Distributed and transactionally deterministic data processing architecture

• US 10,326,862 B2
• Filed: 12/09/2016
• Issued: 06/18/2019
• Est. Priority Date: 12/09/2016
• Status: Active Grant

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Bonig, Zachary, Acuna-Rohter, Jose Antonio, Peck-Walden, Pearce, Bailey, James, Thill, Eric, Lariviere, David
• Primary Examiner(s): Jacobs, Lashonda T
• Application Number:
  US15/374,908
• Publication Number:
  US 20180167492A1
• Time in Patent Office: 921 Days
• CPC Class Codes: G06F 9/466 Transaction processing
• CPC Class Codes: G06F 9/546 Message passing systems or structures, e.g. queues
• CPC Class Codes: G06Q 20/085 involving remote charge determination or related payment systems
• CPC Class Codes: G06Q 20/12 specially adapted for electronic shopping systems
• CPC Class Codes: G06Q 20/389 Keeping log of transactions for guaranteeing non-repudiation of a transaction
• CPC Class Codes: G06Q 20/401 Transaction verification
• CPC Class Codes: G06Q 20/405 Establishing or using transaction specific rules
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: H04L 45/24 Multipath
• CPC Class Codes: H04L 51/18 Commands or executable codes
• CPC Class Codes: H04L 67/01 Protocols
• CPC Class Codes: H04L 67/10 in which an application is distributed across nodes in the network software deployment G06F8/60; multiprogramming arrangements G06F9/46

Abstract

A data transaction processing system including multiple transaction processors also includes an active transaction receiver that sequences all incoming messages from various sources to facilitate transactional determinism, as well as a results arbiter to efficiently decide which transaction processor result to choose as the correct output. The data transaction processing system minimizes overall latency by optimizing which transaction processors and results arbiters are responsive to specific client computer input requests or messages.

Claims

1. A computer implemented method comprising:

receiving, by a transaction receiver over a network, a plurality of electronic data transaction request messages from a first client computer over a first data path and from a second client computer over a second data path;

augmenting, by the transaction receiver, each received electronic data transaction request message;

transmitting, by the transaction receiver, the augmented electronic data transaction request messages to a first transaction processor over a third data path and to a second transaction processor over a fourth data path;

processing, by the first and second transaction processors, the received augmented electronic data transaction request messages;

generating, by the first and second transaction processors, a plurality of electronic data transaction result messages responsive to the electronic data transaction request messages;

transmitting at least some of the electronic data transaction result messages to the first client computer over a fifth data path; and

transmitting at least some of the electronic data transaction result messages to the second client computer over a sixth data path;

wherein the second data path is longer than the sixth data path.

2. The computer implemented method of claim 1, wherein a length of a data path between two objects defines at least one of a geographical separation or a logical separation between the two objects.

3. The computer implemented method of claim 1, wherein processing one electronic data transaction request message results in the generation of at least one electronic data transaction result message.

4. The computer implemented method of claim 3, wherein processing one electronic data transaction request message results in the generation of many electronic data transaction result messages.

5. The computer implemented method of claim 1, wherein the number of the electronic data transaction result messages generated by any one of the transaction processors is greater than the number of the electronic data transaction request messages received by the transaction receiver.

6. The computer implemented method of claim 1, wherein the size of all of the electronic data transaction result messages is larger than the size of all of the electronic data transaction request messages received by the transaction receiver.

7. The computer implemented method of claim 1, wherein the fourth data path is longer than the third data path.

8. The computer implemented method of claim 1, wherein the plurality of electronic data transaction result messages generated by the first transaction processor are identical to the plurality of electronic data transaction result messages generated by the second transaction processor.

9. The computer implemented method of claim 8, wherein the plurality of electronic data transaction request messages is a first plurality of electronic data transaction request messages including a second plurality of electronic data transaction request messages submitted by the first client computer and a third plurality of electronic data transaction request messages submitted by the second client computer, and wherein the plurality of electronic data transaction result messages is a first plurality of electronic data transaction result messages including a second plurality of electronic data transaction result messages responsive to the second plurality of electronic data transaction request messages and a third plurality of electronic data transaction result messages responsive to the third plurality of electronic data transaction request messages.

10. The computer implemented method of claim 9, further comprising:

transmitting the second plurality of electronic data transaction result messages generated by the first transaction processor to the first client computer; and

transmitting the third plurality of electronic data transaction result messages generated by the second transaction processor to the second client computer.

11. The computer implemented method of claim 10, further comprising:

transmitting the second plurality of electronic data transaction result messages generated by the second transaction processor to the first client computer; and

transmitting the third plurality of electronic data transaction result messages generated by the first transaction processor to the second client computer.

12. The computer implemented method of claim 1,

wherein (i) the time required to transmit the augmented electronic data transaction request messages from the transaction receiver to the first transaction processor is less than (ii) the time required to transmit the augmented electronic data transaction request messages from the transaction receiver to the second transaction processor;

and

wherein (iii) the sum of the times required to transmit the augmented electronic data transaction request messages from the transaction receiver to the first transaction processor and to transmit the electronic data transaction result messages from the first transaction processor to the second client computer is greater than (iv) the sum of the times required to transmit the augmented electronic data transaction request messages from the transaction receiver to the second transaction processor and to transmit the electronic data transaction result messages from the second transaction processor to the second client computer.

13. The computer implemented method of claim 1, wherein the second transaction processor is located between the second client computer and the first transaction processor.

14. The computer implemented method of claim 1, wherein the transaction processors are hardware matching processors.

15. The computer implemented method of claim 1,

wherein the augmenting by the transaction receiver comprises augmenting each received electronic data transaction request message with sequence data indicative of a relationship between the received electronic data transaction request message and any of the plurality of electronic data transaction request messages previously received by the transaction receiver;

and

wherein the processing by the transaction processors comprises processing the received augmented electronic data transaction request messages in accordance with the corresponding sequence data to determine a change in a current state of an electronic marketplace for one or more financial products caused thereby.

16. The computer implemented method of claim 1, further comprising,

transmitting, by the transaction receiver, the augmented electronic data transaction request messages to a first plurality of transaction processors including the first transaction processor and a second plurality of transaction processors including the second transaction processor;

processing, by each of the transaction processors in the first and second pluralities of transaction processors, the received augmented electronic data transaction request messages;

generating, by each of the transaction processors in the first and second pluralities of transaction processors, a plurality of electronic data transaction result messages responsive to the electronic data transaction request messages;

transmitting, by each of the transaction processors in the first plurality of transaction processors, the plurality of electronic data transaction result messages to a first results arbiter;

transmitting, by each of the transaction processors in the second plurality of transaction processors, the plurality of electronic data transaction result messages to a second results arbiter;

transmitting, by the first results arbiter, at least some of the plurality of electronic data transaction result messages to the first client computer; and

transmitting, by the second results arbiter, at least some of the plurality of electronic data transaction result messages to the second client computer.

17. The computer implemented method of claim 1, wherein the transaction receiver is a first transaction receiver, the method further comprising,

upon a failure or disconnection of the first transaction receiver,

receiving, by a second transaction receiver over the network, the plurality of electronic data transaction request messages from the first and second client computers;

augmenting, by the second transaction receiver, each received electronic data transaction request message; and

transmitting, by the second transaction receiver, the augmented electronic data transaction request messages to the first and second transaction processors.

18. The computer implemented method of claim 1, wherein the transaction receiver is a first transaction receiver, and the plurality of electronic data transaction request messages is a first plurality of electronic data transaction request messages, the method further comprising,

detecting that a predetermined number of the first plurality of electronic data transaction request messages originated from a location;

de-activating the first transaction receiver;

activating a second transaction receiver geographically or logically closer to the location than the first transaction receiver;

receiving, by the second transaction receiver, a second plurality of electronic data transaction request messages;

augmenting, by the second transaction receiver, each received electronic data transaction request message from the second plurality of electronic data transaction request messages; and

transmitting, by the second transaction receiver, the augmented electronic data transaction request messages to a plurality of transaction processors for processing.

19. The computer implemented method of claim 1, wherein the transaction receiver is a first transaction receiver, and the plurality of electronic data transaction request messages is a first plurality of electronic data transaction request messages, the method further comprising,

de-activating the first transaction receiver at a pre-determined time;

activating a second transaction receiver;

receiving, by the second transaction receiver, a second plurality of electronic data transaction request messages;

augmenting, by the second transaction receiver, each received electronic data transaction request message from the second plurality of electronic data transaction request messages; and

transmitting, by the second transaction receiver, the augmented electronic data transaction request messages to a plurality of transaction processors for processing.

20. A computer system comprising:

means for receiving a plurality of electronic data transaction request messages from a first client computer over a first data path and from a second client computer over a second data path;

means for augmenting each received electronic data transaction request message;

means for transmitting the augmented electronic data transaction request messages to a first transaction processor over a third data path and to a second transaction processor over a fourth data path;

means for processing the received augmented electronic data transaction request messages;

means for generating a plurality of electronic data transaction result messages responsive to the electronic data transaction request messages;

means for transmitting at least some of the electronic data transaction result messages to the first client computer over a fifth data path; and

means for transmitting at least some of the electronic data transaction result messages to the second client computer over a sixth data path;

wherein the second data path is longer than the sixth data path.