Equation-based transaction request messaging and transaction processing

• US 10,565,651 B2
• Filed: 03/20/2017
• Issued: 02/18/2020
• Est. Priority Date: 03/20/2017
• Status: Active Grant

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Bonig, Zachary
• Primary Examiner(s): Trotter, Scott S
• Assistant Examiner(s): Ecker, Joseph F.
• Application Number:
  US15/463,530
• Publication Number:
  US 20180268481A1
• Time in Patent Office: 1,065 Days
• Field of Search: 705 37
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A data transaction processing system receives and processes equation-based electronic data transaction request messages. Transmitting equation-based electronic data transaction request messages that represent a large series of discrete values reduces the data transmission to the data transaction processing system. Processing equation-based electronic data transaction request messages instead of a series of discrete values reduces the amount of time need to perform transactions, greatly reducing processing latency. Equation-based electronic data transaction request messages can also be efficiently updated by modifying equation parameters, again reducing the amount of data transmitted to the data transaction processing system.

Claims

1. A computer implemented method for processing electronic data transaction request messages in a data transaction processing system in which data objects are transacted by transaction processors that match electronic data transaction request messages for data objects received from different client computers over a data communications network, the method comprising:

receiving, by a transaction processor, a first electronic data transaction request message to perform a transaction of a first type on a data object, the first electronic data transaction request message including data representative of a first equation that includes a first variable and a second variable;

determining, by the transaction processor, a first solution set based on the first equation and first parameters for the second variable, the first solution set including a plurality of combinations of values for the first variable and corresponding first parameters for the second variable, wherein the data representative of the first equation is smaller than data representative of the first solution set;

determining, by the transaction processor, a previously received second electronic data transaction request message to perform a transaction of a second type on the data object, the previously received second electronic data transaction request message including data representative of a second equation that includes the first variable and the second variable, wherein the first transaction type is one of acquiring or relinquishing a quantity of a financial instrument associated with the data object, and wherein the second transaction type is the other of acquiring or relinquishing at least a portion of the quantity of the financial instrument associated with the data object;

determining, by the transaction processor, a second solution set based on the second equation and second parameters for the second variable, the second solution set including a plurality of combinations of values for the first variable and corresponding second parameters for the second variable, wherein the data representative of the second equation is smaller than data representative of the second solution set;

determining, by the transaction processor, whether the first and second solution sets intersect; and

upon determining that the first and second solution sets intersect, processing, by the transaction processor, the transactions of the first and second electronic data transaction request messages based on the intersection of the first and second solution sets.

2. The computer implemented method of claim 1, further comprising storing the data representative of the first equation, the first solution set, the second equation, and the second solution set in a memory coupled with the transaction processor, wherein the data representative of the first equation requires less storage space in the memory than the first solution set, and wherein the data representative of the second equation requires less storage space in the memory than the second solution set.

3. The computer implemented method of claim 1, wherein the first electronic data transaction request message includes data representative of the first parameters for the second variable, and wherein the second electronic data transaction request message includes data representative of the second parameters for the second variable.

4. The computer implemented method of claim 1, wherein the transaction processor determines the first and second parameters for the second variable based on a predetermined range of parameters for the second variable.

5. The computer implemented method of claim 1, wherein the data object represents an underlying financial instrument, and wherein the first variable represents a premium price for a derivative financial instrument derived from the underlying financial instrument.

6. The computer implemented method of claim 5, wherein the data object represents a futures financial instrument, and wherein the first variable represents a premium price for an options financial instrument derived from the futures financial instrument.

7. The computer implemented method of claim 6, wherein the second variable represents one of a strike price or a maturity date associated with an options financial instrument derived from the futures financial instrument.

8. The computer implemented method of claim 7, wherein each of the first and second equations includes a third variable, and wherein the third variable represents the other of a strike price or a maturity date associated with the options financial instrument derived from the futures financial instrument.

9. The computer implemented method of claim 8, wherein each of the first and second electronic data transaction request messages includes data representative of parameters for the third variable.

10. The computer implemented method of claim 1, wherein the first transaction type is acquiring a quantity of a financial instrument associated with the data object and wherein the second transaction type is relinquishing a quantity of a financial instrument associated with the data object, the method further comprising:

upon determining that the first and second solution sets do not intersect, determining, by the transaction processor, whether any one of the values for the first variable corresponding to one of the first parameters for the second variable in the first solution set is greater than the value of the first variable corresponding to the same parameter for the second variable in the second solution set; and

upon determining that one of the values for the first variable corresponding to one of the first parameters for the second variable in the first solution set is greater than the value of the first variable corresponding to the same parameter for the second variable in the second solution set, processing, by the transaction processor, a transaction based on a combination of the determined value for the first variable and its corresponding parameter for the second variable.

11. The computer implemented method of claim 10, wherein the first electronic data transaction request message is associated with a first quantity, wherein each of the parameters for the second variable represents a different financial instrument, and wherein data associated with each different financial instrument is stored in a different order book object, the method further comprising:

upon determining that the first and second solution sets do not intersect, and upon determining that any one of the values for the first variable corresponding to one of the first parameters for the second variable in the first solution set is not greater than the value of the first variable corresponding to the same parameter for the second variable in the second solution set, determining, by the transaction processor, whether any one of the values for the first variable corresponding to one of the first parameters for the second variable in the first solution set is less than the value of the first variable corresponding to the same parameter for the second variable in the second solution set; and

upon determining that one of the values for the first variable corresponding to one of the first parameters for the second variable in the first solution set is less than the value of the first variable corresponding to the same parameter for the second variable in the second solution set, storing the first quantity and one of the combinations of values and parameters in the first solution set in the order book object corresponding to the respective parameter.

12. The computer implemented method of claim 1, further comprising determining that the first and second solution sets intersect by determining that each of the first and second solution sets includes at least one same combination of a value for the first variable and its corresponding parameter for the second variable.

13. The computer implemented method of claim 12, further comprising:

determining that each of the first and second solution sets includes at least two same combinations of a value for the first variable and its corresponding parameter for the second variable;

selecting one of the at least two same combinations of a value for the first variable and its corresponding parameter for the second variable based on pre-defined priority rules; and

processing a transaction based on the selected combination of a value for the first variable and its corresponding parameter for the second variable.

14. A computer implemented method for processing electronic data transaction request messages in a data transaction processing system in which data objects are transacted by transaction processors that match electronic data transaction request messages for data objects received from different client computers over a data communications network, the method comprising:

receiving, by a linking processor, an equation-based electronic data transaction request message to perform a transaction of a first transaction type on a data object, the equation-based electronic data transaction request message including data representative of a quantity and an equation including multiple variables;

generating, by the linking processor, a plurality of discrete-value-based electronic data transaction request messages based on the equation-based electronic data transaction request message, each of the plurality of discrete-value-based electronic data transaction request messages associated with the first quantity and a different parameter for one of the multiple variables;

forwarding, by the linking processor, each of the plurality of discrete-value-based electronic data transaction request messages to a corresponding transaction processor based on the respective parameter for one of the multiple variables;

for each discrete-value-based electronic data transaction request message forwarded by the linking processor to a transaction processor, determining, by the transaction processor, whether attempting to match the forwarded discrete-value-based electronic data transaction request message with at least one previously received but unsatisfied discrete-value-based electronic data transaction request message for a transaction of a second transaction type which is counter thereto results in at least partial satisfaction of one or both of the forwarded discrete-value-based electronic data transaction request message and the at least one previously received but unsatisfied discrete-value-based electronic data transaction request message, wherein the first transaction type is one of acquiring or relinquishing the quantity of a financial instrument associated with the data object, and wherein the second transaction type is the other of acquiring or relinquishing at least a portion of the quantity of the financial instrument associated with the data object; and

upon at least partial satisfaction of one or both of the forwarded discrete-value-based electronic data transaction request message and the at least one previously received but unsatisfied discrete-value-based electronic data transaction request message, indicating completion of a transaction there between by modifying, by the linking processor, the quantity associated with all of the other discrete-value-based electronic data transaction request messages other than the forwarded discrete-value-based electronic data transaction request message from the plurality of electronic data transaction request messages.

15. The computer implemented method of claim 14, wherein each transaction processor is associated with a separate order book object, the method further comprising, upon only partial satisfaction of the forwarded discrete-value-based electronic data transaction request message, storing the forwarded discrete-value-based electronic data transaction request message in the separate order book object associated with the transaction processor associated with the forwarded discrete-value-based electronic data transaction request message.

16. A computer implemented method for processing electronic data transaction request messages in a data transaction processing system in which data objects are transacted by transaction processors that match electronic data transaction request messages for data objects received from different client computers over a data communications network, the method comprising:

receiving, by a transaction processor, an electronic data transaction request message comprising a transaction request to one of acquire or relinquish a quantity of a financial instrument associated with a data object including data representative of an equation that includes at least one variable;

determining, by the transaction processor, a first solution set based on the equation in the electronic data transaction request message, the first solution set comprising a plurality of values, wherein the data representative of the equation is smaller than data representative of the solution set;

determining, by the transaction processor, a set of previously received but unsatisfied electronic data transaction request messages comprising a transaction request for the other one of acquire or relinquish at least a portion of the quantity of the financial instrument associated with the data object which are counter to the received electronic data transaction request message, each of the previously received but unsatisfied electronic data transaction request messages including data representative of an equation that includes the at least one variable;

determining, by the transaction processor, a second solution set based on the equation in at least one of the previously received but unsatisfied electronic data transaction request messages, the second solution set comprising a plurality of values;

determining, by the transaction processor, whether the first solution set based on the equation in the electronic data transaction request message intersects with the second solution set based on the equation in at least one of the previously received but unsatisfied electronic data transaction request messages; and

upon determining that the first solution set based on the equation in the electronic data transaction request message intersects with the second solution set based on the equation in at least one of the previously received but unsatisfied electronic data transaction request messages, processing, by the transaction processor, the transactions of the first and second electronic data transaction request messages based on the intersection.

17. A computer system for processing electronic data transaction request messages in a data transaction processing system in which data objects are transacted by transaction processors that match electronic data transaction request messages to perform a transaction on data objects received from different client computers over a data communications network, the system comprising:

a plurality of order book objects, each order book object associated with a data object and storing data associated with electronic data transaction request messages including requests to perform a transaction on the data object; and

a linking processor that;

converts an equation-based electronic data transaction request message to perform a transaction of a first type and associated with a quantity to a plurality of discrete-value-based electronic data transaction request messages, each discrete-value-based electronic data transaction request message associated with the quantity and with one of the order book objects; and

upon detecting that one of the quantities associated with one of the order book objects has been modified based on a transaction completed between a plurality of discrete-value-based electronic data transaction request messages and at least one previously received but unsatisfied discrete-value-based electronic data transaction request message for a transaction of a second transaction type which is counter thereto which results in at least partial satisfaction of one or both of the discrete-value-based electronic data transaction request messages and the at least one previously received but unsatisfied discrete-value-based electronic data transaction request message, wherein the first transaction type is one of acquiring or relinquishing the quantity of a financial instrument associated with the data object, and wherein the second transaction type is the other of acquiring or relinquishing at least a portion of the quantity of the financial instrument associated with the data object, modifies all of the other order book objects based on the modification.

18. The computer system of claim 17, further comprising a plurality of transaction processors, each transaction processor configured to:

receive one of the plurality of discrete-value-based electronic data transaction request messages;

determine whether attempting to match the received discrete-value-based electronic data transaction request message with at least one previously received but unsatisfied discrete-value-based electronic data transaction request message for a transaction which is counter thereto results in at least partial satisfaction of one or both of the received discrete-value-based electronic data transaction request message and the at least one previously received but unsatisfied discrete-value-based electronic data transaction request message; and

upon at least partial satisfaction of one or both of the received discrete-value-based electronic data transaction request message and the at least one previously received but unsatisfied discrete-value-based electronic data transaction request message, modify the order book object associated with the discrete-value-based electronic data transaction request message.

19. A computer system for processing electronic data transaction request messages in a data transaction processing system in which data objects are transacted by transaction processors that match electronic data transaction request messages for data objects received from different client computers over a data communications network, the system comprising a transaction processor and a memory coupled therewith, the transaction processor configured to:

receive a first electronic data transaction request message to perform a transaction of a first type on a data object, the first electronic data transaction request message including data representative of a first equation that includes a first variable and a second variable;

determine a first solution set based on the first equation and first parameters for the second variable, the first solution set including a plurality of combinations of values for the first variable and corresponding first parameters for the second variable, wherein the data representative of the first equation is smaller than data representative of the first solution set;

determine a previously received second electronic data transaction request message to perform a transaction of a second type on the data object, the previously received second electronic data transaction request message including data representative of a second equation that includes the first variable and the second variable, wherein the first transaction type is one of acquiring or relinquishing a quantity of a financial instrument associated with the data object, and wherein the second transaction type is the other of acquiring or relinquishing at least a portion of the quantity of the financial instrument associated with the data object;

determine a second solution set based on the second equation and second parameters for the second variable, the second solution set including a plurality of combinations of values for the first variable and corresponding second parameters for the second variable, wherein the data representative of the second equation is smaller than data representative of the second solution set;

determine whether the first and second solution sets intersect; and

upon determining that the first and second solution sets intersect, process the transactions of the first and second electronic data transaction request messages based on the intersection of the first and second solution sets.

20. A computer system comprising:

means for receiving a first electronic data transaction request message to perform a transaction of a first type on a data object, the first electronic data transaction request message including data representative of a first equation that includes a first variable and a second variable;

means for determining a first solution set based on the first equation and first parameters for the second variable, the first solution set including a plurality of combinations of values for the first variable and corresponding first parameters for the second variable, wherein the data representative of the first equation is smaller than data representative of the first solution set;

means for determining a previously received second electronic data transaction request message to perform a transaction of a second type on the data object, the previously received second electronic data transaction request message including data representative of a second equation that includes the first variable and the second variable, wherein the first transaction type is one of acquiring or relinquishing a quantity of a financial instrument associated with the data object, and wherein the second transaction type is the other of acquiring or relinquishing at least a portion of the quantity of the financial instrument associated with the data object;

means for determining a second solution set based on the second equation and second parameters for the second variable, the second solution set including a plurality of combinations of values for the first variable and corresponding second parameters for the second variable, wherein the data representative of the second equation is smaller than data representative of the second solution set;

means for determining whether the first and second solution sets intersect; and

upon determining that the first and second solution sets intersect, means for processing the transactions of the first and second electronic data transaction request messages based on the intersection of the first and second solution sets.