DISTRIBUTED TRADING BUS ARCHITECTURE

• US 20110087584A1
• Filed: 12/14/2010
• Published: 04/14/2011
• Est. Priority Date: 11/04/2003
• Status: Active Grant

• Current Assignee: New York Mercantile Exchange Incorporated (CME Group Incorporated)
• Original Assignee: New York Mercantile Exchange Incorporated (CME Group Incorporated)
• Inventors: Neumann, Kai, Morano, Matt, Wall, Ian, Gaer, Samuel
• Granted Patent: US 10,510,114 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 distributed trading system for handling a plurality of order requests, each order request comprising parameters under which a participant will buy and/or sell a futures contract. A validator component is coupled to a messaging bus and has a first interface for receiving order request and an interface generating a validated order message on the messaging bus related to validated orders, wherein the validator implements processes for validating the order requests. A risk allocation value (RAV) component is coupled to the messaging bus and has an interface for receiving validated order messages from the validator, wherein the RAV component implements processes for evaluating risk associated with an order should that order be completed. A match engine is coupled to the messaging bus and has an interface for receiving validated order messages from the RAV component, wherein the match engine implements processes for matching orders based on the order-specified criteria. A persist component is coupled to the messaging bus and has an interface for receiving messages related to orders and trades, wherein the persist component implements processes for persistently storing information related to orders and trades.

Claims

1. A distributed computer trading system comprising:

a risk allocation value (RAV) component implemented by a computer and configured at least to perform;

processing an order request associated with an account, the order request being associated with an order for a financial instrument and having an order size;

determining a RAV size limit of the account;

determining a combined size based on a size of existing positions of the account and the order size;

permitting matching using the order request if the combined size does not exceed the RAV size limit; and

rejecting the order request if the combined size exceeds the RAV size limit.

2. The system of claim 1, wherein the account is associated with a position limit.

3. The system of claim 2, wherein the position limit is a net long position limit or a net short position limit for a type of contract.

4. The system of claim 3, wherein the type of contract is a commodity contract.

5. The system of system of claim 2, wherein the RAV component is further configured to perform determining a size of existing positions of a same type as the financial instrument.

6. The system of claim 5, wherein the permitting of the matching is further in response to determining that the size of existing positions of the same type does not exceed the position limit.

7. The system of claim 1, wherein the order request corresponds to a contract cluster.

8. The system of claim 7, wherein the contract cluster specifies a relationship between the financial instrument and a second financial instrument.

9. The system of claim 8, further comprising a match engine configured to simultaneously consider the financial instrument and the second financial instrument during matching.

10. The system of claim 8, wherein the relationship is a spread relationship or a strip relationship.

11. A method comprising:

processing, by a risk allocation value (RAV) component implemented by a computer, an order request associated with an account, the order request being associated with an order for a financial instrument and having an order size;

determining a RAV size limit of the account;

determining a combined size based on a size of existing positions of the account and the order size;

permitting matching using the order request if the combined size does not exceed the RAV size limit; and

rejecting the order request if the combined size exceeds the RAV size limit.

12. The method of claim 11, wherein the account is associated with a position limit.

13. The method of claim 12, wherein the position limit is a net long position limit or a net short position limit for a type of contract.

14. The method of claim 13, wherein the type of contract is a commodity contract.

15. The method of system of claim 12, further comprising determining a size of existing positions of a same type as the financial instrument.

16. The method of claim 15, wherein the permitting of the matching is further in response to determining that the size of existing positions of the same type does not exceed the position limit.

17. The method of claim 11, wherein the order request corresponds to a contract cluster.

18. The method of claim 17, wherein the contract cluster specifies a relationship between the financial instrument and a second financial instrument.

19. The method of claim 18, further comprising simultaneously considering the financial instrument and the second financial instrument during matching.

20. The method of claim 18, wherein the relationship is a spread relationship or a strip relationship.