System and Method of Utilizing a Distributed Order Book in an Electronic Trade Match Engine

• US 20120066114A1
• Filed: 11/18/2011
• Published: 03/15/2012
• Est. Priority Date: 03/11/2005
• Status: Active Grant

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Troxel, Charlie Jr., Goldman, Steve
• Granted Patent: US 10,163,151 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/03 Credit; Loans; Processing thereof
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

Methods and systems are providing for minimizing the effects of transmission delays when providing orders for financial instruments. A plurality of order books and match engines may be maintained at geographically dispersed locations. The orders may be synchronized to provide the appearance of a single order book to traders and other users. The plurality of order books and match engines allow traders and other users to transmit orders to the match engine associated with the shortest transmission delay and to access orders pending at other match engines.

Claims

1. A system comprising:

a first match engine located at a first geographic location, wherein the first match engine is configured to match orders using a first order book; and

a second match engine located at a second geographic location, wherein the second match engine is configured to match orders using a second order book,

wherein a data network connects the first match engine and the second match engine, and is configured to carry data used to synchronize at least one of;

the first order book and the second order book.

2. The system of claim 1, wherein a transmission delay associated with transmitting an order from a computer device to the first match engine is different than the transmission delay associated with transmitting an order from the computer device to the first match engine.

3. The system of claim 1, wherein the first match engine is programmed with computer-executable instructions, which when executed by a processor, cause a computer device to:

determine if a best price available to match a received order for a financial instrument is at the first match engine or the second match engine;

attempt to match the order with an order at the first match engine, if the determining identifies that the best price is available at the first match engine; and

attempt to match the order with an order at the second match engine, if the determining identifies that the best price is available at the second match engine.

4. The system of claim 1, wherein the second match engine is programmed with computer-executable instructions, which when executed by a processor, cause a computer device to:

determine if the best price available to match a received order for a financial instrument is at the first match engine or the second match engine;

attempt to match the order with an order at the first match engine, if the determining identifies that the best price is available at the first match engine; and

attempt to match the order with an order at the second match engine, if the determining identifies that the best price is available at the second match engine.

5. The system of claim 1, wherein the data network comprises a high speed fiber optic network.

6. The system of claim 1, wherein the data used to synchronize order books comprises status messages.

7. The system of claim 6, wherein the status messages are formatted in accordance with a protocol that uses out of band signaling, and wherein at least one of the status messages indicates a best bid and offer price for a financial instrument at a match engine.

8. The system of claim 6, wherein the first geographic location is local to a source of the order and the second geographic location is remote from the first geographic location

9. An order matching apparatus comprising:

a computer memory storing at least computer-executable instructions and received orders;

a processor configured to execute the computer-executable instructions to cause the apparatus to;

determine if the best price available to match a received order is at the apparatus or at a remote match engine;

attempt to match the received order with an order at the apparatus based on the determination that the best price to match the received order is available at the apparatus; and

transmit minimal order information to the remote match engine based on the determination that the best price to match the received order is not available at the apparatus.

10. The apparatus of claim 9, wherein the minimal order information comprises identifying information that uniquely identifies the received order.

11. The apparatus of claim 10, wherein the identifying information comprises a serial number.

12. The apparatus of claim 9, wherein the minimal order information further includes information identifying at least one financial instrument, a price, and a quantity.

13. The apparatus of claim 9, further comprising:

a network card configured to communicate with the remote match engine via a high speed fiber optic data network.

14. The apparatus of claim 9, comprising further computer-executable instructions, which when executed by the processor, cause the apparatus to:

create status messages; and

send status messages to the remote match engine.

15. The apparatus of claim 14, wherein the status messages are formatted in accordance with a protocol that uses out of band signaling, and wherein at least one of the status messages indicates a best bid and offer price for a financial instrument at the apparatus.

16. The apparatus of claim 14, wherein the status messages indicates at least one of:

a state of an order book stored in the computer memory, and change in the order book since a previous status message.

17. A method comprising:

receiving an order at a local match engine;

determining, using a computer processor, if a best price available to match a received order for a financial instrument is at the local match engine or a remote match engine;

attempting, using the processor, to match the received order with an order at the local match engine, if the determining identifies that the best price is available at the local match engine;

causing the remote match engine to attempt to match the received order with an order at the remote match engine, if the determining identifies that the best price is available at the remote match engine; and

causing execution of the matched orders.

18. The method of claim 17, further including:

when the received order is not matched, transmitting minimal order information to the remote match engine.

19. The method of claim 17, further including:

transmitting a status message to the remote match engine.

20. The method of claim 17, further including:

synchronizing order books for orders pending at the local match engine and at the remote match engine.