Elimination of electronic data transaction request messages received from a common source

• US 10,382,377 B2
• Filed: 12/28/2017
• Issued: 08/13/2019
• Est. Priority Date: 03/13/2017
• Status: Active Grant

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Acuna-Rohter, Jose Antonio, Studnitzer, Ari, Kavanagh, Kyle D., Peck-Walden, Pearce, Schuldt, Eric
• Primary Examiner(s): Nguyen, Khai M
• Application Number:
  US15/857,162
• Publication Number:
  US 20180262207A1
• Time in Patent Office: 593 Days
• Field of Search: 341 51, 341 87, 705 35, 705 36 R, 705 37
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: H03M 7/30 Compression speech analysis-synthesis for redundancy reduction G10L19/00; for image communication H04N; Expansion; Suppression of unnecessary data, e.g. redundancy reduction
• CPC Class Codes: H04L 51/18 Commands or executable codes
• CPC Class Codes: H04L 67/60 Scheduling or organising the servicing of application requests, e.g. requests for application data transmissions using the analysis and optimisation of the required network resources admission control or resource allocation H04L47/70

Abstract

A data transaction processing system receives electronic data transaction request messages from client computers over a data communication network and groups a subset of the electronic data transaction request messages. The data transaction processing system may preprocess the group of electronic data transaction request messages based on the other messages in the same group before forwarding the electronic data transaction request messages to a transaction processor.

Claims

1. A computer implemented method for reducing electronic data transaction request messages in an exchange computing system, the method comprising:

storing, by a compressing processor, electronic data transaction request messages received by the exchange computing system within a time interval in a buffer, the electronic data transaction request messages including first and second electronic data transaction request messages received from a same source, wherein each electronic data transaction request message comprises a request to perform a transaction on a financial instrument;

upon detecting, by the compressing processor, that the first and second electronic data transaction request messages both request cancellation of a previously received third electronic data transaction request message, deleting, by the compressing processor, from the buffer, one of the first and second electronic data transaction request messages;

upon detecting, by the compressing processor, that the first and second electronic data transaction request messages both request modification of a previously received third electronic data transaction request message, modifying, by the compressing processor, one of the first and second electronic data transaction request messages based on the first and second electronic data transaction request messages, and deleting, by the compressing processor, from the buffer, the other of the first and second electronic data transaction request messages; and

upon detecting, by the compressing processor, that the first and second electronic data transaction request messages both request performing a transaction on a same financial instrument, modifying, by the compressing processor, one of the first and second electronic data transaction request messages based on the first and second electronic data transaction request messages, and deleting, by the compressing processor, from the buffer, the other of the first and second electronic data transaction request messages.

2. The computer implemented method of claim 1, further comprising forwarding, by the compressing processor, the electronic data transaction request messages in the buffer to a hardware matching processor.

3. The computer implemented method of claim 2, further comprising determining, by the hardware matching processor, whether an attempt to match an electronic data transaction request message with at least one previously received but unsatisfied electronic data transaction request message for a transaction which is counter thereto results in at least partial satisfaction of one or both of the electronic data transaction request message and the at least one previously received but unsatisfied electronic data transaction request message.

4. The computer implemented method of claim 1, further comprising determining, by the compressing processor, that electronic data transaction request messages are received from a same source if one of:

the electronic data transaction request messages originate from a same internet protocol (“

IP”

) address;

the electronic data transaction request messages are associated with a same customer account;

or the electronic data transaction request messages originate from a same trading firm.

5. The computer implemented method of claim 1, further comprising, upon detecting, by the compressing processor, that the first and second electronic data transaction request messages both request cancellation of the previously received third electronic data transaction request message, and upon detecting, by the compressing processor, that the third electronic data transaction request message is in the buffer, deleting, by the compressing processor, from the buffer, the third electronic data transaction request message.

6. The computer implemented method of claim 1, further comprising, upon detecting, by the compressing processor, that the first and second electronic data transaction request messages both request modification of the previously received third electronic data transaction request message, and upon detecting, by the compressing processor, that the third electronic data transaction request message is in the buffer, modifying, by the compressing processor, the third electronic data transaction request message based on the modified one of the first and second electronic data transaction request messages.

7. The computer implemented method of claim 1, wherein modifying one of the first and second electronic data transaction request messages based on the first and second electronic data transaction request messages comprises modifying one of the first and second electronic data transaction request messages so that the modified one of the first and second electronic data transaction request messages represents the net effects of the requests of the first and second electronic data transaction request messages.

8. The computer implemented method of claim 7, wherein the modified one of the first and second electronic data transaction request messages, if processed by a hardware matching processor, has the same effect on an order book for the financial instrument as the first and second electronic data transaction request messages, if processed by the hardware matching processor.

9. The computer implemented method of claim 1, wherein, if the first and second electronic data transaction request messages refer to a previously received third electronic data transaction request message, the previously received third electronic data transaction request message is not stored in the buffer at the same time as the first and second electronic data transaction request messages.

10. The computer implemented method of claim 9, wherein the previously received third electronic data transaction request message is forwarded to the hardware matching processor before the first and second electronic data transaction request messages are stored in the buffer.

11. The computer implemented method of claim 1, wherein each electronic data transaction request message comprises a request to perform a transaction of a type on a financial instrument.

12. The computer implemented method of claim 11, wherein the electronic data transaction request message transaction type is one of relinquish or purchase a quantity of the financial instrument.

13. The computer implemented method of claim 1, wherein the electronic data transaction request messages are stored in the buffer in a first sequence, the method further comprising forwarding, by the compressing processor, the electronic data transaction request messages in the buffer to the hardware matching processor in a second sequence different from the first sequence, such that at least one electronic data transaction request message received by the exchange computing system after another electronic data transaction request message is processed by the hardware matching processor before the another electronic data transaction request message.

14. The computer implemented method of claim 1, wherein the exchange computing system includes hardware matching processors that attempt to match electronic data transaction request messages for financial instruments received from different client computers over a data communications network.

15. A computer system for reducing electronic data transaction request messages in an exchange computing system, the computer system comprising:

at least one memory operable to store electronic data transaction request messages received by the exchange computing system within a time interval, the electronic data transaction request messages including first and second electronic data transaction request messages received from a same source, wherein each electronic data transaction request message comprises a request to perform a transaction on a financial instrument; and

at least one compressing processor configured to cause the system to;

upon detecting that the first and second electronic data transaction request messages both request cancellation of a previously received third electronic data transaction request message, delete, from the memory, one of the first and second electronic data transaction request messages;

upon detecting that the first and second electronic data transaction request messages both request modification of a previously received third electronic data transaction request message, modify one of the first and second electronic data transaction request messages based on the first and second electronic data transaction request messages, and delete, from the memory, the other of the first and second electronic data transaction request messages; and

upon detecting that the first and second electronic data transaction request messages both request performing a transaction on a same financial instrument, modify one of the first and second electronic data transaction request messages based on the first and second electronic data transaction request messages, and delete, from the memory, the other of the first and second electronic data transaction request messages.

16. The computer system of claim 15, wherein the compressing processor is further configured to determine that electronic data transaction request messages are received from a same source if one of:

the electronic data transaction request messages originate from a same internet protocol (“

IP”

) address;

the electronic data transaction request messages are associated with a same customer account;

or the electronic data transaction request messages originate from a same trading firm.

17. The computer system of claim 15, wherein the compressing processor is further configured to, upon detecting that the first and second electronic data transaction request messages both request cancellation of the previously received third electronic data transaction request message, and upon detecting that the third electronic data transaction request message is in the memory, delete, from the memory, the third electronic data transaction request message.

18. The computer system of claim 15, wherein the compressing processor is further configured to, upon detecting that the first and second electronic data transaction request messages both request modification of the previously received third electronic data transaction request message, and upon detecting, that the third electronic data transaction request message is in the memory, modify the third electronic data transaction request message based on the modified one of the first and second electronic data transaction request messages.

19. The computer system of claim 18, wherein modifying one of the first and second electronic data transaction request messages based on the first and second electronic data transaction request messages comprises modifying one of the first and second electronic data transaction request messages so that the modified one of the first and second electronic data transaction request messages represents the net effects of the requests of the first and second electronic data transaction request messages.

20. A computer system for reducing electronic data transaction request messages in an exchange computing system, the computer system comprising:

means for storing electronic data transaction request messages received by the exchange computing system within a time interval, the electronic data transaction request messages including first and second electronic data transaction request messages received from a same source, wherein each electronic data transaction request message comprises a request to perform a transaction on a financial instrument;

means for, upon detecting that the first and second electronic data transaction request messages both request cancellation of a previously received third electronic data transaction request message, deleting one of the first and second electronic data transaction request messages;

means for, upon detecting that the first and second electronic data transaction request messages both request modification of a previously received third electronic data transaction request message, modifying one of the first and second electronic data transaction request messages based on the first and second electronic data transaction request messages, and deleting the other of the first and second electronic data transaction request messages; and

means for, upon detecting that the first and second electronic data transaction request messages both request performing a transaction on a same financial instrument, modifying one of the first and second electronic data transaction request messages based on the first and second electronic data transaction request messages, and deleting the other of the first and second electronic data transaction request messages.