, a portfolio of assets, a commodity, a future, a derivative, or a hedge.

6. The method of claim 1, wherein the buffered financial market is at least one of:

an exchange, an off-exchange trading pool, or a venue that facilitates continuous financial trading.

7. A financial exchange system to assist in operation of a buffered financial market comprising:

a storage device comprising a temporal buffer;

an input device configured to receive a plurality of financial transaction messages, wherein each financial transaction message of the plurality of financial transaction messages includes an order or order commitment to buy or sell a financial instrument on the buffered financial market; and

at least one processor configured to;

insert the plurality of financial transaction messages into the temporal buffer;

calculate a random delay using a random delay algorithm, wherein the random delay represents at least one of;

a random period of time, or

a randomly determined position in a queue,

wherein the random delay is adjusted, up to a predetermined limit, in response to observations of at least one of;

sudden price movements, unusually high or low trading volume, one-sided order flow, low liquidity, or market volatility;

impose the random delay on a financial transaction message of the plurality of financial transaction messages;

open the financial transaction message after the random delay imposed on the financial transaction message;

after opening the financial transaction message, process the order or order commitment included in the financial transaction message;

after the random delay, match the order or order commitment to one or more other opened orders or order commitments in the buffered financial market, wherein orders or order commitments that have not been subject to a delay based on the random delay algorithm are excluded from matching, to yield matched orders; and

execute the matched orders in the buffered financial market.

8. The financial exchange system of claim 7, wherein the financial instrument is offered only through the financial exchange system and is identical to a second financial instrument traded at a separate second financial exchange system.

9. The financial exchange system of claim 7, wherein the order or order commitment is received encrypted.

10. The financial exchange system of claim 9, wherein the at least one processor is further configured to:

decrypt the order or order commitment after the random delay and prior to processing the order or order commitment to the buffered financial market for execution.

11. The financial exchange system of claim 10, wherein the at least one processor is further configured to:

verify that the order or order commitment has not been altered, prior to processing a decrypted order or decrypted order commitment to the buffered financial market for execution.

12. The financial exchange system of claim 7, wherein the buffered financial market is at least one of:

an exchange, an off-exchange trading pool, or a venue that facilitates continuous financial trading.

13. The financial exchange system of claim 7, wherein every order or order commitment for the financial instrument received by the financial exchange system is inserted into the temporal buffer.

14. One or more tangible non-transitory computer-readable storage media for storing computer-executable instructions executable by a computer system having at least one processor, the media storing one or more instructions to:

receive a plurality of financial transaction messages by the computer system, wherein each financial transaction message of the plurality of financial transaction messages includes an order or order commitment to buy or sell a financial instrument or commodity on a buffered financial market;

calculate a random delay by the computer system using a random delay algorithm, wherein the random delay represents at least one of;

a random period of time, or

a randomly determined position in a queue;

wherein the random delay is adjusted, up to a predetermined limit, in response to observations of at least one of;

sudden price movements, unusually high or low trading volume, one-sided order flow, low liquidity, or market volatility;

impose the random delay on a financial transaction message of the plurality of financial transaction messages by the computer system;

open, by the computer system, the financial transaction message after the random delay imposed on the financial transaction message;

after opening the financial transaction message, process the order or order commitment included in the financial transaction message;

after the random delay, match, by the computer system, the order or order commitment to one or more other opened orders or order commitments in the buffered financial market, wherein orders or order commitments that have not been subject to a delay based on the random delay algorithm are excluded from matching, to yield matched orders; and

execute, by the computer system, the matched orders in the buffered financial market.

15. The media of claim 14, wherein the order or order commitment is received encrypted.

16. The media of claim 15, wherein the media storing one or more instructions further comprises instructions to:

decrypt the order or order commitment after the random delay; and

verify that the order or order commitment has not been altered prior to processing a decrypted order or decrypted order commitment to the buffered financial market for execution.

17. The media of claim 14, wherein:

the buffered financial market is a single financial exchange,

the financial instrument or commodity is offered only through the single financial exchange, and

the financial instalment or commodity is identical to a second financial instrument or commodity traded at a separate second financial exchange.