Message Processing

• US 20140040062A1
• Filed: 08/02/2012
• Published: 02/06/2014
• Est. Priority Date: 08/02/2012
• Status: Active Grant

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Studnitzer, Ari, Scimeca, Giuseppe, Doornebos, Jacob, Ball, Nathan, Arner, Wayne G. II, Scheerer, John, Reithel, Christopher, Wolf, Brian
• Granted Patent: US 10,733,669 B2
• Time in Patent Office: Days
• US Class Current: 705/26.3
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

Systems and methods are provided for scoring the use of financial market messages. Uses of messages that are efficient and/or improve market liquidity receive positive scores. Traders are charge fees or receive rewards that are dependent upon message quality scores.

Claims

1. A method of processing financial market messages comprising:

(a) receiving at a trading engine a financial market message;

(b) determining at the trading engine a message quality score; and

(c) transmitting from a trading engine an outgoing message that includes the message quality score.

2. The method of claim 1, wherein the financial market message comprises an order for a derivative product.

3. The method of claim 1, wherein (b) comprises assigning a message quality value corresponding to a message type.

4. The method of claim 3, wherein message types comprise new order messages, cancel messages and modify messages.

5. The method of claim 4, wherein a message value corresponding to a modify message type is less than the average of the message value corresponding to the new order message type and the message value corresponding to the cancel message type.

6. The method of claim 1, wherein the message quality score is a function of a change in price level from a best bid or a best offer.

7. The method of claim 6, wherein the message quality score increases as the price level moves away from a best bid or best offer.

8. The method of claim 6, wherein the message quality score is a function of an order size.

9. The method of claim 8, wherein the message quality score increases as the order size decreases.

10. The method of claim 8, wherein the message quality score is a function of a time that an order has been in the market.

11. The method of claim 10, wherein the message quality score decreases as an order has been in the market longer.

12. The method of claim 10, wherein the message quality score is a weighted sum of:

a change in price level from a best bid or a best offer

order size; and

a time that an order has been in the market.

13. The method of claim 12, wherein weights used in the weighted sum are a function of a financial market corresponding to the message received in (a).

14. The method of claim 13, wherein the weights used in the weighted sum are a function of market activity in the financial market corresponding to the message received in (a).

15. The method of claim 1, further including:

(d) aggregating a plurality of message quality scores into an aggregate message quality score for a trading entity.

16. The method of claim 15, further including:

(e) determining at a computer device a fee corresponding to the aggregate message quality score.

17. The method of claim 1, further including:

(d) determining a message volume control limit as a function of the message quality score determined in (b).

18. A computer-readable medium containing computer-executable instructions for performing the steps comprising:

(a) receiving a financial market message;

(b) determining a message quality score; and

(c) transmitting an outgoing message that includes the message quality score.

19. The computer-readable medium of claim 18, wherein (b) comprises assigning a message value corresponding to a message type.

20. The computer-readable medium of claim 18, further including:

(d) determining a message volume control limit as a function of the message quality score determined in (b).

21. A method of processing financial market messages comprising:

(a) receiving at a computer device a financial market message;

(b) determining at the computer device a message quality score; and

(c) transmitting from a computer device an outgoing message that includes the message quality score.