Method and system for multi-path routing of electronic orders for securities

• US 20020103732A1
• Filed: 12/04/2000
• Published: 08/01/2002
• Est. Priority Date: 12/04/2000
• Status: Active Grant

• Current Assignee: Morgan Stanley Services Group Inc. (Morgan Stanley)
• Original Assignee: Tradescape Technologies LLC
• Inventors: Bundy, Michael, Goldfeld, Vladimir, Amanat, Irfan
• Granted Patent: US 7,242,669 B2
• Time in Patent Office: Days
• US Class Current: 705/35
• 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

Abstract

Methods and systems for selecting, in a broker-dealer system for automated trading of securities, a path for sending an order for securities to a terminus market, in which the broker-dealer system includes at least one port, the port being coupled through at least one path to at least one terminus market, wherein each path includes at least one direct link between a port and a market system and optionally one or more additional links between the said market system and other market systems, each path having a first terminus at a port and a second terminus at a terminus market, terminus markets being markets to which orders for securities are sent by the broker-dealer system, the method comprising the steps of: providing one or more path data structures representing one or more paths connecting the broker dealer system to one or more terminus markets, each path data structure comprised of data elements further comprising a port code, a terminus market code identifying the terminus market for the path, and one or more path selection data elements, receiving an order comprising an order market code, and selecting, from the paths whose path data structures have terminus market codes with values equal to the value of the order market code, a path for the order dependent upon the values of the path selection data elements; wherein one or more of the data elements comprising the path data structure uniquely identifies the path data structure, and wherein at least one of the terminus markets is a terminus market in more than one path.

Claims

1. A method of selecting from among multiple paths, in a broker-dealer system for automated trading of securities, a path for sending an order for securities to a terminus market, the broker-dealer system including at least one router, the router being coupled for data communications to at least one port, the broker-dealer system including also at least one port, the port being coupled for data communications through at least one path to at least one terminus market, the port optionally including at least one port configuration file, the multiple paths each including at least one direct link between a port and a first-tier market and optionally one or more additional links between the first-tier market and other markets, each of the multiple paths having a first terminus at a port and a second terminus at a terminus market, terminus markets being markets to which orders for securities are sent to be executed, the method comprising the steps of:

providing a path data structure representing a path connecting the broker dealer system to one or more terminus markets, each path data structure further comprising;

one or more path identification data elements, and

one or more path selection data elements;

receiving an order comprising an order market code, and

selecting, from the paths whose path data structures have terminus market codes with values equal to the value of the order market code, a path for the order dependent upon the values of the path selection data elements;

wherein one or more of the data elements comprising the path data structure uniquely identifies the path data structure and at least one of the terminus markets is a terminus market in more than one path.

2. The method of claim 1 wherein the path identification data elements comprise a path identification code, wherein the path identification code uniquely identifies a path.

3. The method of claim 1 wherein the path identification data elements comprise a port code and a terminus market code, and the port code and the terminus market code together uniquely identify a path.

4. The method of claim 1 wherein providing a path data structure further comprises the steps of:

detecting changes in a status of a changed path; and

recording in the path data structure data representing detected changes in the status of the changed path.

5. The method of claim 4 wherein recording data representing detected changes in the status of the changed path further comprises encoding path status into one or more of the path selection data elements as a predetermined value.

6. The method of claim 1 wherein the path selection data elements further comprise at least one path status data element, and the step of providing at least one path data structure further comprises the steps of:

detecting changes in a status of a changed path; and

recording in the path status data element data representing detected changes in the status of the changed path.

7. The method of claim 6 wherein detecting changes in the status of the path further comprises the steps of:

making calls to API routines, the API routines providing return values, and

detecting return values that indicate whether a path is available for use in sending orders to a terminus market.

8. The method of claim 1 wherein receiving an order comprising an order market code further comprises receiving an order data structure comprising:

the order market code,

a symbol,

a side,

a quantity,

a time-in-force, and

a price.

9. The method of claim 7 wherein the path identification data elements comprise a connection code, a port code, and a terminus market code, and the connection code, the port code, and the terminus market code together uniquely identify the path represented by the path data structure.

10. The method of claim 9 wherein the connection code further comprises a socket identification code.

11. The method of claim 1 wherein providing one or more path data structures further comprises the steps of:

reading from a port configuration file path data structures representing paths for which the port is a terminus, and

communicating the read path data structures to a first router.

12. The method of claim 11 further comprising communicating from the first router to a second router the read path data structures.

13. The method of claim 12 wherein the first router and second router are included in the same broker-dealer system.

14. The method of claim 13 wherein the second router is located remotely from the first router.

15. The method of claim 12 wherein the first router is included in a first broker-dealer system and the second router is included a second broker-dealer system.

16. The method of claim 15 wherein the second router is located remotely from the first router.

17. The method of claim 12, wherein the path identification data elements comprise a port code, the method further comprising storing in the port code of the read path data structures communicated from the first router to the second router a code identifying the first router as the terminus port for the paths represented by the read path data structures.

18. The method of claim 12, wherein the path selection data elements comprise a hop count, the method further comprising incrementing the hop count in the read path data structures communicated from the first router to the second router.

19. The method of claim 1 wherein providing one or more path data structures further comprises updating path status data stored in the path data structures.

20. The method of claim 19 wherein updating the path status data stored in the path data structures further comprises receiving in a router status update messages from ports.

21. The method of claim 1 further comprising identifying a port.

22. The method of claim 21 wherein identifying a port further comprises encoding a port identification in a path data structure in a configuration file for a port and reading the port identification from the configuration file.

23. The method of claim 22 wherein encoding a port identification in a path data structure in a configuration file for a port further comprises encoding the port identification in a port code.

24. The method of claim 22 wherein encoding a port identification in a path data structure in a configuration file for a port further comprises the steps of:

storing the port identification in a terminus market code in a path data structure having a terminus market code and a hop count, and

26. The method of claim 24 comprising the further steps of:

reading from the port configuration file into computer memory a first path data structure, the first path data structure having a hop count of zero, the first path data structure having a terminus market code containing a port code value,

reading a second path data structure from the port configuration file,

optionally adding a port code to the second path data structure if it does not already have a port code, and

assigning to the port code in the second path data structure the port code value from the terminus market code in the first path data structure.

27. The method of claim 1 wherein the path selection data elements in the path data structure comprise a hop count.

28. The method of claim 26 wherein selecting a path for the order further comprises the steps of:

comparing the hop counts of path data structures having terminus market codes equal to the order market code, and

selecting a path having a lowest hop count among paths represented by path data structures having terminus market codes equal to the order market code.

29. The method of claim 1 wherein providing a path data structure comprising one or more path selection data elements further comprises providing path latency, which comprises the further steps of:

recording in a path time data structure data sufficient to identify a path used to send an order to a terminus market and a send time when the order is sent to a terminus market;

recording in the path time data structure a receive time when a response is received corresponding to the order; and

subtracting the send time from the receive time to yield a path latency; and

storing the path latency in a path data structure.

30. The method of claim 1 wherein providing a path data structure comprising one or more path selection data elements further comprises providing path latency, which comprises the further steps of:

providing a sum having a value of zero;

recording in a path time data structure data sufficient to identify a path used to send an order to a terminus market and a send time when the order is sent to a terminus market;

recording in the path time data structure a receive time when a response is received corresponding to the order; and

subtracting the send time from the receive time to yield a difference amount;

adding the difference amount to the sum, whereby the sum in increased by the difference amount;

repeating the previous four steps N times, wherein N is a predetermined number;

dividing the sum by N to yield a path latency; and

storing the path latency in a path data structure.

31. The method of claim 29 wherein the data sufficient to identify the path used to send the order to the terminus market further comprises a port code and a terminus market code

32. The method of claim 29 wherein the data sufficient to identify the path used to send the order to the terminus market further comprises a connection code, a port code and a terminus market code.

33. The method of claim 1 wherein one or more of the path selection data elements comprises path latency.

34. The method of claim 32 wherein selecting a path for the order further comprises the steps of:

comparing path latencies among path data structures having terminus market codes equal to the order market code, and

selecting a path having a lowest path latency among paths represented by path data structures having terminus market codes equal to the order market code.

35. The method of claim 1 wherein one or more of the path selection data elements comprises a transaction cost for the path destination market.

36. The method of claim 34 wherein selecting a path for the order further comprises the steps of:

comparing transaction costs among path data structures having terminus market codes equal to the order market code, and

selecting a path having a lowest transaction cost for the terminus market among paths represented by path data structures having terminus market codes equal to the order market code.

37. The method of claim 1 wherein the path selection data elements comprise a combination code whose value is dependent upon the values of other path selection data elements.

38. The method of claim 1 wherein the path selection data elements comprise a combination code further comprising a product of hop count multiplied by path latency further multiplied by transaction cost for the terminus market, and selecting a path for the order further comprises the steps of:

comparing the combination codes of path data structures having terminus market codes equal to the order market code, and

selecting a path having a lowest product of hop count multiplied by transaction cost further multiplied by path latency among paths represented by path data structures having terminus market codes equal to the order market code.

39. The method of claim 1 wherein the path selection data elements comprise a combination code further comprising a sum of hop count plus path latency plus transaction cost for the path destination market, and selecting a path for the order further comprises the steps of:

comparing the combination codes of path data structures having terminus market codes equal to the order market code, and

selecting a path having a lowest sum of hop count plus transaction cost plus path latency among paths represented by path data structures having terminus market codes equal to the order market code.

40. The method of claim 1 wherein the path selection data elements comprise an override and selecting a path for the order further comprises the steps of:

detecting the presence of an override in the path selection data elements among path data structures having terminus market codes equal to the order market code, and

selecting a path having an override among paths represented by path data structures having terminus market codes equal to the order market code.

41. The method of claim 39 wherein the override comprises a predetermined value stored in an override data element specifically designated for use only as an override code.

42. The method of claim 39 wherein the override comprises a predetermined value stored in a data element for hop count.

43. The method of claim 39 wherein the override comprises a predetermined value stored in a data element for path latency.

44. The method of claim 39 wherein the override comprises a predetermined value stored in a data element for transaction cost.

45. The method of claim 39 wherein the override comprises a predetermined value stored in a data element for a combination code.

47. The system of claim 45 wherein the path identification data elements comprise a path identification code, wherein the path identification code uniquely identifies one of the one or more paths connecting the broker dealer system to one or more terminus markets.

48. The system of claim 45 wherein the path identification data elements comprise a port code and a terminus market code, wherein the port code and the terminus market code together uniquely identify a path connecting a port to a terminus market.

49. The system of claim 45 wherein the processor programmed to provide a path data structure further comprises the processor programmed to:

detect changes in a status of a changed path; and

record in the path data structure data representing detected changes in the status of the changed path.

50. The system of claim 48 wherein the processor programmed to record data representing detected changes in the status of the changed path further comprises the processor programmed to encode path status into one or more of the path selection data elements as a predetermined value.

51. The system of claim 45 wherein the path selection data elements further comprise at least one path status data element and wherein the processor programmed to provide a path data structure further comprises the processor programmed to:

detect changes in a status of a changed path; and

record in the path status data element data representing detected changes in the status of the changed path.

52. The system of claim 50 wherein the processor programmed to detect changes in the status of a changed path further comprises the processor programmed to:

make calls to API routines, the API routines providing return values, and

detect return values that indicate whether the changed path is available for use in sending orders for securities to a terminus market.

53. The system of claim 45 wherein the processor programmed to receive an order comprising an order market code further comprises the processor programmed to receive an electronic order message having an order data structure comprising:

the order market code,

a symbol,

a side,

a quantity,

a time-in-force, and

a price.

54. The method of claim 45 wherein the path identification data elements comprise a connection code, a port code, and a terminus market code, and the connection code, the port code, and the terminus market code together uniquely identify the path represented by the path data structure.

55. The system of claim 53 wherein the connection code further comprises a socket identification code.

56. The system of claim 45 wherein the processor programmed to provide a path data structure further comprises the processor programmed to:

read from a port configuration file path data structures representing paths for which the port is a terminus, and

communicate the read path data structures to a first router.

57. The system of claim 45 further comprising a first router, a second router coupled for data communications to the first router, and a processor programmed to communicate from the first router to the second router the read path data structures.

58. The system of claim 56 wherein the first router and the second router are included in the same broker-dealer system.

59. The system of claim 57 wherein the second router is located remotely from the first router.

60. The system of claim 56 wherein the first router is included in a first broker-dealer system and the second router is included a second broker-dealer system.

61. The system of claim 59 wherein the second router is located remotely from the first router.

62. The system of claim 56, wherein the path identification data elements comprise a port code, the system further comprising the processor programmed to store in the port code of the read path data structures communicated from the first router to the second router a code identifying the first router as the terminus port for the paths represented by the read path data structures.

63. The system of claim 56, wherein the path selection data elements comprise a hop count, the system further comprising the processor programmed to increment the hop count in the read path data structures communicated from the first router to the second router.

64. The system of claim 45 wherein the processor programmed to provide one or more path data structures further comprises the processor programmed to update path status data stored in the path data structures.

65. The system of claim 63 wherein the processor programmed to update the path status data stored in the path data structures further comprises the processor programmed to receive in a router status update messages from ports.

66. The system of claim 45 further comprising a processor programmed to identify a port.

67. The system of claim 65 wherein the processor programmed to identify a port further comprises the processor programmed to encode a port identification in a path data structure in a configuration file for a port and read the port identification from the configuration file.

68. The system of claim 66 wherein the processor programmed to encode a port identification in a path data structure in a configuration file for a port further comprises the processor programmed to store the port identification in a port code.

69. The system of claim 66 wherein the processor programmed to encode a port identification in a path data structure in a configuration file for a port further comprises the processor programmed to:

store the port identification in a terminus market code in a path data structure having a terminus market code and a hop count, and

set the hop count to zero.

70. The system of claim 68 further comprising the processor programmed to:

read from the port configuration file into computer memory a first path data structure, the first path data structure having a hop count of zero, the first path data structure having a terminus market code containing a port code value,

read a second path data structure from the port configuration file,

optionally add a port code to the second path data structure if it does not already have a port code, and

assign to the port code in the second path data structure the port code value from the terminus market code in the first path data structure.

71. The system of claim 45 wherein one of the path selection data elements in the path data structure comprises a hop count.

72. The system of claim 70 wherein the processor programmed to select a path for the order further comprises the processor programmed to:

compare hop counts in path data structures having terminus market codes equal to the order market code, and

select a path having a lowest hop count among paths represented by path data structures having terminus market codes equal to the order market code.

73. The system of claim 45 wherein the processor programmed to provide a path data structure comprising one or more path selection data elements further comprises the processor programmed to provide path latency, which comprises the processor further programmed to:

record in a path time data structure data sufficient to identify a path used to send an order to a terminus market and a send time when the order is sent to a terminus market;

record in the path time data structure a receive time when a response is received corresponding to the order; and

subtract the send time from the receive time to yield a path latency; and

store the path latency in a path data structure.

74. The system of claim 45 wherein the processor programmed to provide a path data structure comprising one or more path selection data elements further comprises the processor programmed to provide path latency, which further comprises the processor programmed to:

provide a sum having a value of zero;

record in a path time data structure data sufficient to identify a path used to send an order to a terminus market and a send time when the order is sent to a terminus market;

record in the path time data structure a receive time when a response is received corresponding to the order; and

subtract the send time from the receive time to yield a difference amount;

add the difference amount to the sum, whereby the sum in increased by the difference amount;

repeat the previous four steps N times, wherein N is a predetermined number;

divide the sum by N to yield a path latency; and

store the path latency in a path data structure.

75. The system of claim 68 wherein the data sufficient to identify the path used to send the order to the terminus market further comprises a port code and a terminus market code.

76. The system of claim 73 wherein the data sufficient to identify the path used to send the order to the terminus market further comprises a connection code, a port code and a terminus market code.

77. The system of claim 45 wherein one or more of the path selection data elements comprises path latency.

78. The system of claim 76 wherein at least one of the path selection data elements comprises path latency and the processor programmed to select a path for the order further comprises the processor programmed to:

compare path latencies in path data structures having terminus market codes equal to the order market code, and

select a path having a lowest path latency among paths represented by path data structures having terminus market codes equal to the order market code.

79. The system of claim 45 wherein one of the path selection data elements in the path data structure comprises a transaction cost for the terminus market identified in the path data structure.

80. The system of claim 78 wherein the processor programmed to select a path for the order further comprises the processor programmed to:

compare transaction costs in path data structures having terminus market codes equal to the order market code, and

select a path having a lowest transaction cost for its terminus market among paths represented by path data structures having terminus market codes equal to the order market code.

81. The system of claim 45 wherein the path selection data elements comprise a combination code further comprising a combination of hop count, path latency, and transaction cost for the path destination market.

82. The system of claim 45, wherein the path selection data elements comprise a combination code further comprising a product of hop count multiplied by path latency further multiplied by transaction cost for the path destination market, and wherein the processor programmed to select a path for the order further comprises the processor programmed to:

compare the values of combination codes in path data structures having terminus market codes equal to the order market code, and

select a path having a lowest product of hop count multiplied by path latency further multiplied by transaction cost among paths represented by path data structures having terminus market codes equal to the order market code.

83. The system of claim 45, wherein the path selection data elements comprise a combination code further comprising the sum of hop count plus path latency plus transaction cost for the path destination market, and wherein the processor programmed to select a path for the order further comprises the processor programmed to:

compare the values of combination codes in path data structures having terminus market codes equal to the order market code, and

select a path whose path selection data elements indicate a lowest sum of hop count plus path latency cost plus transaction cost among paths represented by path data structures having terminus market codes equal to the order market code.

84. The system of claim 45 wherein the path selection data elements comprise an override and the processor programmed to select a path for the order further comprises the processor programmed to:

detect the presence of an override in the path selection data elements among path data structures having terminus market codes equal to the order market code, and

select a path having an override among paths represented by path data structures having terminus market codes equal to the order market code.

85. The system of claim 83 wherein the override comprises a predetermined value stored in an override data element specifically designated for use only as an override code.

86. The system of claim 83 wherein the override comprises a predetermined value stored in a data element for hop count.

87. The system of claim 83 wherein the override comprises a predetermined value stored in a data element for path latency.

88. The system of claim 83 wherein the override comprises a predetermined value stored in a data element for transaction cost.

89. The system of claim 83 wherein the override comprises a predetermined value stored in a data element for a combination code.

91. The method of claim 89 wherein each path data structure further comprises:

one or more path identification data elements, and

one or more path selection data elements.

92. The method of claim 89 wherein the step of selecting a path for the order is dependent upon the values of the path selection data elements.

93. The method of claim 89 wherein each path data structure comprises one or more data elements and one or more of the data elements comprising a particular path data structure uniquely identifies the particular path data structure.

95. The system of claim 93 wherein the path data structure further comprises:

one or more path identification data elements, and

one or more path selection data elements.

96. The system of claim 93 wherein the processor programmed to select a path for the order further comprises the processor programmed to select a path for the order dependent upon the values of the path selection data elements.

97. The system of claim 93 wherein each path data structure comprises one or more data elements and one or more of the data elements uniquely identifies a path data structure.

25. setting the hop count to zero.

46. A system for selecting from among multiple paths a path for sending an order to a terminus market for execution of the order, wherein the multiple paths each include at least one direct link between a port and a first-tier market system and optionally one or more additional links between the first-tier market system and other market systems, each of the multiple paths having a first terminus at a port and a second terminus at a terminus market, the system comprising:

a router, the router coupled for data communications to a port, the router further comprising a processor;

the port, coupled for data communications through a path to a terminus market, the port being a terminus of the path, the port optionally further comprising a configuration file;

the terminus market, coupled through the path to the port;

the processor programmed to;

provide a path data structure representing the path connecting the port to the terminus market, the path data structure comprising;

one or more path identification data elements, and

one or more path selection data elements,

receive an order comprising an order market code, and

select, from among paths whose path data structures have terminus market codes with values equal to the value of the order market code, a path for the order dependent upon the values of the path selection data elements;

a computer memory coupled to the processor, the processor being further programmed to store in the computer memory the path data structure;

wherein one or more of the path identification data elements uniquely identifies the path represented by the path data structure and the terminus market is a terminus of more than one path.

90. A method of selecting from among multiple paths, in a broker-dealer system for automated trading of securities, a path for sending an order for securities to a terminus market, each of the multiple paths having a first terminus at a port and a second terminus at a terminus market, terminus markets being markets to which orders for securities are sent to be executed, the method comprising the steps of:

providing path data structures each of which represents one of the multiple paths connecting the broker dealer system to one or more terminus markets, wherein the path data structures each comprises a terminus market code;

receiving an order comprising an order market code, wherein one or more of the paths are represented by path data structures comprising terminus market codes having values equal to the value of the order market code, and

selecting, from the paths whose path data structures have terminus market codes with values equal to the value of the order market code, a path for the order;

wherein at least one terminus market is a terminus market in more than one path.

94. A system for selecting from among multiple paths a path for sending an order to a terminus market for execution of the order, wherein the multiple paths each include at least one direct link between a port and a first-tier market system and optionally one or more additional links between the first-tier market system and other market systems, each of the multiple paths having a first terminus at a port and a second terminus at a terminus market, the system comprising:

a processor programmed to;

provide path data structures each of which represents one of the multiple paths connecting the broker dealer system through the port to one or more terminus markets, wherein the path data structures each comprise a terminus market code,

receive an order comprising an order market code, wherein one or more of the paths are represented by data structures comprising terminus market codes having values equal to the value of the order market code, and

select, from among paths whose representative path data structures have terminus market codes with values equal to the value of the order market code, a path for the order;

a computer memory coupled to the processor, the processor being further programmed to store in the computer memory the path data structures;

wherein at least one terminus market is a terminus of more than one path.