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Dataset intersection determination

  • US 10,572,940 B2
  • Filed: 02/26/2018
  • Issued: 02/25/2020
  • Est. Priority Date: 09/18/2013
  • Status: Active Grant
First Claim
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1. A computer implemented method for a financial electronic market to determine if a received order to buy or sell a financial instrument matches with one or more of a plurality of previously received but unsatisfied orders counter thereto, data indicative of which is stored in an order book database in a first arrangement, the order book database being stored in a first memory, each of the received order and the plurality of previously received but unsatisfied orders being characterized by an attribute, the method comprising:

  • receiving, by a processor coupled with the first memory and a second memory also coupled with the first memory, an order to buy or sell a financial instrument characterized by an attribute;

    rearranging, by the processor, the data indicative of the plurality of previously received but unsatisfied orders stored in the order book database into a second arrangement different from the first arrangement, the second arrangement comprising a plurality of disjoint subsets of the previously received but unsatisfied orders, such that the amount of data of each of the plurality of disjoint subsets does not exceed a minimum amount of data which must be transferred between the first and second memories in a single transfer operation, wherein each of the plurality of disjoint subsets is characterized by a subset attribute determined therefore based on the attributes of the plurality of previously received but unsatisfied orders included therein;

    identifying, by the processor, based on the attribute of the received order and the subset attributes of each of the plurality of subsets, a particular subset of the plurality of subsets which would include one or more previously received but unsatisfied orders counter to the received order if such previously received but unsatisfied orders counter to the received order were within the plurality of previously received but unsatisfied orders stored in the order book database;

    causing, by the processor, a transfer of the particular subset from the first memory to the second memory; and

    evaluating, by the processor subsequent to the transfer, the particular subset transferred to the second memory to determine whether one or more previously received but unsatisfied orders counter to the received order are included therein, one or more previously received but unsatisfied orders counter to the received order being determined to not exist in the order book database when the one or more previously received but unsatisfied orders counter to the received order are determined to not be included in the particular subset.

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