System and method for monitoring trading

• US 20080015966A1
• Filed: 06/20/2006
• Published: 01/17/2008
• Est. Priority Date: 06/20/2006
• Status: Active Grant

• Current Assignee: Nasdaq Technology AB (Nasdaq, Inc.)
• Original Assignee: OMX Technology AB
• Inventors: Altius, Goran
• Granted Patent: US 8,630,934 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06F 12/0804 with main memory updating G06F12/0806 takes precedence
• CPC Class Codes: G06F 12/0866 for peripheral storage systems, e.g. disk cache
• 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
• CPC Class Codes: G11C 8/12 Group selection circuits, e.g. for memory block selection, chip selection, array selection

Abstract

The present invention relates to a monitoring system and method for monitoring trade at an electronic exchange. The system comprises memories being related to a specific time interval. A trade occurring during that time interval or a parameter value related to the trade is recorded to the memory related to the time interval. At a point in time a recent trade parameter is determined based on the accumulated trade parameter values in the memories. Based on the resent trade parameter and some rules and operators one or more monitoring actions is executed.

Claims

1. A computer system for monitoring matching of orders between participants, the matching of orders being communicated in trade messages, the trade messages comprising trade parameter data, the computer system comprising:

an interface for receiving trade messages,

an extractor associated with the interface for, upon receiving a trade message, extracting a trade parameter value based on the trade parameter data of the trade message,

a number of memories,

a write unit associated with the memories and the extractor for sequentially addressing the memories for accumulating extracted trade parameter values during a start time and a stop time for each memory,

a read unit associated with the memories for reading accumulated trade parameter values from the memories, and

a determiner associated with the read unit for determining a recent trade parameter by utilizing the accumulated trade parameter value(s) read from the memories.

2. A computer system according to claim 1, wherein the write unit addresses one memory at a time.

3. A computer system according to claim 1, wherein the write unit cyclically and sequentially addresses one memory at a time.

16. A network device comprising a computer system according to claim 1.

4. A computer system for monitoring matching of orders between participants, the matching of orders is communicated in trade messages, the trade messages comprising trade parameter data, the computer system comprising:

a first memory being accessible for storing from a first start time to a first end time,

a second memory being accessible for storing from a second start time to a second end time, the second start time occurring later than the first start time and the second end time occurring later than the first end time,

an interface for receiving the trade messages,

the computer system being programmed to;

upon receiving a trade message via the interface, determine a trade parameter value based on the trade parameter data in the trade message,

adding the trade parameter value to any accessible memory, thereby creating an accumulated trade parameter value, and

determining a recent trade parameter by utilizing the accumulated trade parameter value from at least one of the first memory and second memory,

thereby monitoring matching of orders.

5. A computer system according to claim 4, the computer system being programmed to:

upon a first trade message in a time interval overwrite an old accumulated trade parameter value in the memory by adding the trade parameter value,

sequentially adding the trade parameter value to the memory being accessible.

6. A computer system according to claim 4, further comprising an evaluator, the evaluator being programmed to:

by use of an operator, evaluate the recent trade parameter in view of a threshold value, and

if the recent trading parameter fulfills a criteria based on the evaluation, execute a monitoring action.

7. A computer system according to claim 6, wherein the canceling matching of orders concerns orders related to a specific participant.

8. A computer system according to claim 4, wherein the second start time occurs simultaneously with the first end time.

9. A computer system according to claim 4, wherein the time between the first start time and first end time is less than 30 seconds.

10. A computer system according to claim 4, wherein the time between the second start time and second end time is less than 30 seconds.

11. A computer system according to claim 4, comprising 2 to n memories, each memory being accessible for storing from a start time and an end time, wherein the n:

th start time occurs after the (n-1)th start time and n;

th end time ends after (n-1)th end time.

12. A computer system according to claim 6, comprising a plurality of threshold values, the computer system further being programmed to perform a specific monitoring action when the recent trading parameter exceeds each threshold value.

13. A computer system according to claim 6, wherein the monitoring action is a canceling action, the canceling action is executed by either deleting the orders or by inactivating the orders.

14. A computer system according to claim 4, the computer system further being programmed to access the first and second memory when a trade occurs.

15. A computer system according to claim 4, the computer system further being programmed to accumulate a recent trade parameter from an individual or group of securities, for an individual or a group of participants.

17. An electronic exchange comprising:

a market place comprising an orderbook for keeping a record of orders,

a matching module for matching of orders,

a member database,

an information dissemination module for distributing information to members associated to the electronic exchange, and

a trade monitoring module for monitoring matching of orders in the electronic exchange,

the matching of orders is communicated in trade messages, the trade messages comprising trade parameter data, the trade monitoring system comprising;

an interface for receiving trade messages,

an extractor associated with the interface for, upon receiving a trade message, extracting a trade parameter value based on the trade parameter data of the trade message,

a number of memories associated with the extractor,

a write unit associated with the memories for sequentially accessing the memories for accumulating extracted trade parameter values during a start time and a stop time for each memory,

a read unit associated with the memories for reading accumulated trade parameter values from the memories, and

a determiner associated with the read unit for determining a recent trade parameter by utilizing the accumulated trade parameter values read from the memories.

25. A memory or storage medium having program instructions for carrying out the steps of the method as claimed in claim 17.

18. A method for monitoring matching of orders in an electronic exchange, between different participants, the matching of orders is communicated in trade messages, the trade messages comprising trade parameter data, the exchange comprising:

a first memory being accessible for storing from a first start time to a first end time,

a second memory being accessible for storing from a second start time to a second end time, the second start time occurring later than the first start time and the second end time occurring later than the first end time,

an interface for receiving the trade messages,

the computer system being programmed to;

upon receiving a trade message via the interface, determine a trade parameter value based on the trade parameter data in the trade message,

adding the trade parameter value to any accessible memory, thereby creating an accumulated trade parameter value, and

determining a recent trade parameter by utilizing the accumulated trade parameter value from at least one of the first memory and second memory,

thereby monitoring matching of orders.

19. A method according to claim 18, wherein the exchange further comprising an evaluator, the method comprising the steps of:

by use of an operator, evaluate the recent trade parameter in view of a threshold value, and

if the recent trading parameter fulfills a criteria based on the evaluation, execute a monitoring action.

20. A method according to claim 19, wherein the canceling matching of orders concerns orders related to a specific member.

21. A method according to claim 19, wherein the monitoring action is a canceling action, the canceling action is executed by either deleting the orders or by inactivating the orders.

22. A computerized method for monitoring matching of orders between participants in an electronic exchange comprising an interface, a number of memories, the matching of orders being communicated in trade messages, the trade messages comprise trade parameter data, the method comprising the steps of:

extracting a trade parameter value based on the trade parameter data of the trade message,

sequentially addressing the memories for accumulating extracted trade parameter values during a start time and a stop time for each memory,

reading accumulated trade parameter values from the memories, and

determining a recent trade parameter by utilizing the accumulated trade parameter values read from the memories.

23. A computerized method according to claim 22, further comprising the step of addressing one memory at a time.

24. A computerized method according to claim 22, further comprising the step of cyclically and sequentially addressing one memory at a time.