System and method for processing matched trades

• US 20060106708A1
• Filed: 11/18/2004
• Published: 05/18/2006
• Est. Priority Date: 11/18/2004
• Status: Abandoned Application

• Current Assignee: Chicago Board of Trade of The City of Chicago Incorporated, Board of Trade of the City of Chicago Incorporated (CME Group Incorporated)
• Original Assignee: Board of Trade of the City of Chicago Incorporated (CME Group Incorporated)
• Inventors: Durkin, Bryan T., Bennett, James G., Boyle, Mike B., Eavy, Ryan S., Kaufman, Scott R., Schaller, Denise M., Gillmore, William R., Abushaban, Bassel M.
• Application Number:
  US10/992,061
• Publication Number:
  US 20060106708A1
• 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 system for reporting and processing a matched trade from a market in response to orders submitted by traders includes a management subsystem for developing configuration data regarding products that are to be traded and traders who are authorized to trade. The system further includes a trade processing subsystem for receiving first data representing the matched trade and which processes the first data to create second data representing a processed trade wherein the second data are transmitted to a first recipient and a reporting subsystem for receiving market information and which processes the market information and transmits the processed market information to a second recipient. Methods of reporting and/or processing are also disclosed.

Claims

1. A system for reporting and processing a matched trade from a market in response to orders submitted by traders, comprising:

a management subsystem for developing configuration data regarding products that are to be traded and traders who are authorized to trade;

a trade processing subsystem for receiving first data representing the matched trade and which processes the first data to create second data representing a processed trade wherein the second data are transmitted to a first recipient; and

a reporting subsystem for receiving market information and which processes the market information and transmits the processed market information to a second recipient.

2. The system of claim 1, wherein the trade processing subsystem transmits the second data to one of a plurality of clearinghouses selected based on the first or second data.

3. The system of claim 1, wherein the management subsystem is capable of sending start of day data at a start of a trading day regarding products that may be traded during the day and traders who are authorized to trade during the day.

4. The system of claim 1, wherein the management subsystem is capable of sending intra-day data after a start of a trading day regarding traders who are authorized after the start of the trading day to trade.

5. The system of claim 1, wherein the first recipient comprises a clearinghouse and in which the trade processing subsystem aggregates third data representing a plurality of matched trades into fourth data representing a single processed trade comprising a spread that is reported to the clearinghouse.

6. The system of claim 1, wherein the second recipient comprises a data broadcaster and wherein the reporting subsystem receives further market information from a non-electronic exchange, processes the further market information from the non-electronic exchange, and transmits the processed further market information to the second recipient.

7. The system of claim 1, wherein the reporting subsystem includes an electronic market data reporting module that receives market update data.

8. The system of claim 7, wherein the reporting subsystem further includes a data distribution module that receives electronic market update data from the electronic market data reporting module.

9. The system of claim 7, wherein the data distribution module further receives data representing a market condition from at least one external data source.

10. The system of claim 1, wherein the reporting subsystem further includes a handler application programming interface (API) that receives data representing matched trades, a market data handling system (MDHS) coupled to the handler API, and a data translator that translates the data representing the matched trades into messages that are sent to the second recipient.

11. The system of claim 10, wherein the data translator messages represent market depth.

12. The system of claim 11, further including an additional data translator responsive to the MDHS that develops additional messages representing market quotes.

13. The system of claim 1, wherein the trade processing subsystem includes at least one trade processor that converts data representing matched trades into clearing data.

14. The system of claim 13, wherein the clearing data are transmitted to a clearing bus.

15. The system of claim 14, wherein a plurality of clearinghouses receive clearing data and wherein the trade processing subsystem further includes a plurality of adapters coupled to the clearing bus that transmit the clearing data to the clearinghouses.

16. A computer implemented system for reporting and processing matched trades from a market in response to orders submitted by traders, comprising:

a trade processing subsystem including at least one trade processor that converts data representing matched trades into clearing data wherein the clearing data are transmitted to a clearing bus wherein the clearing data are transmitted to at least one of a plurality of clearinghouses; and

a reporting subsystem for receiving market information and which processes the market information and transmits the processed market information to a broadcaster.

17. The computer implemented system of claim 16, further including a management subsystem for sending start of day data at the start of each trading day regarding products that are to be traded during a trading day and traders who are authorized to trade during the trading day.

18. The computer implemented system of claim 16, in which the trade processing subsystem aggregates data representing a plurality of matched trades into data representing a single processed trade comprising a spread that is reported to the at least one clearinghouse.

19. The computer implemented system of claim 16, wherein the trade processing subsystem further includes a plurality of adapters coupled to the clearing bus that transmit the clearing data to the clearinghouses.

20. The computer implemented system of claim 16, wherein the reporting subsystem includes an electronic market data reporting module that receives market update data.

21. The computer implemented system of claim 20, wherein the reporting subsystem further includes a data distribution module that receives electronic market update data from the electronic market data reporting module.

22. The computer implemented system of claim 21, wherein the data distribution module further receives data representing a market condition from at least one external data source.

23. The computer implemented system of claim 16, wherein the reporting subsystem includes a handler application programming interface (API) that receives data representing matched trades, a market data handling system (MDHS) coupled to the handler API, and a data translator that translates the data representing the matched trades into messages that are sent to the broadcaster.

24. The computer implemented system of claim 23, wherein the data translator messages represent market depth.

25. The computer implemented system of claim 24, further including an additional data translator responsive to the MDHS that develops additional messages representing market quotes.

26. A computer implemented method of reporting and processing matched trades from a market in response to orders submitted by traders, the method comprising the steps of:

converting data representing matched trades into clearing data wherein the clearing data;

enabling transmission of clearing data to each of a plurality of clearinghouses;

transmitting the clearing data to at least one of the clearinghouses;

receiving data representing market information;

processing the market information to obtain market data; and

transmitting the processed market information to a broadcaster.

27. The computer implemented method of claim 26, further including the step of sending start of day data at the start of each trading day regarding products that are to be traded during a trading day and traders who are authorized to trade during the trading day.

28. The computer implemented method of claim 26, including the step of aggregating data representing a plurality of matched trades into data representing a single processed trade comprising a spread that is reported to the at least one clearinghouse.

29. The computer implemented method of claim 26, including the step of providing a clearing bus that receives the clearing data and further providing a plurality of adapters coupled to the clearing bus that transmit the clearing data to the clearinghouses.

30. The computer implemented method of claim 26, including the further step of providing an electronic market data reporting module that receives market update data.

31. The computer implemented method of claim 30, including the further step of providing a data distribution module that receives electronic market update data from the electronic market data reporting module.

32. The computer implemented method of claim 31, including the further step of providing data representing a market condition from at least one external data source to the data distribution module.

33. The computer implemented method of claim 26, including the further step of providing a handler application programming interface (API) that receives data representing matched trades, a market data handling system (MDHS) coupled to the handler API, and a data translator that translates the data representing the matched trades into messages that are sent to the broadcaster.

34. The computer implemented method of claim 33, wherein the data translator messages represent market depth.

35. The computer implemented method of claim 34, further including the step of providing an additional data translator responsive to the MDHS that develops additional messages representing market quotes.

36. A computer implemented method for processing and reporting information created in response to orders submitted to a market, the method comprising the steps of:

receiving trading data in a first format representing matched trades;

processing the trading data to develop clearing data in a second format representing the matched trades;

transmitting the clearing data to at least one of a plurality of clearinghouses;

developing market depth data and transmitting the market depth data to a data distribution module;

developing market update data from at least one of an electronic market and an open outcry market;

transmitting the market update data to the data distribution module; and

responsive to receipt of the market depth data and the market update data, causing the data distribution module to send processed market data to a broadcaster.

37. The computer implemented method of claim 36, including the further step of developing product/trader data representing products that are to be traded and traders who may trade.

38. The computer implemented method of claim 37, including the further step of transmitting the product/trader data prior to start of a trading day.

39. The computer implemented method of claim 38, comprising the further step of transmitting intra-day data identifying traders who have been newly authorized for trading after the start of a trading day.

40. The computer implemented method of claim 36, including the additional step of developing and transmitting clearing data representing a single processed trade by combining data representing a plurality of matched trades, wherein each matched trade is generated in response to orders matched for legs of a spread.

41. A computer implemented method of processing matched trade data, the method comprising the steps of:

receiving matched trade data representing a matched trade;

converting the matched trade data into a clearing message wherein the clearing message includes a clearinghouse code;

enabling communication with each of a plurality of clearinghouses; and

sending the clearing message to at least a selected one of the clearinghouses based upon the clearinghouse code.

42. The method of claim 41, further comprising the step of determining a type of the matched trade data.

43. The method of claim 42, wherein the step of determining comprises the step of ascertaining an overall message type and a strategy type denoted by a portion of the message and invoking one of a plurality of message handlers based on the ascertained types.

44. The method of claim 43, including the further step of processing the matched trade data using the invoked message handler.

45. The method of claim 44, wherein the plurality of message handlers includes a first message handler for processing matched trade data representing a certain type of spread and a second message handler for processing non-spread trades.

46. The method of claim 45, wherein the first message handler undertakes the steps of determining whether an association is found between the matched trade data and another set of matched trade data that was received at a prior time and, if the association is found, creating and storing a clearing message representing the certain type of spread.

47. The method of claim 46, wherein the step of determining whether the association is found comprises the step of querying a cache that stores data including a reverse look-up key.

48. The method of claim 47, wherein the first message handler undertakes the step of storing a reverse look-up key in the cache representing the matched trade data if the association is not found.

49. The method of claim 45, wherein the plurality of message handlers includes a third message handler for processing end of day messages.

50. A system for processing matched trade data, comprising:

means for receiving the matched trade data;

means for converting the matched trade data into a clearing message; and

means for sending the clearing message to one of multiple clearinghouses.

51. The system of claim 50, further comprising means for determining a type of the matched trade data.

52. The system of claim 50, wherein the converting means comprises at least one trade processor.

53. The system of claim 52, wherein the converting means comprises a plurality of trade processors.

54. The system of claim 52, wherein each trade processor includes means for ascertaining an overall type and a strategy type of the matched trade data and means for invoking one of a plurality of message handlers based on the ascertained types.

55. The system of claim 54 wherein the plurality of message handlers includes a first message handler for processing matched trade data representing a certain type of spread and a second message handler for processing non-spread trades.

56. The system of claim 55, wherein the first message handler includes means for determining whether an association is found between the matched trade data and another set of matched trade data that was received at a prior time and means responsive to the association determining means for creating and storing a clearing message representing the certain type of spread when the association is found.

57. The system of claim 56, wherein the association determining means comprises means for querying a cache that stores data including a reverse look-up key.

58. The system of claim 57, wherein the first message handler includes means for storing a reverse look-up key in the cache representing the matched trade data if the association is not found.

59. The system of claim 55, wherein the plurality of message handlers includes a third message handler for processing end of day messages.

60. The system of claim 50, further comprising means for storing the clearing message.