TRANSACTIONALLY DETERMINISTIC HIGH SPEED FINANCIAL EXCHANGE HAVING IMPROVED, EFFICIENCY, COMMUNICATION, CUSTOMIZATION, PERFORMANCE, ACCESS, TRADING OPPORTUNITIES, CREDIT CONTROLS, AND FAULT TOLERANCE

• US 20170262935A1
• Filed: 05/26/2017
• Published: 09/14/2017
• Est. Priority Date: 11/07/2013
• Status: Active Grant

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Studnitzer, Ari, Bonig, Zachary, Eavy, Ryan, Kmiec, Frank, Galster, Barry, Callaway, Paul, Doornebos, Jacques, Coffey, Matthew
• Granted Patent: US 10,445,832 B2
• Time in Patent Office: Days
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/02 Banking, e.g. interest calculation or account maintenance credit or loans G06Q40/03
• 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
• CPC Class Codes: G06Q 40/08 Insurance

Abstract

The disclosed embodiments relate to implementation of a trading system, which may also be referred to as a trading system architecture, having improved performance which further assures transactional determinism under increasing processing transaction loads while providing improved trading opportunities, fault tolerance, low latency processing, high volume capacity, risk mitigation and market protections with minimal impact, as well as improved and equitable access to information and opportunities.

Claims

1. A system for processing a plurality of financial transactions each operative to cause a change in a current state of an electronic marketplace for one or more financial products, the system comprising:

a first logic component operative to receive each of the plurality of financial transactions and, upon receipt, augment each received financial transaction with sequence data indicative of a relationship between the received financial transaction and any previously received financial transaction, and communicate the augmented financial transaction to each of a plurality of hardware transaction processors coupled with the first logic, each being operative to redundantly process the received augmented financial transaction in accordance with the sequence data to determine a potential change in the current state of the electronic marketplace caused thereby; and

a third logic component coupled with the plurality of hardware transaction processors and operative to receive therefrom at least one of the determined potential changes in the state of the electronic marketplace for each processed augmented financial transaction and, based thereon, determine a selected potential change in the current state of the electronic marketplace for the processed augmented financial transaction and apply the selected potential change in the current state of the electronic marketplace to update the actual state of the electronic marketplace, the current state of the electronic marketplace now reflective thereof; and

wherein the third logic is further operative to determine that a transaction processor of the plurality of transaction processors is faulty when the determined potential change in the state of the electronic marketplace for a processed augmented financial transaction is not received or fails to agree with the determined potential changes in the state of the electronic marketplace for a processed augmented financial transaction received from at least one other of the plurality of transaction processors, and further wherein, based on the determination that one of the plurality of transaction processors is faulty, the faulty transaction processor is one of reset, rebooted, restarted or replaced with another transaction processor.

2. A system for processing a plurality of financial transactions each operative to cause a change in a current state of an electronic marketplace for one or more financial products, the system comprising:

a transaction receiver coupled with the network and operative to receive each of the plurality of financial transactions and, upon receipt, augment each received financial transaction with sequence data indicative of a relationship between the received financial transaction and any previously received financial transaction, and communicate the augmented financial transaction to each of a plurality of hardware transaction processors coupled with the transaction receiver, each being operative to redundantly process the received augmented financial transaction in accordance with the sequence data to determine a potential change in the current state of the electronic marketplace caused thereby; and

a result arbiter coupled with each of the plurality of hardware transaction processors and operative to receive therefrom at least one of the determined potential changes in the state of the electronic marketplace for each processed augmented financial transaction and, based thereon, determine a selected potential change in the current state of the electronic marketplace for the processed augmented financial transaction and apply the selected potential change in the current state of the electronic marketplace to update the actual state of the electronic marketplace, the current state of the electronic marketplace now reflective thereof; and

wherein the result arbiter further determines that a transaction processor of the plurality of transaction processors is faulty when the determined potential change in the state of the electronic marketplace for a processed augmented financial transaction is not received or fails to agree with the determined potential changes in the state of the electronic marketplace for a processed augmented financial transaction received from at least one other of the plurality of transaction processors and further wherein, based on the determination that one of the plurality of transaction processors is faulty, the faulty transaction processor is one of reset, rebooted, restarted or replaced with another transaction processor.

3. The system of claim 2 wherein the transaction receiver and result arbiter are coupled with a data link layer/network layer of the network.

4. The system of claim 2 wherein the transaction receiver and result arbiter are implemented in a field programmable gate array.

5. The system of claim 2 wherein the relationship indicated by the sequence data of a particular augmented financial transaction with respect to others of the augmented financial transactions is different from the order in which the augmented financial transactions are received by any one of the plurality of transaction processors.

6. The system of claim 2 wherein the relationship indicated by the sequence data comprises a deterministic relationship.

7. The system of claim 2 wherein each of the financial transactions comprises a request to transact in one of the one or more financial products, the processing of each augmented financial transactions comprising identifying whether a previously processed augmented financial transaction remains incomplete and is counter thereto and, if so, indicating that a transaction there between may be completed, and if not, indicating that data indicative of the availability of the augmented financial transaction be stored in a database.

8. The system of claim 2 wherein each of the plurality of transaction processors is operative to periodically perform one or more other functions during which augmented financial transactions are not processed, each of the plurality of transaction processor being further configured to not perform the one or more other functions contemporaneously with the performance of the one or more other functions by the remaining of the plurality of transaction processors, wherein lack of receipt of the determined potential change in the current state of the electronic marketplace by the result arbiter from the transaction processor performing the one or more other functions is not considered indicative of the particular transaction processor is faulty.

9. The system of claim 2 wherein the plurality of financial transactions further comprise a plurality of administrative transactions, each of which does not cause a change in the current state of the electronic marketplace.

10. The system of claim 2 wherein the result arbiter is operative to compare the received determined changes in the state of the electronic marketplace for each processed augmented financial transaction, and determine the selected change in the current state of the electronic market place to be the received determined change in the state of the electronic marketplace for each processed augmented financial transaction provided by the plurality of transaction processors.

11. The system of claim 2 wherein the processing of received augmented financial transactions implements a central limit order book of a financial market for at least one financial instrument.

12. The system of claim 2 wherein each of the plurality transaction processors operates asynchronously with respect to the others of the plurality of transaction processors.

13. A computer implemented method for processing a plurality of financial transactions each operative to cause a change in a current state of an electronic marketplace for one or more financial products, the method comprising:

receiving, by a transaction receiver from the network, each of the plurality of financial transactions and, upon receipt, augmenting each received financial transaction with sequence data indicative of a relationship between the received financial transaction and any previously received financial transaction, and communicating the augmented financial transaction to each of a plurality of hardware transaction processors coupled with the transaction receiver, each being operative to redundantly process the received augmented financial transaction in accordance with the sequence data to determine a potential change in the current state of the electronic marketplace caused thereby; and

receiving, by a result arbiter coupled with each of the plurality of hardware transaction processors, at least one of the determined potential changes in the state of the electronic marketplace for each processed augmented financial transaction and, based thereon, determining a selected potential change in the current state of the electronic marketplace for the processed augmented financial transaction and applying the selected potential change in the current state of the electronic marketplace to update the actual state of the electronic marketplace, the current state of the electronic marketplace now reflective thereof; and

determining that a transaction processor of the plurality of transaction processors is faulty when the determined potential change in the state of the electronic marketplace for a processed augmented financial transaction is not received or fails to agree with the determined changes in the state of the electronic marketplace for a processed augmented financial transaction received from at least one other of the plurality of transaction processors and further, based on the determination that one of the plurality of transaction processors is faulty, one of resetting, rebooting, restarting or replacing with another transaction processor the faulty transaction processor.

14. The method of claim 13 wherein the transaction receiver and result arbiter are coupled with a data link layer/network layer of the network.

15. The method of claim 13 wherein the transaction receiver and result arbiter are implemented in a field programmable gate array.

16. The method of claim 13 wherein the relationship indicated by the sequence data of a particular augmented financial transaction with respect to others of the augmented financial transactions is different from the order in which the augmented financial transactions are received by any one of the plurality of transaction processors.

17. The method of claim 13 wherein the relationship indicated by the sequence data comprises a deterministic relationship.

18. The method of claim 13 wherein each of the financial transactions comprises a request to transact in one of the one or more financial products, the processing of each augmented financial transactions comprising identifying whether a previously processed augmented financial transaction remains incomplete and is counter thereto and, if so, indicating that a transaction there between may be completed, and if not, indicating that data indicative of the availability of the augmented financial transaction be stored in a database.

19. The method of claim 13 wherein each of the plurality of transaction processors is operative to periodically perform one or more other functions during which augmented financial transactions are not processed, each of the plurality of transaction processor being further configured to not perform the one or more other functions contemporaneously with the performance of the one or more other functions by the remaining of the plurality of transaction processors, wherein lack of receipt of the determined potential change in the current state of the electronic marketplace by the result arbiter from the transaction processor performing the one or more other functions is not considered indicative of the particular transaction processor is faulty.

20. The method of claim 13 wherein the plurality of financial transactions further comprise a plurality of administrative transactions, each of which does not cause a change in the current state of the electronic marketplace.

21. The method of claim 13 further comprising comparing the received determined changes in the state of the electronic marketplace for each processed augmented financial transaction, and determining the selected change in the current state of the electronic market place to be the received determined change in the state of the electronic marketplace for each processed augmented financial transaction provided by the plurality of transaction processors.

22. The method of claim 13 wherein the processing of received augmented financial transactions implements a central limit order book of a financial market for at least one financial instrument.

23. The method of claim 13 wherein each of the plurality transaction processors operates asynchronously with respect to the others of the plurality of transaction processors.

24. A system for processing a plurality of financial transactions each operative to cause a change in a current state of an electronic marketplace for one or more financial products, the system comprising:

means for receiving each of the plurality of financial transactions and, upon receipt, augmenting each received financial transaction with sequence data indicative of a relationship between the received financial transaction and any previously received financial transaction, and communicating the augmented financial transaction to each of a plurality of hardware transaction processors coupled with the means for receiving, each being operative to redundantly process each received augmented financial transaction in accordance with the sequence data to determine a potential change in the current state of the electronic marketplace caused thereby; and

means for receiving at least one of the determined potential changes in the state of the electronic marketplace for each processed augmented financial transaction and, based thereon, determining a selected potential change in the current state of the electronic marketplace for the processed augmented financial transaction and applying the selected potential change in the current state of the electronic marketplace to update the actual state of the electronic marketplace, the current state of the electronic marketplace now reflective thereof; and

means for determining that a transaction processor of the plurality of transaction processors is faulty when the determined potential change in the state of the electronic marketplace for a processed augmented financial transaction is not received or fails to agree with the determined changes in the state of the electronic marketplace for a processed augmented financial transaction received from at least one other of the plurality of transaction processors and further, based on the determination that one of the plurality of transaction processors is faulty, one of resetting, rebooting, restarting or replacing with another transaction processor the faulty transaction processor.