Hardware accelerated exchange order routing appliance

• US 20090313160A1
• Filed: 06/11/2008
• Published: 12/17/2009
• Est. Priority Date: 06/11/2008
• Status: Abandoned Application

• Current Assignee: Credit Suisse Securities USA LLC (Credit Suisse)
• Original Assignee: Credit Suisse Securities USA LLC (Credit Suisse)
• Inventors: Kolten, Gene, Rysin, Vladislav
• Application Number:
  US12/157,535
• Publication Number:
  US 20090313160A1
• 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 processing a trading order message comprises a hardware device logically linked to a general purpose processor. The hardware device comprises multiple exchange line handlers each of which is associated with a market exchange, multiple parsing modules each of which is associated with one of the exchange line handlers, and a message router that receives the message from the general purpose processor, determines a particular market exchange to which the message is directed, and communicates the message to a particular one of the parsing modules that is associated with a particular one of the exchange line handlers that is associated with the particular market exchange. The particular one of the parsing modules transforms the message into a protocol specified by the particular market exchange and communicates the transformed message to the particular one of the exchange line handlers for communication to the particular market exchange.

Claims

1. A system for processing trading order messages for execution by market exchanges, comprising:

a general purpose processor that receives a trading order message; and

a special purpose processor logically linked to the general purpose processor, the special purpose processor being configured to receive the message from the general purpose processor, to determine a particular market exchange to which the message is directed, and to communicate the message in a protocol specified by the particular market exchange.

2. The system of claim 1, wherein the special purpose processor comprises:

a message router module that determines the particular market exchange to which the message is directed; and

a parsing module that transforms the message into the protocol specified by the particular market exchange.

3. The system of claim 2, wherein the special purpose processor further comprises an exchange line handler module that communicates the transformed message.

4. The system of claim 1, wherein the special purpose processor comprises:

a plurality of parsing modules, each of the parsing modules being associated with one of a plurality of market exchanges, the particular market exchange being one of the plurality of market exchanges; and

a message router module that determines the particular market exchange to which the message is directed and that communicates the message to a particular one of the parsing modules that is associated with the particular market exchange,

wherein the particular one of the parsing modules transforms the message into the protocol specified by the particular market exchange.

5. The system of claim 1, wherein the special purpose processor comprises:

a parsing module that transforms the message into the protocol specified by the particular market exchange;

a message router that determines the particular market exchange to which the message is directed and that communicates the message to the parsing module; and

a plurality of exchange line handler modules, each of the exchange line handler modules being associated with one of a plurality of market exchanges, the particular market exchange being one of the plurality of market exchanges,

wherein the parsing module communicates the transformed message to a particular one of the exchange line handler modules that is associated with the particular market exchange.

6. The system of claim 1, further comprising an order management system that manages the execution of trading order messages received by or destined to the general purpose processor.

7. The system of claim 1, wherein the general purpose processor comprises a server, and wherein the special purpose processor comprises a hardware device linked to the server.

8. The system of claim 1, wherein the general purpose processor receives the trading order message from a client trading application.

9. A system for processing trading order messages for execution by market exchanges, comprising:

a general purpose processor that receives a trading order message destined for a particular market exchange; and

a special purpose processor logically linked to the general purpose processor, the special purpose processor comprising

a plurality of exchange line handler modules, each of the exchange line handler modules being associated with one of a plurality of market exchanges, the particular market exchange being one of the plurality of market exchanges,

a plurality of parsing modules, each of the parsing modules being associated with one of the exchange line handler modules, and

a message router module that receives the message from the general purpose processor and communicates the message to a particular one of the parsing modules that is associated with a particular one of the exchange line handlers that is associated with the particular market exchange,

wherein the particular one of the parsing modules transforms the message into a protocol specified by the particular market exchange and communicates the transformed message to the particular one of the exchange line handlers for communication to the particular market exchange.

10. The system of claim 9, further comprising an order management system that manages the execution of trading order messages received by or destined to the general purpose processor,

wherein the general purpose processor communicates the message to the order management system.

11. The system of claim 9, wherein the general purpose processor comprises a server, and wherein the special purpose processor comprises a hardware device linked to the server.

12. The system of claim 9, wherein the general purpose processor receives the trading order message from a client trading application.

13. A method for processing trading order messages for execution by market exchanges, the trading order messages being received by a general purpose processor and being transformed and communicated by a hardware device logically linked to the general purpose processor, comprising the steps of:

within the hardware device, receiving a trading order message from the general purpose processor, determining a particular market exchange to which the message is directed, and communicating the message in a protocol for submission to the particular market exchange.

14. The method of claim 13, wherein the step of determining the particular market exchange to which the message is directed is performed by a message router of the hardware device, and

wherein the step of transforming the message into the protocol for submission to the particular market exchange is performed by a parsing module of the hardware device.

15. The method of claim 14, wherein the step of communicating the message in a protocol for submission to the particular market exchange comprises communicating the transformed message via an exchange line handler module of the hardware device.

16. A method for processing trading order messages for execution by market exchanges, the trading order messages being received by a general purpose processor and being transformed and communicated by a hardware device logically linked to the general purpose processor, comprising the steps of:

on a message router module of the hardware device, receiving a trading order message from the general purpose processor, determining a particular market exchange to which the message is directed, and communicating the message to a particular one of a plurality of parsing modules of the hardware device that is associated with a particular one of a plurality of exchange line handlers that is associated with the particular market exchange,

on the particular one of the parsing modules, transforming the message into a protocol specified by the particular market exchange and communicating the transformed message to the particular one of the exchange line handlers; and

on the particular one of the exchange line handlers, communicating the transformed message for receipt by the particular market exchange.

17. The method of claim 16, further comprising the step of managing the execution of the message.