System and Methods for Risk-Based Prioritized Transaction Message Flow

• US 20110145125A1
• Filed: 12/15/2009
• Published: 06/16/2011
• Est. Priority Date: 12/15/2009
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Mittal, Bharat, Foygel, Alexander V.
• Granted Patent: US 8,380,575 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 30/0601 Electronic shopping [e-shopping]
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

Various systems and methods are provided for prioritized sending of transaction messages to an electronic exchange. According to one embodiment, a system determines a priority level for each transaction message based on a potential monetary reward or risk associated with sending or delaying the message. Once the priority levels are determined, the messages may be sent based on the priority levels. Additionally, each priority level may be associated with a predetermined threshold level. If a message threshold is reached, a new message corresponding to that priority level is queued until the message may be transmitted without exceeding the threshold limit.

Claims

1. A method for sending transaction messages to an electronic exchange, comprising:

determining, at a computing device, that a first transaction message and a second transaction message are to be sent to at least one electronic exchange at substantially the same time;

determining, by the computing device, that the first transaction message has a higher priority level based on a level of risk of not sending the first transaction message, wherein the level of risk is based at least on a price level of an order associated with the first transaction message and further based on a quantity of the order; and

responsive to the step of determining, sending the first transaction message to a first electronic exchange prior to sending the second transaction message to a second electronic exchange.

2. The method of claim 1, wherein the first electronic exchange is the same as the second electronic exchange.

3. The method of claim 1, wherein the first electronic exchange and the second electronic exchange are different electronic exchanges.

4. The method of claim 1, wherein at least one of the first transaction message and the second transaction message comprises an order to buy or sell a tradeable object.

5. The method of claim 1, wherein at least one of the first transaction message and the second transaction message comprises a request to modify an order parameter.

6. The method of claim 5, wherein the order parameter comprises an order price.

7. The method of claim 5, wherein the order parameter comprises an order quantity.

8. The method of claim 5, wherein at least one of the first transaction message and the second transaction message comprises a request to cancel an order.

9. The method of claim 1, wherein at least one of the first transaction message and the second transaction is associated with an order type.

10. The method of claim 1, wherein the price level is based on market data related to at least one tradeable object.

11. The method of claim 1, wherein the price level comprises an inside market price of a tradeable object.

12. The method of claim 1, wherein the level of risk is based on a potential monetary reward of sending the first transaction message as soon as possible.

13. The method of claim 1, wherein the level of risk is based on a potential monetary risk of not sending the first transaction message as soon as possible.

14. The method of claim 1, wherein the level of risk is further based on a market volatility corresponding to a tradeable object associated with the first transaction message.

15. The method of claim 1, wherein the level of risk is further based on a tick value corresponding to a tradeable object associated with the first transaction message.

16. A method for processing transaction messages in an electronic trading environment, comprising:

determining, at a computing device, that a first transaction message and a second transaction message are to be sent to at least one electronic exchange at substantially the same time;

determining a priority level for each of the first transaction message and the second transaction message based on a level of risk of not sending the first transaction message and the second transaction message to at least one electronic exchange, wherein the level of risk for each of the first transaction message and the second transaction message is based at least on a price level and a quantity of an order associated with each transaction message;

determining that the first transaction message has a higher priority level;

determining a threshold limit associated with the priority level of the first transaction message; and

if the threshold limit is not reached, sending the first transaction message to a first electronic exchange prior to sending the second transaction message to a second electronic exchange.

17. The method of claim 16, further comprising:

if the threshold limit is reached, storing the first transaction message in a queue associated with the priority level until a predetermined event is detected.

18. The method of claim 16, wherein the first electronic exchange is the same as the second electronic exchange.

19. The method of claim 16, wherein the first electronic exchange and the second electronic exchange are different electronic exchanges.

20. The method of claim 16, wherein at least one of the first transaction message and the second transaction message comprises an order to buy or sell a tradeable object.

21. The method of claim 16, wherein at least one of the first transaction message and the second transaction message comprises a request to modify an order parameter.

22. The method of claim 21, wherein the order parameter comprises an order price.

23. The method of claim 21, wherein the order parameter comprises an order quantity.

24. The method of claim 21, wherein at least one of the first transaction message and the second transaction message comprises a request to cancel an order.

26. The method of claim 16, wherein the level of risk is based on a potential monetary reward of sending the first transaction message as soon as possible.

27. The method of claim 16, wherein the level of risk is based on a potential monetary risk of not sending the first transaction message as soon as possible.

28. The method of claim 16, wherein the level of risk associated with each of the first transaction message and the second transaction message is further based on a market volatility corresponding to a tradeable object associated with each of the first transaction message and the second transaction message.

29. The method of claim 16, wherein the level of risk associated with each of the first transaction message and the second transaction message is further based on a tick value corresponding to a tradeable object associated with each of the first transaction message and the second transaction message.