Methods and apparatus for using multicast messaging in a system for implementing transactions

• US 10,439,833 B1
• Filed: 11/04/2011
• Issued: 10/08/2019
• Est. Priority Date: 11/24/2010
• Status: Active Grant

• Current Assignee: NYSE Arca Incorporated (Intercontinental Exchange, Inc.)
• Original Assignee: NYSE Arca Incorporated (Intercontinental Exchange, Inc.)
• Inventors: Lebedev, Alexei, Parizhsky, Vladimir
• Primary Examiner(s): Morlan, Robert M
• Assistant Examiner(s): Thomas, Wilfred
• Application Number:
  US13/289,891
• Time in Patent Office: 2,895 Days
• 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 12/1804 for stock exchange and similar applications
• CPC Class Codes: H04L 12/1818 Conference organisation arrangements, e.g. handling schedules, setting up parameters needed by nodes to attend a conference, booking network resources, notifying involved parties
• CPC Class Codes: H04L 12/1822 Conducting the conference, e.g. admission, detection, selection or grouping of participants, correlating users to one or more conference sessions, prioritising transmission
• CPC Class Codes: H04L 12/185 with management of multicast group membership
• CPC Class Codes: H04L 45/16 Multipoint routing
• CPC Class Codes: H04L 49/201 Multicast operation; Broadcast operation
• CPC Class Codes: H04L 65/4038 with floor control
• CPC Class Codes: H04L 67/14 Session management for real-time applications in data packet communications networks H04L65/1066
• CPC Class Codes: H04L 67/56 Provisioning of proxy services store-and-forward switching systems in data switching networks H04L12/54

Abstract

Methods and apparatus for generating and using multicast transaction messages in an exchange system are described. A unicast transaction message is received, e.g., by a gateway device which interacts with devices outside the exchange system. The gateway device generates a multicast transaction message from the unicast transaction message and sends transmits it to other devices in the exchange system. A multicast transaction message is received by the gateway device. The gateway generates a unicast transaction response message and sends it to the trader system which sent the transaction message to which the response corresponds. Traders are permitted to include information in a transaction message field which is not interpreted or used by the exchange to control message processing. The information in the uninterpreted field is echoed back to the trader system and allows the trader to correlate the transaction messages to one or more clients or to perform other operations.

Claims

1. A method comprising:

operating a security switch, in an exchange system, to receive a first unicast order message from a client system located external to the exchange system and to communicate the first unicast order message to a first gateway device located in said exchange system, said first unicast order message including a first identifier identifying a first item to which the first unicast order message relates and a trader identifier identifying at least one of a trader or trader system to which the first unicast order message corresponds;

generating from the first unicast order message, at said first gateway device located in said exchange system, a first multicast transaction message including a first multicast address as a destination address and at least some information included in said first unicast order message, said at least some information including the first identifier, said step of generating the first multicast transaction message including selecting based on the first identifier included in said first unicast order message, said first multicast address for use as said destination address, said first multicast address corresponding to a group which includes a device responsible for handling transaction messages relating to the first item identified by said first identifier, said first multicast address being selected from a plurality of multicast addresses based on the first identifier included in said first unicast order message;

transmitting, from said first gateway device, said first multicast transaction message; and

receiving, at said first gateway device, a first multicast transaction response message in response to said first multicast transaction message.

2. The method of claim 1,

wherein said item identified by said first identifier is an item being traded;

wherein said first unicast order message further includes a message type indicator indicating a particular type of order message, said message type indicator indicating one of a buy message type, sell message type or limit message type; and

wherein generating the first multicast transaction message includes including in said first multicast transaction message a trader identifier obtained from said first unicast order message and said message type indicator indicating one of a buy message type, sell message type or limit message type.

3. The method of claim 1, wherein generating said first multicast transaction message includes including a majority of information included in said first unicast order message in said first multicast transaction message.

4. The method of claim 1, further comprising:

generating a first unicast order response message from the first multicast transaction response message; and

transmitting said first unicast order response message to a trader or broker from which said first unicast order message was received; and

wherein generating said first multicast transaction message from said first unicast order message further includes;

including in the said first multicast transaction message a multicast group identifier corresponding to a multicast group to which said first gateway device corresponds.

5. The method of claim 1, wherein generating said first multicast transaction message from said first unicast order message includes:

including in the said first multicast transaction message, as a source address of said first multicast transaction message, a multicast address of a multicast group to which said first gateway device corresponds.

6. The method of claim 3, wherein generating a first multicast transaction message includes:

updating a multicast message identifier corresponding to the selected multicast address; and

including the updated multicast message identifier in said first multicast transaction message.

7. The method of claim 6, further comprising:

generating a null multicast transaction message including an updated message identifier at predetermined time intervals; and

transmitting said null multicast transaction message.

8. The method of claim 1, wherein selecting, for use as said destination address, said first multicast address corresponding to a group which includes a device responsible for handling transaction messages relating to the item identified by said first identifier includes selecting as said destination address said first multicast address based on a broker identifier included in said first unicast order message in addition to making said selection based on the first identifier.

18. The method of claim 1, wherein said first item identified by said first identifier is an item being traded.

19. The method of claim 1, wherein the first multicast transaction response message includes a second multicast address as a message source address, the second multicast address corresponding to a multicast group including a matching server which performed a matching operation in an attempt to complete an order communicated by said first multicast transaction message, said first multicast transaction message further including a destination address which is also a multicast address.

9. An exchange system comprising:

a security switch configured to receive a first unicast order message from a client system located external to the exchange system and to communicate the first unicast order message to a first gateway device in said exchange system, said first unicast order message including a first identifier identifying a first item to which the first unicast order message relates and a trader identifier identifying at least one of a trader or trader system to which the first unicast order message corresponds; and

said first gateway device, the first gateway device including;

i) an interface including a receiver configured to receive a first unicast order message including a first identifier identifying a first item;

ii) a multicast message generation module configured to generate, from the first unicast order message, a first multicast transaction message including a first multicast address as a destination address and at least some information included in said first unicast order message, said at least some information including the first identifier, said multicast message generation module being further configured to select, based on the first identifier included in said first unicast order message, said first multicast address for use as said destination address, the first multicast address corresponding to a group which includes a device responsible for handling transaction messages relating to the first item identified by said first identifier, said first multicast address being selected from a plurality of multicast addresses;

iii) a transmitter configured to transmit said first multicast transaction message; and

wherein said receiver is further configured to receive a first multicast transaction response message in response to said first multicast transaction message.

10. The exchange system of claim 9,

wherein said item identified by said first identifier is an item being traded;

wherein said device responsible for handling transaction messages relating to the item identified by said first item identifier is a server; and

wherein said multicast message generation module is configured to;

include in said first multicast transaction message a trader identifier obtained from said first unicast order message, as part of being configured to generate the first multicast transaction message.

11. The exchange system of claim 9, further comprising:

a unicast transaction response message generation module configured to generate a first unicast order response message from the first multicast transaction response message; and

wherein said transmitter is further configured to transmit said first unicast order response message to a trader or broker from which said first unicast order message was received.

12. The exchange system of claim 9, wherein said multicast message generation module is further configured to include, in the said first multicast transaction message, a multicast group identifier corresponding to a multicast group to which said first gateway device corresponds.

13. The exchange system of claim 12, wherein said multicast group identifier is a multicast address corresponding to said multicast group to which said first gateway device corresponds;

and

wherein said multicast message generation module is further configured to include, said multicast address corresponding to said multicast group to which said first gateway device corresponds, as a source address in said first multicast transaction message.

14. The exchange system of claim 9, wherein the first gateway device further includes:

an update module configured to update a multicast message counter value corresponding to the selected multicast address; and

wherein said multicast message generation module is further configured to include the updated multicast message counter value in said first multicast transaction message.

15. The exchange system of claim 14, wherein said first gateway device further comprises:

a null multicast transaction message generation module configured to generate a null multicast transaction message including an updated message count at predetermined time intervals; and

wherein said transmitter is further configured to transmit said null multicast transaction message.

16. The exchange system of claim 9, wherein said device responsible for handling transaction messages relating to the item identified by said first item identifier is a server;

and

wherein said multicast message generation module is configured to;

include in said first multicast transaction message a trader identifier obtained from said first unicast order message, as part of being configured to generate said first multicast transaction message; and

wherein said first multicast transaction response message includes a destination address which is the same as a multicast address included in said first multicast transaction message as a source address.

17. The exchange system of claim 16,

wherein said transmitter is configured to transmit the first multicast transaction message to a switch used to communicate said first multicast transaction message to multiple members of a first multicast group corresponding to the selected multicast address that was used as a destination address in the first multicast transaction message, said first multicast transaction message including at least some information included in said first unicast order message;

and

wherein said first gateway device further includes;

a unicast order response message generation module configured to generate a first unicast order response message from the first multicast transaction response message; and

wherein said transmitter is further configured to transmit said first unicast order response message to a trader or broker from which said first unicast order message was received.

20. The exchange system of claim 9, wherein the first multicast transaction response message includes a second multicast address as a message source address, the second multicast address corresponding to a multicast group including a matching server which performed a matching operation in an attempt to complete an order communicated by said first multicast transaction message, said first multicast transaction message further including a destination address which is also a multicast address.