Method and apparatus for message flow and transaction queue management

• US 7,124,110 B1
• Filed: 07/15/2002
• Issued: 10/17/2006
• Est. Priority Date: 07/15/2002
• Status: Expired due to Term

• Current Assignee: Trading Technologies, Inc. (Trading Technologies International, Inc.)
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Garrison, David, Schluetter, Jens-Uwe, Kemp, Gary Allan II, Mintz, Sagy
• Primary Examiner(s): BULLOCK JR, LEWIS ALEXANDER
• Application Number:
  US10/196,056
• Time in Patent Office: 1,555 Days
• Field of Search: 709/100, 709/101, 709200-253, 705/37, 705 1- 45, 718/100
• US Class Current: 705/37
• CPC Class Codes: G06F 9/546 Message passing systems or structures, e.g. queues
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

Management of transaction message flow utilizing a transaction message queue. The system and method are for use in financial transaction messaging systems. The system is designed to enable an administrator to monitor, distribute, control and receive alerts on the use and status of limited network and exchange resources. Users are grouped in a hierarchical manner, preferably including user level and group level, as well as possible additional levels such as account, tradable object, membership, and gateway levels. The message thresholds may be specified for each level to ensure that transmission of a given transaction does not exceed the number of messages permitted for the user, group, account, etc.

Claims

1. A method of managing financial transaction messages relating to a tradeable object sent from a gateway device over a communication link to a matching process at an electronic exchange, where the tradeable object is being traded on the electronic exchange between buyers and sellers and where the tradeable object has an inside market comprising a highest bid price and a lowest ask price, the method comprising:

receiving a data feed from the electronic exchange over the communication link at the gateway device, wherein the data feed comprises the inside market, which dynamically changes when there is a change in the highest bid price or the lowest ask price as a result of incoming transaction messages being automatically matched by the matching process at the electronic exchange, and wherein the incoming transaction messages are prioritized according to a time when the incoming transaction messages are received at the matching process before being automatically matched;

defining an entity comprising a subset of the elements associated with the gateway device, wherein the entity generates a number of transaction messages that are to be sent through the gateway device to the matching process where the number of transaction messages will be prioritized with other incoming transaction messages according to a time each message is received at the matching process;

assigning a limit associated with the number of transaction messages generated by the entity;

receiving a transaction message from the entity at the gateway device; and

if the assigned limit would be exceeded by transmitting the received transaction message to the matching process, queuing the received transaction message resulting in the received transaction message losing time priority at the matching process if the received transaction message is later transmitted to the matching process, or

if the assigned limit would not be exceeded by transmitting the received transaction message to the matching process, transmitting the received transaction message to the matching process.

2. The method of claim 1 wherein the entity comprises a plurality of users.

3. The method of claim 1 wherein the entity comprises a plurality of users that are trading a particular tradable object.

4. The method of claim 1 wherein the entity comprises a plurality of users that are using a particular software product.

5. The method of claim 1 wherein the entity comprises a member of an exchange.

6. The method of claim 1 wherein the entity comprises a user.

7. The method of claim 1 wherein the entity comprises a group.

8. The method of claim 1 wherein the assigned limit is associated with a number of in-flight transaction messages.

9. The method of claim 1 wherein the received transaction message is an order.

10. The method of claim 1 wherein the assigned limit is associated with the number of transaction messages for the gateway device.

11. The method of claim 1 wherein the assigned limit is associated with the number of transaction messages from a user.

12. The method of claim 1 wherein the assigned limit is automatically modified in response to a number of fills for a user.

13. The method of claim 1 wherein the assigned limit is automatically modified in response to a measure of profitability of a user.

14. The method of claim 1 wherein the assigned limit can be dynamically changed to another limit at any time.

15. The method of claim 14 wherein the assigned limit can be changed manually on the fly.

16. The method of claim 1 further comprising storing the received transaction message in a queue if the limit has been exceeded.

17. The method of claim 16 further comprising:

receiving an additional transaction message related to the transaction message stored in the queue; and

updating the transaction message in the queue.

18. The method of claim 17 wherein the transaction message in the queue is an order message and the additional transaction message is a delete message relating to the order message, and updating the transaction message in the queue comprises replacing the order message with the delete message.

19. The method of claim 17 wherein the transaction message in the queue is an order message and the additional transaction message is a cancel-replace message related to the order message, and updating the transaction message in the queue comprises removing the order message and placing the cancel-replace message in the queue.

20. The method of claim 16 further comprising determining whether a transaction message stored in the queue should be transmitted to the matching process at the exchange based on the limit.

21. The method of claim 1 further comprising the steps of:

defining a second entity; and

assigning a second limit associated with the number of transaction messages generated by the second entity.

22. The method of claim 1 further comprising the step of notifying an administrator when the limit has been reached.

23. The method of claim 1 further comprising the step of notifying a user when a transaction message has been queued.

24. The method of claim 1 wherein the step of queuing the received transaction message is performed in an effort to control transaction message traffic in view of a limited resource, which comprises bandwidth limitations of the communication link between the gateway device and the matching process at the electronic exchange.

25. The method of claim 1 wherein the step of queuing the received transaction message is performed in an effort to control transaction message traffic in view of a limited resource, which comprises limited message-handling capacity by the matching process at the electronic exchange.

26. A method of managing financial transaction messages relating to a tradeable object being traded on an electronic exchange, where the tradeable object is being traded by a matching process at the electronic exchange between buyers and sellers, and wherein the tradeable object has an inside market comprising a highest bid price and a lowest ask price, the method comprising:

receiving a data feed from the electronic exchange, wherein the data feed comprises the inside market, which dynamically changes when there is a change in the highest bid price or the lowest ask price as a result of incoming transaction messages being automatically matched by the matching process at the electronic exchange, and wherein the incoming transaction messages are prioritized according to a time when the incoming transaction messages are received at the matching process before being automatically matched;

designating users based on first and second identification values, wherein the designated users generate a number of transaction messages that are to be sent to the matching process where the number of transaction messages will be prioritized with other incoming transaction messages according to a time each message is received at the matching process;

assigning a limit on the transaction messages based on the first and second identification values;

receiving a transaction message relating to the tradeable object from one of the designated users; and

if the assigned limit would be exceeded by transmitting the received transaction message to the matching process, queuing the received transaction message resulting in the received transaction message losing time priority at the matching process if the received transaction message is later transmitted to the matching process, or

if the assigned limit would not be exceeded by transmitting the received transaction message to the matching process, transmitting the received transaction message to the matching process.

27. The method of claim 26 further comprising the step of transmitting the stored received transaction message to the matching process at the electronic exchange when the assigned limit is no longer exceeded.

28. The method of claim 26 wherein the step of assigning comprises assigning a plurality of limits.

29. The method of claim 26 wherein the assigned limit is associated with a number of in-flight transactions.

30. The method of claim 26 wherein the assigned limit is associated with the number of transaction messages for a gateway.

31. The method of claim 26 wherein the assigned limit is the number of transaction messages for a user.

32. The method of claim 31 wherein the assigned limit for a user is modified in response to a number of fills for that user.

33. The method of claim 31 wherein the assigned limit is modified in response to a measure of profitability of that user.

34. The method of claim 26 wherein users are also associated with at least one tradable object, and wherein assigning a limit on the transaction messages is based on the at least one tradeable object.

35. The method of claim 26 further comprising:

receiving an additional transaction message related to the queued transaction message; and

updating the queued transaction message.

36. The method of claim 35 wherein the queued transaction message is an order message and the additional transaction is a delete message related to the order message, and updating the queued transaction message comprises replacing the order message with the delete message.

37. The method of claim 35 wherein the queued transaction message is an order message and the additional transaction message is a cancel-replace message related to the order message, and updating the queued transaction message comprises removing the order message and queuing the cancel-replace message.

38. The method of claim 26 wherein the step of queuing the received transaction message is performed in an effort to control transaction message traffic in view of a limited resource, which comprises bandwidth limitations of a communication link between a gateway device and the matching process at the electronic exchange.

39. The method of claim 26 wherein the step of queuing the received transaction message is performed in an effort to control transaction message traffic in view of a limited resource, which comprises limited message-handling capacity by the matching process at the electronic exchange.

40. A method of managing financial transaction messages relating to a tradeable object being traded by a matching process at an electronic exchange between buyers and sellers and having an inside market comprising a highest bid price and a lowest ask price, the method comprising:

receiving a data feed from the electronic exchange, wherein the data feed comprises the inside market, which dynamically changes when there is a change in the highest bid price or the lowest ask price as a result of incoming transaction messages being automatically matched by the matching process at the electronic exchange, and wherein the incoming transaction messages are prioritized according to a time when the incoming transaction messages are received at the matching process before being automatically matched;

assigning at least two identification parameters to a user, wherein the at least two identification parameters have a hierarchical relationship wherein the user generates a number of transaction messages that are to be sent to the matching process where the number of transaction messages will be prioritized with other incoming transaction messages according to a time each message is received at the matching process;

allocating message transmission resources according to a plurality of limit parameters, wherein the plurality of limit parameters are associated with the at least two identification parameters, and wherein the plurality of limit parameters are associated with a number of transmitted transaction messages relating to the tradeable object;

receiving a transaction message having an associated plurality of identification parameters; and

if the allocated message transmission resources would be exceeded by transmitting the received transaction message to the matching process, queuing the received transaction message resulting in the received transaction message losing time priority at the matching process if the received transaction message is later transmitted to the matching process, or

if the allocated message transmission resources would not be exceeded by transmitting the received transaction message to the matching process, transmitting the received transaction message to the matching process.

41. The method of claim 40 wherein the identification parameters are specified according to a group name parameter and a user name parameter, wherein a plurality of users have unique user name parameter values and share a common group name parameter value.

42. The method of claim 41 wherein the identification parameters are further specified according to a tradable object parameter, wherein a user has a plurality of unique tradable object parameter values and shares a common user name parameter value.

43. The method of claim 41 wherein the at least two identification parameters include at least two parameters from the group consisting of:

user, account, tradeable object, group, software application and membership.

44. The method of claim 40 wherein the message transmission resources include at least one of the following:

number of in-flight transactions, rate of data transmission, total number of bytes, rate of transaction transmission, and total number of transactions.

45. The method of claim 40 wherein allocating message transmission resources is performed by an administrator.

46. The method of claim 40 wherein allocating message transmission resources is periodically performed in response to measurements of profit associated with the users.

47. The method of claim 40 wherein allocating message transmission resources is performed automatically in response to a number of fills.

48. A computer readable medium containing program instructions for causing a microprocessor to execute the method of claim 40.

49. A method of managing financial transaction messages relating to at least one tradeable object being traded by a matching process at an electronic exchange between buyers and sellers where each tradeable object has an inside market comprising a highest bid and a lowest ask price, the method comprising:

receiving a data feed from the electronic exchange, wherein the data feed comprises the inside market, which dynamically changes when there is a change in the highest bid price or the lowest ask price as a result of incoming transaction messages being automatically matched by the matching process at the electronic exchange, and wherein the incoming transaction messages are prioritized according to a time when the incoming transaction messages are received at the matching process before being automatically matched;

assigning a first limit associated with the number of transaction messages relating to the at least one tradeable object from a first element, wherein the first element generates a number of transaction messages that are to be sent to the matching process where the number of transaction messages will be prioritized with other incoming transaction messages according to a time each message is received at the matching process;

assigning a second limit associated with the number of transaction messages relating to the at least one tradeable object from a plurality of elements wherein the first element is one of the plurality of elements;

receiving a transaction message relating to the at least one tradeable object being traded on the electronic exchange from the first element; and

refraining from sending the transaction message to the matching process at the electronic exchange by queuing the transaction message if either the first limit or the second limit would be exceeded by transmitting the received transaction message to the matching process at the electronic exchange resulting in the received transaction message losing time priority at the matching process if the received transaction message is later transmitted to the matching process, or

transmitting the queued transaction message to the matching process at the electronic exchange when the first limit and the second limit would not be exceeded by transmitting the received transaction message to the matching process.

50. The method of claim 49 wherein the first element and the plurality of elements comprise traders.

51. A method of managing financial transaction messages relating to tradeable objects being traded by a matching process at an electronic exchange between buyers and sellers where each tradeable object has an inside market comprising a highest bid price and a lowest ask price, the method comprising:

receiving a data feed from the electronic exchange, wherein the data feed comprises the inside market, which dynamically changes when there is a change in the highest bid price or the lowest ask price as a result of incoming transaction messages being automatically matched by the matching process at the electronic exchange, and wherein the incoming transaction messages are prioritized according to a time when the incoming transaction messages are received at the matching process before being automatically matched;

arranging a plurality of elements into a hierarchical system of levels, wherein each level comprises at least one element, and wherein the entity comprises at least one element of at least one level;

assigning a limit associated with the entity and associated with the number of transaction messages relating to a tradeable object generated by the entity, wherein the number of transaction messages are to be sent to the matching process and prioritized with other incoming transaction messages according to a time each message is received at the matching process;

receiving a transaction message relating to the tradeable object from an element of the entity; and

if the assigned limit would be exceeded by transmitting the received transaction message to the matching process, queuing the received transaction message resulting in the received transaction message losing time priority at the matching process if the received transaction message is later transmitted to the matching process, or

if the assigned limit would not be exceeded by transmitting the received transaction message to the matching process, transmitting the received transaction message to the matching process.

52. The method of claim 51 wherein the levels comprise at least two from the following:

a gateway level, a membership level, a group level, a user level, a tradable object type level, a tradable object level, and a software application level.

53. A system for throttling financial transaction messages relating to tradeable objects sent from a gateway device over a communication link to a matching process at an electronic exchange, each tradeable object being traded by the matching process at the electronic exchange between buyers and sellers and having an inside market comprising a highest bid price and a lowest ask price, the system comprising:

a first interface for receiving a data feed from the electronic exchange over the communication link, wherein the data feed comprises the inside market, which dynamically changes when there is a change in the highest bid price or the lowest ask price as a result of incoming transaction messages being automatically matched by the matching process at the electronic exchange, and wherein the incoming transaction messages are prioritized according to a time when the incoming transaction messages are received at the matching process before being automatically matched;

a second interface for defining an entity comprising a subset of the elements associated with the gateway device, wherein the entity generates a plurality of transaction messages that are to be sent through the gateway device to the matching process where the plurality of transaction messages will be prioritized with other incoming transaction messages according to a time each message is received at the matching process;

a transaction message queue; and

a transaction message manager for receiving transaction messages relating to each tradeable object and for determining whether to place a received transaction message in the transaction message queue or whether to send the received transaction message to the matching process at the electronic exchange based on a limit associated with the number of transaction messages generated by the entity, such that if the limit would be exceeded by transmitting the received transaction message to the matching process at the electronic exchange, placing the received transaction message in the transaction message queue resulting in the received transaction message losing time priority at the matching process if the received transaction message is later transmitted to the matching process, and transmitting the transaction message to the matching process at the electronic exchange if the assigned limit would not be exceeded by transmitting the received transaction message to the matching process.