EMBEDDED HARDWARE BASED SYSTEM WHICH PROVIDES REAL-TIME PRE-TRADE RISK ASSESSMENTS FOR MULTIPLE PARTIES AND METHOD THEREOF

• US 20140207649A1
• Filed: 01/31/2014
• Published: 07/24/2014
• Est. Priority Date: 11/17/2010
• Status: Active Grant

• Current Assignee: Fixnetix Ltd. (DXC Technology Company)
• Original Assignee: Fixnetix Ltd. (DXC Technology Company)
• Inventors: Ellis, Paul, Moore, Alasdair, Hughes, Hugh
• Granted Patent: US 9,953,368 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 40/08 Insurance

Abstract

A risk assessment system and method are provided that may be implemented as an embedded hardware based system and method that provide real-time pre-trade risk assessments for multiple parties, in addition to real-time market data and trading connectivity to a variety of liquidity venues. The liquidity venues may include regulated exchanges, ECNs and other financial institutions listing securities, options, futures, commodities, foreign exchange and other financial instruments.

Claims

1. An embedded risk assessment system, comprising:

a surface;

two or more personality modules each installed on the surface and electrically connected to each other, the two or more personality modules being one or more programmable logic devices;

the two or more personality modules being selected from a group consisting of a client personality module, a market participant personality module, a liquidity venue personality module and a market data personality module; and

the two or more personality modules collectively performing pre-trade risk assessment for a client with reduced latency.

2. The system of claim 1, wherein the two or more personality modules are the client personality module, the liquidity venue personality module and the market data personality module, the client personality module having a set of risk data for a particular client, the liquidity venue personality module allowing the client personality module to interact with the liquidity venue to send a trade and receive notifications of a completed trade and the market data personality module gathering data about a particular market and wherein the client personality module and the liquidity venue personality module perform pre-trade risk assessment for the client with reduced latency.

3. The system of claim 1, wherein the two or more personality modules are the client personality module and the liquidity venue personality module, the client personality module having a set of risk data for a particular client, the liquidity venue personality module allowing the client personality module to interact with the liquidity venue to send a trade and receive notifications of a completed trade, and wherein the client personality module and the liquidity venue personality module perform pre-trade risk assessment for the client with reduced latency.

4. The system of claim 1, wherein the two or more personality modules are the market participant personality module and the liquidity venue personality module, the market participant personality module having a set of risk data for a particular market participant, the liquidity venue personality module allowing the market participant personality module to interact with the liquidity venue to send a trade and receive notifications of a completed trade, and wherein the market participant personality module and the liquidity venue personality module perform pre-trade risk assessment for the market participant with reduced latency.

5. The system of claim 1, wherein the two or more personality modules are the market participant personality module, the liquidity venue personality module and the market data personality module, the market participant personality module having a set of risk data for a particular market participant, the liquidity venue personality module allowing the market participant personality module to interact with the liquidity venue to send a trade and receive notifications of a completed trade, the market data personality module gathering data about a particular market, and wherein the market participant personality module and the liquidity venue personality module perform pre-trade risk assessment for the market participant with reduced latency.

6. The system of claim 1, wherein the two or more personality modules are the client personality module, the market participant personality module and the liquidity venue personality module, the client personality module having a set of risk data for a particular client, the market participant personality module storing a set of risk data for a broker in a liquidity venue, the liquidity venue personality module allowing the client personality module and the market participant personality module to interact with the liquidity venue to send a trade and receive notifications of a completed trade, and wherein the client personality module, the market participant personality module and the liquidity venue personality module perform pre-trade risk assessment for the client with reduced latency.

7. The system of claim 1 further comprising a hot spare personality module installed on the surface that stores a set of code for each of the client personality module, the market participant personality module, the liquidity venue personality module and the market data personality module so that the hot spare personality module is swappable for any of the client personality module, the market participant personality module, the liquidity venue personality module and the market data personality module if those personality modules fail.

8. The system of claim 1, wherein the surface is a printed circuit board.

9. The system of claim 1, wherein each of the one or more programmable logic devices is one or more of a Complex Programmable Logic Device, a Field Programmable Gate Array, a Field Programmable Object Array and an Application-Specific Integrated Circuit.

10. The system of claim 3, wherein the two or more personality module are all on an Application-Specific Integrated Circuit.

11. The system of claim 1 further comprising a command and control personality module that perform start-up of the embedded risk assessment system.

12. The system of claim 11, wherein each of the command and control personality module and two or more personality modules poll the other personality modules to determine if a personality module has failed.

13. The system of claim 2, wherein the market data personality module collects real-time data from one or more liquidity venues and converts the real-time data from one or more liquidity venues into common format market data.

14. The system of claim 2, wherein the client personality module performs a market surveillance check for orders in one of the same direction, price, side, price and quantity as an order of the client.

15. The system of claim 2, wherein the liquidity venue is one of a regulated exchange, an ECN and other financial institutions listing securities, options, futures, commodities, foreign exchange and other financial instruments.

16. The system of claim 2, wherein the client personality module controls one or more trades of the client based on the risk data for the particular client.

17. The system of claim 2, wherein the client personality module ensures regulatory compliance of the client by controlling access to multiple liquidity venues.

18. The system of claim 6, where the client personality module provides end of day data of the current risk profile to the market participant personality module for use in other physical locations.

19. The system of claim 11, where the command and control personality module enables remote control by an operator using a remote graphical user interface (GUI).

20. The system of claim 1 further comprising a log audit personality module that keeps a time stamped record of all message flows and configuration changes within the risk assessment system.

21. The system of claim 1 further comprising a market execution personality module that provides a start of day file of the current client risk profile to the client personality module.

22. The system of claim 1 further comprising a service module and log personality module that allows for manual intervention in the event of a trade message being lost or in error.

23. The system of claim 11, wherein the command and control personality module enables the configuration of new and existing personality modules with new risk profiles.

24. The system of claim 11, wherein the command and control personality module provides direct and exclusive control of the Client Personality Modules by the market participant operator.

25. The system of claim 11, wherein the command and control personality module filters the incoming orders from one of the client personality module and the market participant personality module by a dynamic percentage price check in relation to the latest price held within the market data personality module.

26. The system of claim 11, wherein the command and control personality module filters the incoming orders from one of the client personality module and the market participant personality module by a static percentage price check in relation to the market opening price.

27. The system of claim 1 further comprising a status personality module that records incoming order from one of the client personality module and the market participant personality module in order to provide an independent view of the current risk status of orders.

28. The system of claim 1, wherein the incoming orders from one of the client personality module and the market participant personality module are subject to a daily market capitalization amount check in relation to the daily market cap figure held within a static data module.

29. The system of claim 1, wherein the incoming orders from one of the client personality module and the market participant personality module are subject to a traded volume percentage check in relation to an average daily volume held within a static data module.

30. The system of claim 1, wherein the incoming orders from one of the client personality module and the market participant personality module are subject to a traded volume amount check in relation to a total daily volume held within a static data module.

31. The system of claim 1, wherein the incoming orders from one of the client personality module and the market participant personality module are subject to a value at risk (VAR) amount check in relation to the value of the order against the VAR figure held within a static data module and a dynamic market data module.

32. The system of claim 1, wherein the incoming orders from one of the client personality module and the market participant personality module are subject to a lot size validity checks in terms of a static data personality module and a start of day file.

33. The system of claim 1, wherein the incoming orders from one of the client personality module and the market participant personality module are subject to a tick size validity checks in terms of a static data personality module and a start of day file.

34. The system of claim 1, wherein the incoming orders from one of the client personality module and the market participant personality module are subject to validity checks in terms of valid order types allowable by the liquidity venue personality module.

35. The system of claim 22, wherein the service module and log personality allows the operator to manually correct prices that have been wrongly sent by the liquidity venue personality module.

36. The system of claim 1, wherein the risk assessment system maintains a list of locked instruments that one of the client or market participant are not authorised to trade.

37. The system of claim 1, wherein the liquidity venue personality module replicates the liquidity trading venue rules in order to calculate compliance with the liquidity venue rules prior to sending an order to that liquidity venue.

38. The system of claim 1, wherein the Liquidity Venue personality module communicates with the client personality module to provide acknowledgement of orders &

completions to the client or market participant.

39. The system of claim 1, wherein each client personality module maintains a record of trading data for orders or transactions by that client throughout the trading period in order to calculate real-time trading capability by combining the pre-trade risk parameters set by the operator and the data from any transactions or orders subsequent to the pre-trade risk parameters being set.

40. The system of claim 1, wherein any order is validated against all pre-trade checks and forwarded to any liquidity venue only if this order has passed all of those pre-trade checks or rejected and not sent to the liquidity venue in the event of a limit breach.

41. The system of claim 1, wherein any order is rejected by the system will result in a message of rejection to be sent to the client and Market Participant.

42. A method for providing risk assessment, comprising:

providing a surface having two or more personality modules each installed on the surface and electrically connected to each other, the two or more personality modules being one or more programmable logic devices, the two or more personality modules being selected from a group consisting of a client personality module, a market participant personality module, a liquidity venue personality module and a market data personality module; and

collectively performing, by the two or more personality modules, a pre-trade risk assessment for a client with reduced latency.

43. The method of claim 42, wherein the two or more personality modules are the client personality module, the liquidity venue personality module and the market data personality module and further comprising storing, in the client personality module, a set of risk data for a particular client, interacting, using the liquidity venue personality module, the client personality module with the liquidity venue to send a trade and receive notifications of a completed trade and gathering, using the market data personality module, data about a particular market and performing, using the client personality module and the liquidity venue personality module, pre-trade risk assessment for the client with reduced latency.

44. The method of claim 42, wherein the two or more personality modules are the client personality module and the liquidity venue personality module and further comprising storing, in the client personality module, a set of risk data for a particular client, interacting, using the liquidity venue personality module, the client personality module with the liquidity venue to send a trade and receive notifications of a completed trade, and performing, using the client personality module and the liquidity venue personality module, pre-trade risk assessment for the client with reduced latency.

45. The method of claim 42, wherein the two or more personality modules are the market participant personality module and the liquidity venue personality module, and further comprising storing, in the market participant personality module, a set of risk data for a particular market participant, interacting, using the liquidity venue personality module, the market participant personality module with the liquidity venue to send a trade and receive notifications of a completed trade, and performing, using the market participant personality module and the liquidity venue personality module, pre-trade risk assessment for the market participant with reduced latency.

46. The method of claim 42, wherein the two or more personality modules are the market participant personality module, the liquidity venue personality module and the market data personality module, and further comprising storing, in the market participant personality module, a set of risk data for a particular market participant, interacting, using the liquidity venue personality module, the market participant personality module with the liquidity venue to send a trade and receive notifications of a completed trade, gathering, using the market data personality module, data about a particular market, and performing, using the market participant personality module and the liquidity venue personality module, pre-trade risk assessment for the market participant with reduced latency.

47. The method of claim 42, wherein the two or more personality modules are the client personality module, the market participant personality module and the liquidity venue personality module and further comprising storing, in the client personality module, a set of risk data for a particular client, storing, in the market participant personality module, a set of risk data for a broker in a liquidity venue, interacting, using the liquidity venue personality module, the client personality module and the market participant personality module with the liquidity venue to send a trade and receive notifications of a completed trade, and performing, using the client personality module, the market participant personality module and the liquidity venue personality module, pre-trade risk assessment for the market participant with reduced latency.

48. The method of claim 42 further comprising swapping a hot spare personality module installed on the surface into the embedded hardware system if one of the client personality module, the market participant personality module, the liquidity venue personality module and the market data personality module fail.

49. The method of claim 42 performing, using a command and control personality module, start-up of the embedded risk assessment method.

50. The method of claim 49 further comprising polling, by each of the command and control personality module and two or more personality modules, the other personality modules to determine if a personality module has failed.

51. The method of claim 43 further comprising collecting, by the market data personality module, real-time data from one or more liquidity venues and converts the real-time data from one or more liquidity venues into common format market data.

52. The method of claim 43 further comprising performing, by the client personality module, a market surveillance check for orders in one of the same direction, price, side, price and quantity as an order of the client.

53. The method of claim 43 further comprising controlling, by the client personality module, one or more trades of the client based on the risk data for the particular client.

54. The method of claim 43 further comprising ensuring, by the client personality module, regulatory compliance of the client by controlling access to multiple liquidity venues.

55. The method of claim 47 further comprising providing, by the client personality module, an end of day data of the current risk profile to the market participant personality module for use in other physical locations.

56. The method of claim 49 further comprising enabling, by the command and control personality module, remote control by an operator using a remote graphical user interface (GUI).

57. The method of claim 42 further comprising maintaining, by a log audit personality module, a time stamped record of all message flows and configuration changes within the risk assessment.

58. The method of claim 42 further comprising providing, by a market execution personality module, a start of day file of the current client risk profile to the client personality module.

59. The method of claim 42 further comprising allowing, by a service module and log personality module, manual intervention in the event of a trade message being lost or in error.

60. The method of claim 49 further comprising enabling, by the command and control personality module, the configuration of new and existing personality modules with new risk profiles.

61. The method of claim 49 further comprising providing, by the command and control personality module, direct and exclusive control of the Client Personality Modules by the market participant operator.

62. The method of claim 49 further comprising filtering the incoming orders from one of the client personality module and the market participant personality module by a dynamic percentage price check in relation to the latest price held within the market data personality module.

63. The method of claim 49 further comprising filtering the incoming orders from one of the client personality module and the market participant personality module by a static percentage price check in relation to the market opening price.

64. The method of claim 42 further comprising recording, by a status personality module, incoming order from one of the client personality module and the market participant personality module in order to provide an independent view of the current risk status of orders.

65. The method of claim 42 further comprising performing for the incoming orders from one of the client personality module and the market participant personality module a daily market capitalization amount check in relation to the daily market cap figure held within a static data module.

66. The method of claim 42 further comprising performing for the incoming orders from one of the client personality module and the market participant personality module a traded volume percentage check in relation to an average daily volume held within a static data module.

67. The method of claim 42 further comprising performing for the incoming orders from one of the client personality module and the market participant personality module a traded volume amount check in relation to a total daily volume held within a static data module.

68. The method of claim 42 further comprising performing for the incoming orders from one of the client personality module and the market participant personality module a value at risk (VAR) amount check in relation to the value of the order against the VAR figure held within a static data module and a dynamic market data module.

69. The method of claim 42 further comprising performing for the incoming orders from one of the client personality module and the market participant personality module a lot size validity checks in terms of a static data personality module and a start of day file.

70. The method of claim 42 further comprising performing for the incoming orders from one of the client personality module and the market participant personality module a tick size validity checks in terms of a static data personality module and a start of day file.

71. The method of claim 42 further comprising performing for the incoming orders from one of the client personality module and the market participant personality module a validity check in terms of valid order types allowable by the liquidity venue personality module.

72. The method of claim 42 further comprising allowing the operator to manually correct prices that have been wrongly sent by the liquidity venue personality module.

73. The method of claim 42 further comprising maintaining a list of locked instruments that one of the client or market participant are not authorised to trade.

74. The method of claim 42 further comprising replicating, by the liquidity venue personality module, a set of liquidity trading venue rules in order to calculate compliance with the liquidity venue rules prior to sending an order to that liquidity venue.

75. The method of claim 42 further comprising providing, by the Liquidity Venue personality module, acknowledgement of orders and completions to the client or market participant.

76. The method of claim 42 further comprising maintaining a record of trading data for orders or transactions by that client throughout the trading period in order to calculate real-time trading capability by combining the pre-trade risk parameters set by the operator and the data from any transactions or orders subsequent to the pre-trade risk parameters being set.

77. The method of claim 42 further comprising validating any order against all pre-trade checks and forwarded to any liquidity venue only if this order has passed all of those pre-trade checks or rejected and not sent to the liquidity venue in the event of a limit breach.

78. The method of claim 42 further comprising sending a message of rejection to the client and the Market Participant when an order is rejected.