ACCELERATED TRADE MATCHING USING SPECULATIVE PARALLEL PROCESSING

• US 20150006355A1
• Filed: 09/15/2014
• Published: 01/01/2015
• Est. Priority Date: 09/15/2009
• Status: Active Grant

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Liberman, Stanislav, Colligan, Michael H., Raitsev, James
• Granted Patent: US 11,410,231 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 40/06 Asset management; Financial planning or analysis

Abstract

An electronic trading system is configured to create speculative orders based on real orders. The speculative order differs from the real order by the price, quantity, or the type of financial instrument. The match engine chooses one or more speculative orders in an attempt to predict the next real order. Even though processing multiple trades at the same time is impossible, the use of speculative orders can permit the match engine to perform the calculations involved with the trade and generate the messages associated with the trade ahead of time. If the prediction was correct and the next order received by the match engine corresponds to one of the speculative orders, some of the matching activity has already been performed. This in effect, allows the match engine to process trades more efficiently and increases the total trading volume that can be handled by the electronic trading system.

Claims

1. A computer implemented method of matching orders, the method comprising:

receiving, by a processor operative to execute program logic stored on a computer readable medium, a first real order;

generating, by the processor responsive to a determination that the first real order has not been filled by one or more previously received but unfilled orders counter thereto, at least one speculative order which corresponds to at least one other real order that is counter to the first real order and which is predicted to be, but not yet, received;

commencing, by the processor based on the at least one speculative order, performance of at least a portion of calculations involved with matching the first real order with the yet-to-be received corresponding at least one other real order, as if it had been received, and generating a plurality of messages associated therewith;

receiving, by the processor subsequent to at least the generating of the at least one speculative order, a second real order corresponding to one of the at least one speculative order; and

executing, by the processor, a trade based on the second real order and the first real order, the executing comprising utilizing the plurality of messages generated by the processor.

2. The method of claim 1, further comprising:

determining, by the processor, a price of the at least one speculative order based on a price of the first real order.

3. The method of claim 2 wherein the price of the at least one speculative order differs from the price of the first real order by a multiple of price ticks.

4. The method of claim 1, further comprising:

determining, by the processor, a price of the at least one speculative order based on a trend of the market or a trend of a financial instrument underlying the first real order, based on economic indicators, based on a statistical analysis or based on a scheduled market event or a financial announcement.

5. The method of claim 1, wherein each of the at least one speculative order differs from another of the at least one speculative order by price, quantity and/or type of instrument, each corresponding to potential variation of a real order counter to the first order which may possibly be received.

6. The method of claim 5, wherein the differences between each of the at least one speculative order are randomly determined.

7. The method of claim 1 wherein the number of speculative orders generated is based on a defined probability of one of receiving the second real order within a defined period of time subsequent to receipt of the first real order.

8. The method of claim 1, wherein the plurality of messages include messages to be delivered to at least one trading entity, to an exchange or to a market data server.

9. An electronic trading system comprising:

a match engine processor, operative to execute program logic stored on a computer readable medium, for receiving a first real order, generating, responsive to a determination that the first real order has not been filled by one or more previously received but unfilled orders, at least one speculative order which corresponds to at least one other real order that is counter to the first real order and which is predicted to be, but not yet, received, and performing, based on the at least one speculative order, at least a portion of calculations involved with matching the first real order with the yet-to-be received corresponding at least one other real order, as if it had been received, and generating a plurality of messages associated therewith; and

a gatekeeper processor, operative to execute program logic stored on a computer readable medium, in communication with both the match engine processor for executing, upon receipt of a second real order subsequent to at least the generation of the at least one speculative order which corresponds thereto, a trade between the first real order and the second real order utilizing the previously generated plurality of messages.

12. The electronic trading system of claim 12, wherein a price of the speculative order is based on a trend of the market or a trend of a financial instrument underlying the first real order, based on economic indicators, based on a statistical analysis, or based on a scheduled market event or a financial announcement.

10. The electronic trading system of claim 12, wherein a price of the at least one speculative order is based on a price of the first real order.

11. The electronic trading system of claim 12, wherein the price of the at least one speculative order differs from the price of the first real order by a multiple of price ticks.

13. The electronic trading system of claim 12, wherein each of the at least one speculative order differs from another of the at least one speculative order by price, quantity and/or type of instrument, each corresponding to potential variation of a real order counter to the first order which may possibly be received.

14. The electronic trading system of claim 12, wherein the differences between each of the at least one speculative order are randomly determined.

15. The electronic trading system of claim 12, wherein wherein the number of speculative orders generated is based on a defined probability of one of receiving the second real order within a defined period of time subsequent to receipt of the first real order.

16. The electronic trading system of claim 12, wherein the plurality of messages include messages to be delivered to at least one trading entity, to an exchange, or to a market data server.

17. The electronic trading system of claim 12, wherein the plurality of messages include messages to be published comprising information related to price or quantity.

18. The electronic trading system of claim 12, wherein the match processor is part of a grid computing network, a cloud computing network, or a symmetric multiprocessing computer architecture.

19. A computer implemented match engine comprising:

a processor operative to execute program logic stored on a computer readable medium,

a first matcher module implemented by the processor for receiving a first real order, and determining, based thereon, if the first real order has been filled by one or more previously received but unfilled orders counter thereto;

a second matcher module implemented by the processor for;

generating, responsive to the determination that the first real order has not been filled, at least one speculative order which corresponds to at least one other real order that is counter to the first real order and which is predicted to be, but not yet, received;

commencing, based on the at least one speculative order, performance of calculations involved with matching the yet-to-be-received at least one other order and the first real order as if it had been received; and

generating a plurality of outgoing messages based thereon; and

a gatekeeper module implemented by the processor for executing, upon receipt of a second real order subsequent to at least the generation of the at least one speculative order which corresponds thereto, a trade between the first real order and the second real order utilizing the plurality of outgoing messages.

20. A computer implemented method of matching orders, the method comprising:

receiving, by a processor operative to execute program logic stored on a computer readable medium, a first real order;

pre-calculating, by the processor based on a determination that the first real order has not been filled by one or more previously received but unfilled orders counter thereto, one more matched trades between the first real order and one or more speculative real orders counter to the first real order which may potentially be later received and pre-generating a plurality of messages associated with each of the one or more pre-calculated matched trades; and

executing, by the processor upon receipt of a second real order corresponding to one of the one or more speculative real orders, a trade between the second real order and the first real order utilizing the pre-generated plurality of messages associated with the pre-calculated matched trade between the corresponding one of the one of more speculative real orders and the first real order.