System and method of utilizing a distributed order book in an electronic trade match engine
First Claim
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1. A system configured to create an outward appearance of a single order book, the system comprising:
- a first match engine located at a first geographic location, wherein the first match engine is configured to match orders using a first order book;
a second match engine located at a second geographic location remote from the first location, wherein the first match engine and the second match engine are not equidistant from a computer device transmitting an order, and wherein the second match engine is configured to match orders using a second order book; and
a shared memory communicatively coupled, over a data network that connects the first match engine and the second match engine and is configured to carry status messages that synchronize at least one of;
the first order book and the second order book, to the first match engine and the second match engine, wherein the first match engine is programmed to transmit, over the data network, minimal order information to the second match engine to determine that a best price available to match the order is at the second order book of the second match engine instead of at the first order book.
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Abstract
Methods and systems are providing for minimizing the effects of transmission delays when providing orders for financial instruments. A plurality of order books and match engines may be maintained at geographically dispersed locations. The orders may be synchronized to provide the appearance of a single order book to traders and other users. The plurality of order books and match engines allow traders and other users to transmit orders to the match engine associated with the shortest transmission delay and to access orders pending at other match engines.
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Citations
16 Claims
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1. A system configured to create an outward appearance of a single order book, the system comprising:
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a first match engine located at a first geographic location, wherein the first match engine is configured to match orders using a first order book; a second match engine located at a second geographic location remote from the first location, wherein the first match engine and the second match engine are not equidistant from a computer device transmitting an order, and wherein the second match engine is configured to match orders using a second order book; and a shared memory communicatively coupled, over a data network that connects the first match engine and the second match engine and is configured to carry status messages that synchronize at least one of;
the first order book and the second order book, to the first match engine and the second match engine, wherein the first match engine is programmed to transmit, over the data network, minimal order information to the second match engine to determine that a best price available to match the order is at the second order book of the second match engine instead of at the first order book. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8)
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9. A distributed order matching apparatus that reduces transmission delays by physically positioning a plurality of match engines across a geographic area and establishing a synchronization protocol for the plurality of match engines, comprising:
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a computer memory storing at least computer-executable instructions and received orders; a processor configured to execute the computer-executable instructions to cause the apparatus to; determine if a best price available to match a received order is at the apparatus or at a remote match engine, wherein the remote match engine is positioned at a geographic location different from that of the apparatus, and wherein the remote match engine and the apparatus are not equidistant; attempt to match the received order with an order at the apparatus based on a determination that the best price to match the received order is available at the apparatus; transmit, over a high-speed computer network, minimal order information to the remote match engine based on a determination that the best price to match the received order is not available at the apparatus; and synchronizing the remote match engine using the minimal order information; wherein the apparatus is communicatively coupled over the high-speed computer network with the remote match engine; and wherein the distributed order matching apparatus provides an outward appearance of a single seamless order book. - View Dependent Claims (10, 11, 12, 13, 14, 15, 16)
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Specification