Methods to improve accuracy and precision of timestamps for financial data

• US 20080243673A1
• Filed: 03/26/2007
• Published: 10/02/2008
• Est. Priority Date: 03/26/2007
• Status: Abandoned Application

• Current Assignee: Penson Worldwide, Inc.
• Original Assignee: Penson Worldwide, Inc.
• Inventors: Ferguson, Ralph Bruce, Falkenberry, Thomas Neal
• Application Number:
  US11/728,562
• Publication Number:
  US 20080243673A1
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 30/0284 Time or distance, e.g. usage of parking meters or taximeters
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A method for producing a timestamped series of price data of a financial instrument from its prices. The timestamped series includes a timestamp associated with each price. Each timestamp has a timestamp precision of one millisecond or less and a timestamp accuracy equal to or shorter than the timestamp precision. At least one timestamping processor is provided to receive the prices. The internal clock of each timestamping processor is synchronized to a universal time with a time precision and accuracy equal to or shorter than half of the timestamp precision. Each price is applied to a timestamping processor with a predetermined time delay after quotation. Each time delay has a time delay precision and accuracy equal to or shorter than half of the timestamp precision. The timestamp is determined for each applied price based on the corresponding delay time and internal time when the price is applied.

Claims

1. A method for producing a timestamped series of price data of a financial instrument from a plurality of prices of the financial instrument, the timestamped series of price data includes a timestamp associated with each price, each timestamp having a timestamp precision of one millisecond or less and a timestamp accuracy equal to or shorter than the timestamp precision, the method comprising the steps of:

a) providing at least one timestamping processor to receive the plurality of prices;

b) synchronizing an internal clock of each timestamping processor to a universal time, the universal time having a time precision equal to or shorter than half of the timestamp precision and a time accuracy equal to or shorter than half of the timestamp precision;

c) applying each price of the financial instrument to one of the at least one timestamping processors such that the applied price is applied to the one timestamping processor with a predetermined time delay from the quotation of the applied price, each predetermined time delay having a time delay precision equal to or shorter than half of the timestamp precision and a time delay accuracy equal to or shorter than half of the timestamp precision;

d) determining a timestamp for the applied price based on the corresponding predetermined delay time and the internal time of the one timestamping processor; and

e) repeating steps (c) and (d) for each price of the plurality of prices.

2. The method according to claim 1, wherein the financial instrument is a publicly traded financial instrument.

3. The method according to claim 1, wherein the plurality of prices of the financial instrument includes prices from a plurality of exchanges.

4. The method according to claim 3, wherein each of the timestamping processors provided in step (a) receives the prices from one of the plurality of exchanges.

5. The method according to claim 1, wherein the financial instrument is one of a stock, a bond, a commodity, a currency, an equity instrument, a derivative security, or a future.

6. The method according to claim 1, wherein the plurality of prices of the financial instrument includes at least one of:

a plurality of bid prices, a plurality of ask prices, or a plurality of trade prices.

7. The method according to claim 1, wherein the plurality of prices of the financial instrument include a plurality of bid prices and a plurality of ask prices.

8. The method according to claim 7, wherein:

the at least one timestamping processor is a plurality of timestamping processors;

a bid subset of the plurality of timestamping processors provided in step (a) receives the plurality of bid prices; and

an ask subset of the plurality of timestamping processors provided in step (a) receives the plurality of ask prices.

9. The method according to claim 7, wherein the plurality of prices of the financial instrument further include a plurality of trade prices.

10. The method according to claim 9, wherein:

the at least one timestamping processor is a plurality of timestamping processors;

a bid subset of the plurality of timestamping processors provided in step (a) receives the plurality of bid prices;

an ask subset of the plurality of timestamping processors provided in step (a) receives the plurality of ask prices; and

a trade subset of the plurality of timestamping processors provided in step (a) receives the plurality of trade prices.

11. The method according to claim 1, wherein step (b) includes synchronizing the internal clock of each timestamping processor to the universal time using at least one of:

a plurality of global positioning system (GPS) signals;

or

a plurality of code division multiple access (CDMA) cellular signals.

12. The method according to claim 1, wherein step (b) includes:

b1) initializing a universal clock to maintain the universal time; and

b2) synchronizing the internal clock of each timestamping processor to the universal time using the universal clock.

13. The method according to claim 1, further comprising the step of:

f) ordering the prices and associated timestamps by the timestamps to form the series of timestamped price data.

14. The method according to claim 13, wherein step (f) includes:

f1) transmitting the prices and associated timestamps from each timestamping processor to a series processor;

f2) comparing the timestamps received by the series processor to determine an order of the price data; and

f3) ordering the prices and associated timestamps by the timestamps to form the series of timestamped price data.

15. The method according to claim 13, wherein:

the plurality of prices of the financial instrument includes a plurality of bid prices and a plurality of ask prices;

the at least one timestamping processor is a plurality of timestamping processors;

a bid subset of the plurality of timestamping processors provided in step (a) receives the plurality of bid prices;

an ask subset of the plurality of timestamping processors provided in step (a) receives the plurality of ask prices;

the series of timestamped price data includes a series of timestamped bid price data and a series of timestamped ask price data; and

step (f) includes the steps of;

f1) transmitting the bid prices and associated timestamps from the bid subset of timestamping processors to a bid series processor;

f2) comparing the timestamps received by the bid series processor to determine an order of bid price data;

f3) ordering the bid prices and associated timestamps by the timestamps to form the series of timestamped bid price data;

f4) transmitting the ask prices and associated timestamps from the ask subset of timestamping processors to an ask series processor;

f5) comparing the timestamps received by the ask series processor to determine an order of ask price data; and

f6) ordering the ask prices and associated timestamps by the timestamps to form the series of timestamped ask price data.

16. The method according to claim 13, wherein:

the plurality of prices of the financial instrument includes a plurality of bid prices and a plurality of ask prices;

the at least one timestamping processor is a plurality of timestamping processors;

a bid subset of the plurality of timestamping processors provided in step (a) receives the plurality of bid prices;

an ask subset of the plurality of timestamping processors provided in step (a) receives the plurality of ask prices;

the series of timestamped price data includes a series of timestamped price spread data; and

step (f) includes the steps of;

f1) transmitting the bid prices and associated timestamps from the bid subset of timestamping processors to a bid series processor;

f2) comparing the timestamps received by the bid series processor to determine an order of bid price data;

f3) ordering the bid prices and associated timestamps by the timestamps to form a series of timestamped bid price data;

f4) transmitting the ask prices and associated timestamps from the ask subset of timestamping processors to an ask series processor;

f5) comparing the timestamps received by the ask series processor to determine an order of ask price data;

f6) ordering the ask prices and associated timestamps by the timestamps to form the series of timestamped ask price data;

f7) transmitting the series of timestamped bid price data and the series of timestamped ask price data to a spread series processor; and

f8) determining the series of timestamped price spread data from the series of timestamped bid price data and the series of timestamped ask price data.

17. The method according to claim 13, wherein:

the plurality of prices of the financial instrument includes a plurality of bid prices and a plurality of ask prices;

the plurality of prices of the financial instrument further includes a plurality of trade prices;

the at least one timestamping processor is a plurality of timestamping processors;

a bid subset of the plurality of timestamping processors provided in step (a) receives the plurality of bid prices;

an ask subset of the plurality of timestamping processors provided in step (a) receives the plurality of ask prices; and

a trade subset of the plurality of timestamping processors provided in step (a) receives the plurality of trade prices;

the series of timestamped price data includes a series of timestamped bid price data, a series of timestamped ask price data, and a series of timestamped trade price data; and

step (f) includes the steps of;

f1) transmitting the bid prices and associated timestamps from the bid subset of timestamping processors to a bid series processor;

f2) comparing the timestamps received by the bid series processor to determine an order of bid price data;

f3) ordering the bid prices and associated timestamps by the timestamps to form the series of timestamped bid price data;

f4) transmitting the ask prices and associated timestamps from the ask subset of timestamping processors to an ask series processor;

f5) comparing the timestamps received by the ask series processor to determine an order of ask price data;

f6) ordering the ask prices and associated timestamps by the timestamps to form the series of timestamped ask price data;

f7) transmitting the trade prices and associated timestamps from the trade subset of timestamping processors to a trade series processor;

f8) comparing the timestamps received by the trade series processor to determine an order of trade price data; and

f9) ordering the trade prices and associated timestamps by the timestamps to form the series of timestamped trade price data.

18. The method according to claim 13, wherein:

the plurality of prices of the financial instrument includes a plurality of bid prices and a plurality of ask prices;

the series of timestamped price data includes a series of timestamped price spread data;

step (d) further includes flagging the applied price with a bid flag if the applied price is a bid price and flagging the applied price with an ask flag if the applied price is an ask price; and

step (f) includes the steps of;

f1) comparing the timestamps to determine an order of price data;

f2) ordering the prices, associated timestamps, and associated flags by the timestamps to form a series of timestamped bid/ask price data; and

f3) calculating the series of timestamped price spread data from the series of timestamped bid/ask price data.

19. A financial market timestamping system for producing a timestamped series of price data of a financial instrument that includes a plurality of prices and a timestamp associated with each price and each timestamp having a timestamp precision of one millisecond or less and a timestamp accuracy equal to or shorter than the timestamp precision, the financial market timestamping system comprising:

at least one timestamping processor to receive the plurality of prices and provide associated timestamps for each price, each timestamping processor including an internal clock that is synchronized to a universal time, the universal time having a time precision equal to or shorter than half of the timestamp precision and a time accuracy equal to or shorter than half of the timestamp precision; and

at least one transmission line coupled to each timestamping processor to transmit prices of the financial instrument to the coupled timestamping processors, each transmission line providing a predetermined time delay between a quotation of a price and reception of the price by the timestamping processor, each predetermined time delay having a time delay precision equal to or shorter than half of the timestamp precision and a time delay accuracy equal to or shorter than half of the timestamp precision;

wherein the at least one timestamping processor determines the associated timestamp of each price based on the universal time the price was received and the predetermined time delay of the transmission line on which the price was transmitted.

20. The financial market timestamping system according to claim 19, wherein the financial instrument is a publicly traded financial instrument.

21. The financial market timestamping system according to claim 20, wherein the plurality of prices of the financial instrument includes prices from a plurality of exchanges.

22. The financial market timestamping system according to claim 21, wherein:

the at least one timestamping processor is a plurality of timestamping processors; and

each timestamping processor receives the prices from one of the plurality of exchanges.

23. The financial market timestamping system according to claim 19, wherein the financial instrument is one of a stock, a bond, a commodity, a currency, an equity instrument, a derivative security, or a future.

24. The financial market timestamping system according to claim 19, wherein the plurality of prices of the financial instrument includes at least one of:

a plurality of bid prices, a plurality of ask prices, or a plurality of trade prices.

25. The financial market timestamping system according to claim 19:

wherein the at least one timestamping processor is a plurality of timestamping processors; and

the financial market timestamping system further comprises a series processor coupled to the plurality of timestamping processors to form the series of timestamped bid price data from the prices and associated timestamps determined by the timestamping processors.

26. The financial market timestamping system according to claim 19, wherein the at least one timestamping processor includes:

at least one bid timestamping processor to timestamp a plurality of bid prices; and

at least one ask timestamping processor to timestamp a plurality of ask prices.

27. The financial market timestamping system according to claim 26, further comprising:

a bid series processor coupled to the at least one bid timestamping processor to form a series of timestamped bid price data from the bid prices and associated timestamps; and

an ask series processor coupled to the at least one ask timestamping processor to form a series of timestamped ask price data from the ask prices and associated timestamps.

28. The financial market timestamping system according to claim 27, further comprising a spread series processor coupled to the bid series processor and the ask series processor to form a series of timestamped price spread data from the series of timestamped bid price data and the series of timestamped ask price data.

29. The financial market timestamping system according to claim 19:

wherein;

the plurality of prices of the financial instrument includes a plurality of bid prices and a plurality of ask prices; and

the series of timestamped price data includes a series of timestamped price spread data; and

the financial market timestamping system further comprises;

a bid/ask flagging processor coupled to the at least one transmission line to flag the applied price with a bid flag if the applied price is a bid price and to flag the applied price with an ask flag if the applied price is an ask price; and

a spread series processor coupled to the at least one timestamping processor to determine a series of timestamped price spread data from the prices, associated timestamps, and associated flags.

30. The financial market timestamping system according to claim 19, wherein each timestamping processor is adapted to:

receive a plurality of signals including at least one of;

a plurality of global positioning system (GPS) signals;

or

a plurality of code division multiple access (CDMA) cellular signals; and

synchronize the internal clock using the received plurality of signals.

31. The financial market timestamping system according to claim 19, wherein the internal clock of each timestamping processor includes an atomic clock.

32. The financial market timestamping system according to claim 19, wherein the at least one transmission line include at least one of:

a fiber optic transmission line;

a hard wired electrical connection;

a microwave communication link;

a radio frequency communication link;

or a free-space laser communication link.