System and method of utilizing a distributed order book in an electronic trade match engine

• US 20060206407A1
• Filed: 07/18/2005
• Published: 09/14/2006
• Est. Priority Date: 03/11/2005
• Status: Active Grant

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Troxel, Charlie Jr., Goldman, Steve
• Granted Patent: US 7,788,163 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/03 Credit; Loans; Processing thereof
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

Methods and systems are providing for minimizing the effects of transmission delays when providing orders for financial instruments. A plurality of order books and match engines may be maintained at geographically dispersed locations. The orders may be synchronized to provide the appearance of a single order book to traders and other users. The plurality of order books and match engines allow traders and other users to transmit orders to the match engine associated with the shortest transmission delay and to access orders pending at other match engines.

Claims

1. A system for matching orders for financial instruments, the system comprising:

a first match engine located in a first geographic location;

a second match engine located in a second geographic location; and

a high speed data network connecting the first match engine and the second match engine and that carries data used to synchronize order books used by the first match engine and the second match engine.

2. The system of claim 1, wherein the transmission delay associated with transmitting an order from a computer device to the first match engine is different than the transmission delay associated with transmitting an order from a computer device to the first match engine.

3. The system of claim 1, wherein the first match engine is programmed with computer-executable instructions to:

(i) receive an order for a financial instrument;

(ii) determine if the best price available to match the order is at the first match engine or the second match engine;

(iii) if the best price is available at the first match engine, attempt to match the order with an order at the first match engine;

(iv) if the best price is available at the second match engine, attempt to match the order with an order at the second match engine.

4. The system of claim 3, wherein the second match engine is programmed with computer-executable instructions to:

(i) receive an order for a financial instrument;

(ii) determine if the best price available to match the order is at the first match engine or the second match engine;

(iii) if the best price is available at the first match engine, attempt to match the order with an order at the first match engine;

(iv) if the best price is available at the second match engine, attempt to match the order with an order at the second match engine.

5. The system of claim 1, wherein the high speed data network comprises a fiber optic network.

6. The system of claim 1, wherein the data used to synchronize order books comprises status messages.

7. The system of claim 6, wherein the status messages are formatted in accordance with a protocol that uses out of band signaling.

8. The system of claim 6, wherein at least one of the status messages indicates a best bid and offer price for a financial instrument at a match engine.

9. A match engine that matches orders for financial instruments, the match engine programmed with computer-executable instructions for performing the steps comprising:

(a) receiving an order for a financial instrument;

(b) determining if the best price available to match the order is at the match engine or at least one remote match engine;

(c) if the best price to match the order is available at the match engine, attempting to match the order with an order at the match engine;

(d) if the order is not matched, transmitting minimal order information to the at least one remote match engine.

10. The match engine of claim 9, wherein the minimal order information comprises identifying information that uniquely identifies the order.

11. The match engine of claim 10, wherein the identifying information comprises a serial number.

12. The match engine of claim 9, wherein the minimal order information further includes information identifying at least one financial instrument, a price and a quantity.

13. The match engine of claim 9, wherein the match engine is coupled to the at least one remote match engine via a high speed data network.

14. The match engine of claim 13, wherein the high speed data network comprises a fiber optic network.

15. The match engine of claim 9, wherein the match engine is further programmed with computer-executable instructions to create and transmit status messages.

16. A computer implemented method of processing an order for a financial instrument, the method comprising:

(a) receiving an order at a local match engine;

(b) if the best price is available at the local match engine, attempting to match the order at the local match engine; and

(c) if the best price is available at a remote match engine, attempting to match the order with orders at least one remote match engine.

17. The computer-implemented method of claim 16, further including:

(d) when the order is not matched, transmitting minimal order information to the least one remote match engine.

18. The computer-implemented method of claim 17, further including:

(d) transmitting a status message to the at least one remote match engine.

19. The computer-implemented method of claim 16, further including:

(d) transmitting a status message to the at least one remote match engine.

20. The computer-implemented method of claim 16, further including:

(d) synchronizing order books for orders pending at the local match engine and at the remote match engine.