Security transaction matching

• US 20030225672A1
• Filed: 07/25/2002
• Published: 12/04/2003
• Est. Priority Date: 06/05/2002
• Status: Active Grant

• Current Assignee: Nasdaq, Inc.
• Original Assignee: Nasdaq, Inc.
• Inventors: Friedman, Bruce E., Hughes, John T. Jr.
• Granted Patent: US 9,311,673 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

A securities processor includes non-volatile storage, a first-in-first-out queue maintained in the non-volatile storage to store events, a random access memory, and an order book maintained in the random access memory to store one or more events corresponding to quotes or outstanding orders related to a security. A matching process receives the events from the queue, determines whether the event can be matched with a contra-side event stored in the order book, and executes a transaction between the received event and a matched contra side event if a match is found.

Claims

1. An apparatus comprising:

non-volatile storage;

a first-in-first-out queue maintained in the non-volatile storage for storing a set of events that signals a matching process that matches orders or quotes to complete a transaction involving a security.

2. The apparatus of claim 1 in which the set of events includes an order to buy a security, an order to sell a security, an instruction to cancel a previous order, and an instruction to modify a previous order.

3. The apparatus of claim 1 in which the set of events includes a quote to sell a security, a quote to buy a security, and an instruction to modify a previous quote.

4. The apparatus of claim 1 in which the set of events further includes a supervisory command that affects orders or quotes related to one or more securities.

5. The apparatus of claim 1 in which the security is listed on a public stock market.

6. The apparatus of claim 1, further including a random access memory for storing an order book having one or more quotes or outstanding orders related to the security.

7. The apparatus of claim 6, further including an order entry module that receives orders from buyers and sellers of the security, examines the validity of the orders, and sends valid orders to the queue, wherein the set of the events includes the valid orders.

8. The apparatus of claim 7, further including a quote entry module that receives quotes from buyers and sellers of the security, examines the validity of the quotes, and sends valid quotes to the queue, wherein the set of the events includes the valid quotes.

9. The apparatus of claim 1 in which the queue receives a subset of the set of events from an order entry module that examines the validity of an order prior to sending the order to the queue.

10. The apparatus of claim 1 in which the queue receives a subset of the set of events from a quote entry module that examines the validity of a quote prior to sending the quote to the queue.

11. The apparatus of claim 1 in which the queue receives a subset of the events from a supervisory module that sends supervisory commands that affect orders or quotes related to one or more securities.

12. A securities processor comprising:

non-volatile storage;

a first-in-first-out queue maintained in the non-volatile storage to store events;

random access memory;

an order book maintained in the random access memory to store one or more events corresponding to quotes or outstanding orders related to a security; and

a matching process to receive the events from the queue, to determine whether the event can be matched with a contra-side event stored in the order book, and to execute a transaction between the received event and a matched contra side event if a match is found.

13. The securities processor of claim 12 in which the set of events includes an order to buy a security, an order to sell a security, an instruction to cancel a previous order, and an instruction to modify a previous order.

14. The securities processor of claim 12 in which the set of events includes a quote to sell a security, a quote to buy a security, and an instruction to modify a previous quote.

15. The securities processor of claim 12 which the set of events includes a supervisory command that affects orders or quotes related to one or more securities.

16. A method comprising:

providing a queue in a non-volatile storage;

storing events in the queue, the events including transactions related to buying or selling a security;

providing an order book that stores orders and/or quotes to buy and/or sell the security;

retrieving an event that is stored in the queue; and

determining whether the event can be matched with a contra-side event related to the security to execute a transaction between the received event and a matched contra side event for the security if a match is found.

17. The method of claim 16 further in which determining whether the event can be matched with a contra-side event comprises if the event relates to selling a security, determining whether the event can be matched with a pending event related to buying the security.

18. The method of claim 16 in which the transactions include an order to buy a security, an order to sell a security, and an order to modify an earlier order.

19. The method of claim 18 in which the transactions include a quote to sell a security, a quote to buy a security, and a quote to update an earlier quote.

20. The method of claim 16 in which the order book is stored in a random access memory.

21. The method of claim 16 in which the security is listed on a public stock market.

22. The method of claim 16, further comprising receiving an order to buy or sell a security or to modify a previous order, verifying the validity of the order, and storing the order as an event in the queue.

23. The method of claim 22, further comprising receiving a quote to buy or sell a security or to modify a previous quote, verifying the validity of the quote, and storing the quote as an event in the queue.

24. The method of claim 16 in which the events include an event that indicates opening of a market for the transaction of the security, and an event that indicates closing of the market.

25. The method of claim 16 in which the events further include supervisory commands that affect orders or quotes related to one or more securities.

26. The method of claim 25 in which the supervisory commands include a command to halt transactions related to one or more securities.