Mitigation of latency disparity in a data transaction processing system

• US 10,432,565 B2
• Filed: 04/28/2017
• Issued: 10/01/2019
• 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): Cox, Natisha D
• Application Number:
  US15/581,492
• Publication Number:
  US 20180262455A1
• Time in Patent Office: 886 Days
• Field of Search: None
• 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 at varying intervals. The intervals may be dynamically determined and may be based on the volume and rate of the incoming electronic data transaction request messages. The data transaction processing system may preprocess the group of electronic data transaction request messages before forwarding the electronic data transaction request messages to a transaction processor, which processes the subset of electronic data transaction request messages in a non-chronological order.

Claims

1. A computer implemented method for mitigating disparities in latencies of electronic data transaction request messages by a data transaction processing system in which data objects are transacted by hardware matching processors that match electronic data transaction request messages for the same one of the data objects based on multiple transaction parameters received from different client computers over a data communication network, the method comprising:

upon an occurrence of an event, determining the beginning of an interval having an extendible interval duration;

for each electronic data transaction request message up to a maximum extension number received by the data transaction processing system after the occurrence of the event and before an elapse of the interval, extending the interval duration by a per extension time;

storing electronic data transaction request messages received by the data transaction processing system after the occurrence of the event and before the elapse of the interval in a buffer in a first sequence based on the order in which the electronic data transaction request messages were received by the data transaction processing system; and

upon the elapse of the interval, forwarding the electronic data transaction request messages in the buffer to a 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 data transaction processing system after another electronic data transaction request message is processed by the hardware matching processor before the another electronic data transaction request message.

2. The computer implemented method of claim 1, wherein the event is a first event, the interval is a first interval, the interval duration is a first interval duration, the maximum extension number is a first maximum extension number, and the per extension time is a first per extension time, the method further comprising:

upon an occurrence of a second event after the elapse of the first interval, determining the beginning of a second interval having an extendible second interval duration;

for each electronic data transaction request message up to a second maximum extension number received by the data transaction processing system after the occurrence of the second event and before an elapse of the second interval, extending the second interval duration by a second per extension time;

storing electronic data transaction request messages received by the data transaction processing system after the occurrence of the second event and before the elapse of the second interval in the buffer in a third sequence based on the order in which the electronic data transaction request messages were received by the data transaction processing system; and

upon the elapse of the second interval, forwarding the electronic data transaction request messages in the buffer to the hardware matching processor in a fourth sequence different from the third sequence, such that at least one electronic data transaction request message received by the data transaction processing system after another electronic data transaction request message is processed by the hardware matching processor before the another electronic data transaction request message.

3. The computer implemented method of claim 1, wherein each electronic data transaction request message comprises a request to perform a transaction on a data object, a quantity and a value.

4. The computer implemented method of claim 3, wherein the second sequence includes electronic data transaction request messages grouped by electronic data transaction request message type.

5. The computer implemented method of claim 4, wherein the second sequence includes, within each group of electronic data transaction request messages, electronic data transaction request messages arranged in reverse of the order in which the electronic data transaction request messages were received by the data transaction processing system.

6. The computer implemented method of claim 3, wherein the second sequence is based at least in part on characteristics of the electronic data transaction request messages.

7. The computer implemented method of claim 6, wherein the characteristics include at least one of:

an electronic data transaction request message source;

an electronic data transaction request message transaction type;

an electronic data transaction request message type;

a value;

a data object;

or electronic data transaction request message contents.

8. The computer implemented method of claim 7, wherein the electronic data transaction request message transaction type includes one of acquiring or relinquishing a quantity of a data object.

9. The computer implemented method of claim 8, wherein the data transaction processing system is an exchange computing system, and wherein the data object is associated with a financial instrument traded in the exchange computing system.

10. The computer implemented method of claim 7, wherein the electronic data transaction request message type includes one of limit, fill and kill, or cancel.

11. The computer implemented method of claim 10, 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.

12. The computer implemented method of claim 11, further comprising, if the electronic data transaction request message type is limit and if the electronic data transaction request message is not fully satisfied, storing, by the hardware matching processor, data associated with the electronic data transaction request message in an order book object associated with the data object.

13. The computer implemented method of claim 11, further comprising, if the electronic data transaction request message type is fill and kill and if the electronic data transaction request message is not fully satisfied, removing, from the data transaction processing system, any unsatisfied quantity associated with the electronic data transaction request message.

14. The computer implemented method of claim 1, wherein the event is receiving an electronic data transaction request message.

15. The computer implemented method of claim 1, 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.

16. The computer implemented method of claim 15, wherein the hardware matching processor attempts to match forwarded electronic data transaction request messages in the second sequence.

17. The computer implemented method of claim 1, further comprising determining the interval duration, the maximum extension number, and the per extension time after the occurrence of the event.

18. The computer implemented method of claim 1, further comprising determining the interval duration, the maximum extension number, and the per extension time randomly for each interval.

19. The computer implemented method of claim 1, wherein the interval duration of an interval is extended based on the electronic data transaction request messages received by the data transaction processing system before the interval elapses.

20. The computer implemented method of claim 1, wherein the buffer is a primary buffer, further comprising, before forwarding the electronic data transaction request messages to the hardware matching processor:

transferring, in a last-in, first-out order, each of the electronic data transaction request messages in the primary buffer to one of a plurality of secondary buffers based on a characteristic of the electronic data transaction request message, wherein each of the secondary buffers stores electronic data transaction request messages having a same characteristic; and

transferring, in a first-in, first-out order, electronic data transaction request messages from each of the plurality of secondary buffers to the primary buffer, resulting in storing the electronic data transaction request messages in the primary buffer in the second sequence.

21. The computer implemented method of claim 1, further comprising compressing the electronic data transaction request messages in the buffer based on characteristics of the electronic data transaction request messages in the buffer.

22. A computer system for mitigating disparities in latencies of electronic data transaction request messages by a data transaction processing system in which data objects are transacted by a hardware matching processor that matches electronic data transaction request messages for the same one of the data objects based on multiple transaction parameters received from different client computers over a data communication network, the computer system comprising:

an interval processor that;

determines the beginning of an interval having an extendible interval duration upon an occurrence of an event; and

for each electronic data transaction request message up to a maximum extension number received by the data transaction processing system after the occurrence of the event and before an elapse of the interval, extends the interval duration by a per extension time;

a buffer coupled to the interval processor for storing electronic data transaction request messages received by the data transaction processing system after the occurrence of the event and before the elapse of the interval in a first sequence based on the order in which the electronic data transaction request messages were received by the data transaction processing system;

a sequencer coupled to the buffer that, upon the elapse of the interval, re-arranges the electronic data transaction request messages in the buffer in a second sequence different from the first sequence; and

a hardware matching processor coupled to the buffer that processes the electronic data transaction request messages in the second sequence, such that at least one electronic data transaction request message received by the data transaction processing system after another electronic data transaction request message is processed by the hardware matching processor before the another electronic data transaction request message.

23. The computer system of claim 22, wherein each electronic data transaction request message comprises a request to perform a transaction on a data object, a quantity and a value.

24. The computer system of claim 23, wherein the second sequence includes electronic data transaction request messages grouped by electronic data transaction request message type.

25. The computer system of claim 24, wherein the second sequence includes, within each group of electronic data transaction request messages, electronic data transaction request messages arranged in reverse of the order in which the electronic data transaction request messages were received by the data transaction processing system.

26. The computer system of claim 23, wherein the second sequence is based at least in part on characteristics of the electronic data transaction request messages.

27. The computer system of claim 26, wherein the characteristics include at least one of:

an electronic data transaction request message source;

an electronic data transaction request message transaction type;

an electronic data transaction request message type;

a value;

or a data object.

28. The computer system of claim 27, wherein the electronic data transaction request message transaction type includes one of acquiring or relinquishing a quantity of a data object.

29. The computer system of claim 28, wherein the data transaction processing system is an exchange computing system, and wherein the data object is associated with a financial instrument traded in the exchange computing system.

30. The computer system of claim 27, wherein the electronic data transaction request message type includes one of limit, fill and kill, or cancel.

31. The computer system of claim 22, wherein the interval processor determines the interval duration, the maximum extension number, and the per extension time after the occurrence of the event.

32. The computer system of claim 22, wherein the interval processor determines the interval duration, the maximum extension number, and the per extension time randomly for each interval.

33. The computer system of claim 22, wherein the interval duration of an interval is extended based on the electronic data transaction request messages received by the data transaction processing system before the interval elapses.

34. The computer system of claim 22, which comprises a compressor coupled to the buffer that compresses the electronic data transaction request messages in the buffer based on characteristics of the electronic data transaction request messages in the buffer.

35. A computer system for mitigating disparities in latencies of electronic data transaction request messages in a data transaction processing system, the system comprising:

means for determining the beginning of an interval having an extendible interval duration upon an occurrence of an event;

means for, for each electronic data transaction request message up to a maximum extension number received by the data transaction processing system after the occurrence of the event and before an elapse of the interval, extending the interval duration by a per extension time;

means for storing electronic data transaction request messages received by the data transaction processing system after the occurrence of the event and before the elapse of the interval in a first sequence based on the order in which the electronic data transaction request messages were received by the data transaction processing system; and

means for, upon the elapse of the interval, forwarding the electronic data transaction request messages in a second sequence different from the first sequence for processing, such that at least one electronic data transaction request message received by the data transaction processing system after another electronic data transaction request message is processed before the another electronic data transaction request message.