Accelerated Trade Matching Using Speculative Parallel Processing

• US 20110066538A1
• Filed: 09/15/2009
• Published: 03/17/2011
• Est. Priority Date: 09/15/2009
• Status: Active Grant

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Liberman, Stanislav, Colligan, Michael H., Raitsev, James
• Granted Patent: US 8,868,460 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
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

An electronic trading system is configured to create speculative orders based on real orders. The speculative order differs from the real order by the price, quantity, or the type of financial instrument. The match engine chooses one or more speculative orders in an attempt to predict the next real order. Even though processing multiple trades at the same time is impossible, the use of speculative orders can permit the match engine to perform the calculations involved with the trade and generate the messages associated with the trade ahead of time. If the prediction was correct and the next order received by the match engine corresponds to one of the speculative orders, some of the matching activity has already been performed. This in effect, allows the match engine to process trades more efficiently and increases the total trading volume that can be handled by the electronic trading system.

Claims

1. A method of matching orders, the method comprising:

receiving a real order;

calculating tradable combinations involving the real order using a first match engine processor;

calculating tradable combinations involving at least one speculative order using at least one secondary match engine processor;

executing a trade based on at least one of the tradable combinations involving the real order or at least one of the tradable combinations involving the at least one speculative order; and

outputting an update to an order book based on the trade.

2. The method of claim 1, further comprising:

determining a price of the speculative order based on a price of the real order.

3. The method of claim 1, further comprising:

determining a price of the speculative order based on a trend of the market or a trend of a financial instrument underlying the real order.

4. The method of claim 1, further comprising:

determining a price of the speculative order based on economic indicators.

5. The method of claim 1, further comprising:

determining a price of the speculative order based on a statistical analysis.

6. The method of claim 1, further comprising:

determining a price of the speculative order based on a scheduled market event or a financial announcement.

7. The method of claim 1, further comprising:

generating a plurality of messages based on the speculative order.

8. The method of claim 6, wherein the plurality of messages include messages to be delivered to at least one trading entity.

9. The method of claim 6, wherein the plurality of messages include messages to be published comprising information related to price or quantity.

10. The method of claim 6, wherein the plurality of messages include messages to be delivered to an exchange.

11. The method of claim 6, wherein the plurality of messages include messages to be delivered to a market data server.

12. An electronic trading system comprising:

a first match engine processor configured to receive a real order and calculating tradable combinations involving the real order;

a second match engine processor configured to calculate tradable combinations involving at least one speculative order; and

a gatekeeper processor configured to execute a trade based on at least one of the tradable combination involving the real order or at least one of the tradable combinations involving the at least one speculative order and receive an update for the order book based on the trade.

13. The electronic trading system of claim 12, wherein a price of the speculative order is based on a price of the real order.

14. The electronic trading system of claim 12, wherein a price of the speculative order is based on a trend of the market or a trend of a financial instrument underlying the real order.

15. The electronic trading system of claim 12, wherein a price of the speculative order based on economic indicators.

16. The electronic trading system of claim 12, wherein a price of the speculative order based on a statistical analysis.

17. The electronic trading system of claim 12, wherein a price a price of the speculative order based on a scheduled market event or a financial announcement.

18. The electronic trading system of claim 12, wherein the second match engine processor is configured to generate a plurality of messages based on the speculative order.

19. The electronic trading system of claim 18, wherein the plurality of messages include messages to be delivered to at least one trading entity.

20. The electronic trading system of claim 18, wherein the plurality of messages include messages to be published comprising information related to price or quantity.

21. The electronic trading system of claim 18, wherein the plurality of messages include messages to be delivered to an exchange.

22. The electronic trading system of claim 18, wherein the plurality of messages include messages to be delivered to a market data server.

23. The electronic trading system of claim 12, wherein the first match processor and the second match processor are part of a grid computing network.

24. The electronic trading system of claim 12, wherein the first match processor and the second match processor are part of a cloud computing network.

25. The electronic trading system of claim 12, wherein the first match processor and the second match processor share a memory as part of a symmetric multiprocessing computer architecture.

26. A match engine comprising:

a first matcher module configured to receive a real order and calculating tradable combinations involving the real order;

a second matcher configured to calculate tradable combinations involving at least one speculative order; and

a gatekeeper module configured to execute a trade based on at least one of the tradable combination involving the real order or at least one of the tradable combinations involving the at least one speculative order and receive an update for the order book based on the trade.