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First Claim
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1. A computer implemented method of reconstructing at least a portion of an order book for a financial market, the method comprising:
- (a) storing a non-indexed collection of substantially sequential orders in a solid-state processor memory;
(b) receiving the identification of an initial state of the at least a portion of the order book at a first time;
(c) receiving the identification of a second time after the first time; and
(d) utilizing the non-indexed collection of substantially sequential orders at the processor to simulate the processing of orders received between the first time and the second time to reconstruct the state of the at least a portion of the order book for the financial market at the second time.
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Abstract
Systems and methods for reconstructing the state of a market are provided. Orders are arranged as a non-indexed collection of orders and may be stored in the cache memory of a processor. The physical locations of orders stored in the memory may correspond to the order in which they were received at a match engine. A computer device simulates the processing of orders between any time periods to reconstruct the activity state of an entity across a trading platform and one or more order books.
23 Citations
20 Claims
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1. A computer implemented method of reconstructing at least a portion of an order book for a financial market, the method comprising:
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(a) storing a non-indexed collection of substantially sequential orders in a solid-state processor memory; (b) receiving the identification of an initial state of the at least a portion of the order book at a first time; (c) receiving the identification of a second time after the first time; and (d) utilizing the non-indexed collection of substantially sequential orders at the processor to simulate the processing of orders received between the first time and the second time to reconstruct the state of the at least a portion of the order book for the financial market at the second time. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13)
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14. A computer-readable medium containing computer-executable instructions for causing a processor to reconstruct at least a portion of an order book for a financial market by performing the steps comprising:
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(a) storing a non-indexed collection of substantially sequential orders in a solid-state processor memory; (b) receiving the identification of an initial state of the at least a portion of the order book at a first time; (c) receiving the identification of a second time after the first time; and (d) utilizing the non-indexed collection of substantially sequential orders to simulate the processing of orders received between the first time and the second time to reconstruct the state of the at least a portion of the order book for the financial market at the second time. - View Dependent Claims (15, 16, 17, 18, 19, 20)
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Specification