Order Chronicle Process and Method

• US 20110040676A1
• Filed: 10/26/2010
• Published: 02/17/2011
• Est. Priority Date: 06/05/2002
• Status: Active Grant

• Current Assignee: Nasdaq, Inc.
• Original Assignee: Nasdaq OMX Group Incorporated (Nasdaq, Inc.)
• Inventors: Vincent, Timothy, Hughes, John T. JR., Friedman, Bruce E., Moore, Daniel F.
• Granted Patent: US 8,095,453 B2
• 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 process for chronicling a portion of an electronic market includes a record process for recording an activity relating to a security interest in an order book in main memory of a computer system and another record process for recording the activity in a persistent store.

Claims

1. A computer system for chronicling order execution in a order book maintained in an electronic market, the system comprises:

a processor;

a persistent storage medium storing a order activity log file;

main memory coupled to the processor, the main memory storing

an order book that stores orders of for at least one security that is traded on the electronic market; and

computer instructions for matching incoming orders against entries in the order book, the computer instructions comprising instructions to;

store received incoming orders into a matching trigger queue;

retrieve a next incoming order from the matching trigger queue and retrieve a record of an order from the order book stored in main memory;

match the retrieved next incoming order and retrieved record from the order book;

record match of the retrieved next incoming order and retrieved record from the order book in the order book in the main memory of the computer system; and

record the match in the persistent storage medium in the order activity log file, prior to retrieving a subsequent incoming order from the matching trigger queue.

2. The computer system of claim 1 wherein the main memory is random access memory.

3. The computer system of claim 1 wherein the main memory is a cache.

4. The computer system claim 1 wherein the matching trigger queue stores other commands in addition to incoming orders, referred to as activities, and the received order or a portion of the received order is stored in the order book and in the order activity log file within a particular time period and upon expiration of the time period, the next activity is retrieved from the matching trigger queue for processing by the matching.

5. The computer system of claim 1 further comprising instructions to:

update an order file stored in the persistent store with the order.

6. The computer system of claim 1 wherein the computer program product further comprises instructions to:

determine a status of the order, if the status of the order is open,

update an order file stored in the persistent store with the order;

if the status is closed avoid update of the order file with the order.

7. The computer system of claim 1 wherein the persistent store is a sequential access storage device.

8. The computer system of claim 1 wherein the persistent store is a hard disk drive.

9. The computer system of claim 1 wherein the first activity includes matching a security transaction against a portion of the security interest.

10. The computer system of claim 1 wherein the first activity includes executing a security transaction against a portion of the security interest.

11. The computer system of claim 1 wherein the computer program product further comprises instructions to:

apply the file in the persistent store rebuild the order book in main memory.

12. The computer system of claim 1 wherein the state of the order book represents the existing market at the time of the first activity.

13. A computer implemented method for chronicling order execution in a order book maintained in a computer system for an electronic market comprises:

storing received incoming orders into a matching trigger queue structure in main memory of the computer system;

retrieving a next incoming order from the matching trigger queue and retrieve a record of an order from a order book stored in the main memory of the computer system;

matching in the main memory the retrieved next incoming order and retrieved record from the order book;

recording match of the retrieved next incoming order and retrieved record from the order book in the main memory of the computer system; and

recording a record of match in a persistent store of the computer system, in a order activity log file, prior to retrieving a subsequent incoming order from the matching trigger queue.

14. The method of claim 13 wherein the main memory is random access memory.

15. The method of claim 14 wherein the main memory is a cache.

16. The method of claim 13 wherein matching trigger queue stores other commands in addition to incoming orders collectively activities, and the received order or a portion of the received order is stored in the order book and in the order activity log file within a particular time period;

upon expiration of the time period, the next activity is retrieved from the matching trigger queue for processing by the matching.

17. The method of claim 13 further comprising:

updating an order file stored on the persistent store with the order.

18. The method of claim 13 further comprising:

determining a status of the order, if the status of the order is open,

updating an order file stored in the persistent store with the order;

if the status is closed avoid updating the order file with the order.

19. The method of claim 13 wherein the persistent store is a sequential storage device.

20. The method of claim 13 wherein the persistent store is a hard disk drive.

21. The method of claim 13 wherein the first activity includes matching a security transaction against a portion of the security interest.

22. The method of claim 13 wherein the first activity includes executing a security transaction against a portion of the security interest.

23. The method of claim 13 further comprising:

applying the file stored in the persistent store to rebuild the order book in main memory.

24. The method of claim 13 wherein the state of the order book represents the existing market at the time of the first activity.

25. A computer program product residing on a computer readable medium for chronicling a portion of an electronic market, comprises instructions for causing a computer to:

store received incoming orders into a matching trigger queue that resided in main memory of a computer system;

retrieve a next incoming order from the matching trigger queue and retrieve a record of an order from an order book stored in main memory of the computer system;

match the retrieved next incoming order and retrieved record from the order book;

record match of the retrieved next incoming order and retrieved record from the order book in the order book in the main memory of the computer system; and

record the match in the persistent store in a order activity log file, prior to retrieving a subsequent incoming order from the matching trigger queue.

26. The computer program product of claim 25 wherein the main memory is random access memory.

27. The computer program product of claim 25 wherein the main memory is a cache.

28. The computer program product of claim 25 wherein the matching trigger queue stores other commands in addition to incoming orders, referred to as activities, and the received order or a portion of the received order is stored in the order book and in the order activity log file within a particular time period and upon expiration of the time period, the next activity is retrieved from the matching trigger queue for processing by the matching.

29. The computer program product of claim 25 further comprising instructions to:

update an order file stored in the persistent store with the order.

30. The computer program product of claim 25 wherein further comprising instructions to:

determine a status of the order, if the status of the order is open,

update an order file stored in the persistent store with the order;

if the status is closed

avoid update of the order file with the order the main memory is separate from the persistent store.

31. The computer program product of claim 25 wherein the persistent store is a sequential storage device.

32. The computer program product of claim 25 wherein the persistent store is a hard disk drive.

33. The computer program product of claim 25 wherein the first activity includes matching a security transaction against a portion of the security interest.

34. The computer program product of claim 25 wherein the first activity includes executing a security transaction against a portion of the security interest.

35. The computer program product of claim 25, further comprising instructions to:

apply the file in the persistent store rebuild the order book in main memory.

36. The computer program product of claim 25 wherein the state of the order book represents the existing market at the time of the first activity.