RULE BASED EXCHANGE SIMULATOR

• US 20150025873A1
• Filed: 07/16/2013
• Published: 01/22/2015
• Est. Priority Date: 07/16/2013
• Status: Active Grant

• Current Assignee: Bank of America Corp.
• Original Assignee: Bank of America Corp.
• Inventors: Khan, Rehman Ahmed, Aravala, Srinivasa Rao, Shahapurkar, Suhas Prakash
• Granted Patent: US 9,754,323 B2
• Time in Patent Office: Days
• US Class Current: 703/21
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

Methods, systems, and computer-readable media for providing a rule based exchange simulator are presented. A plurality of rules may be received at an exchange simulator that define how orders should be processed at the exchange simulator. The received rules may be stored, for instance, at a rules engine. For example, rules may comprise a fill rule, a cancel rule, a reject rule, a no acknowledgment rule, and a market data rule. An order that comprises a stock exchange order may be received at the exchange simulator. For example, an order may comprise a buy or sell order for a particular instrument, such as a stock, and may comprise a particular quantity. Based on the one or more rules stored in the rules engine, the received order may be fully filled, partially filled, or not filled.

Claims

1. A computer implemented method, comprising:

receiving, at an exchange simulator, a plurality of rules, wherein the rules comprise rules to process orders received at the exchange simulator;

storing the plurality of rules;

receiving an order from a client, wherein the order comprises a stock exchange order that includes an instrument;

determining one or more rules from the plurality of rules that apply to the received order based on the instrument;

processing the received order based on the one or more determined rules, wherein the processing comprises;

filling at least a portion of the order when the one or more determined rules define that the received order should be filled; and

not filling the order when the one or more determined rules define that the received order should not be filled.

2. A method of claim 1, wherein the received rules comprise at least one of a fill rule, a reject rule, a cancel rule, a no acknowledgment rule, and a market data rule.

3. A method of claim 1, wherein not filling the order further comprises:

determining that one or more of the determined rules comprises a reject rule;

not filling the order based on the reject rule.

4. A method of claim 1, wherein the received order comprises a quantity.

5. A method of claim 4, wherein filling at least a portion of the order further comprises:

determining, based on the instrument and quantity for the order, that one or more of the determined rules define a quantity to be filled for the order;

filling the defined quantity for the order.

6. A method of claim 4,

wherein the defined quantity is less than the quantity for the order, and

wherein filing the defined quantity further comprises not filling the difference between the defined quantity and the quantity for the order.

7. A method of claim 4, wherein one of the determined rules comprises a market data rule that defines a price and a variance for the instrument for the order.

8. A method of claim 4, wherein a price for the instrument for the order is based on a price polled from a live exchange.

9. A method of claim 1, wherein the plurality of received rules configure the exchange simulator to simulate hours of operation for an exchange located in a time zone.

10. A method of claim 9, wherein the order is not filled based on the order being received at a time outside of the hours of operation.

11. A system comprising:

a first computing device, with a processor, further comprising;

a rules engine configured to;

receive a plurality of rules, wherein the rules comprise rules to process orders received at an exchange simulator;

store the plurality of rules;

an exchange simulator configured to;

receive an order from a client, wherein the order comprises a stock exchange order that includes an instrument;

determine one or more rules from the rules engine that apply to the received order based on the instrument;

process the received order based on the one or more determined rules, wherein the processing comprises;

filling at least a portion of the order when the one or more determined rules define that the received order should be filled; and

not filling the order when the one or more determined rules define that the received order should not be filled.

12. A system of claim 11, wherein the received rules comprise at least one of a fill rule, a reject rule, a cancel rule, a no acknowledgment rule, and a market data rule.

13. A system of claim 11, wherein not filling the order further comprises:

determining that one or more of the determined rules comprises a reject rule;

not filling the order based on the reject rule.

14. A system of claim 11, wherein the received order comprises an instrument and a quantity.

15. A system of claim 14, wherein filling at least a portion of the order further comprises:

determining, based on the instrument and quantity for the order, that one or more of the determined rules define a quantity to be filled for the order;

filling the defined quantity for the order.

16. A system of claim 14,

wherein the defined quantity is less than the quantity for the order, and

wherein filing the defined quantity further comprises not filling the difference between the defined quantity and the quantity for the order.

17. A system of claim 14, wherein one of the determined rules comprises a market data rule that defines a price and a variance for the instrument for the order.

18. A system of claim 14, wherein a price for the instrument for the order is based on a price polled from a live exchange.

19. A system of claim 11, wherein the plurality of received rules configure the exchange simulator to simulate hours of operation for an exchange located in a time zone.

20. One or more non-transitory computer readable media having stored thereon instructions that, when executed by an apparatus, cause the apparatus to:

receive a plurality of rules, wherein the rules comprise rules to process orders received at an exchange simulator;

store the plurality of rules;

receive an order from a client, wherein the order comprises a stock exchange order that includes an instrument;

determine one or more rules from the plurality of rules that apply to the received order based on the instrument;

process the received order based on the one or more determined rules, wherein the processing comprises;

filling at least a portion of the order when the one or more determined rules define that the received order should be filled; and

not filling the order when the one or more determined rules define that the received order should not be filled.