Method and system for multi-path routing of electronic orders for securities
First Claim
1. A method of selecting from among multiple paths, in a broker-dealer system for automated trading of securities, a path for sending an order for securities to a terminus market, the broker-dealer system including at least one router, the router being coupled for data communications to at least one port, the broker-dealer system including also at least one port, the port being coupled for data communications through at least one path to at least one terminus market, the port optionally including at least one port configuration file, the multiple paths each including at least one direct link between a port and a first-tier market and optionally one or more additional links between the first-tier market and other markets, each of the multiple paths having a first terminus at a port and a second terminus at a terminus market, terminus markets being markets to which orders for securities are sent to be executed, the method comprising the steps ofproviding one or more path data structures representing a path connecting the broker dealer system to one or more terminus markets, each path data structure further comprising:
- one or more path identification data elements, andone or more path selection data elements comprising a path status data element;
receiving an order comprising an order market code;
making calls to API routines, the API routines providing return values;
detecting return values that indicate whether a path is available for use in sending orders to a terminus market;
recording in the path status data element data representing detected changes in the status of the path; and
selecting, from the paths whose path data structures have terminus market codes with values equal to the value of the order market code, a path for the order dependent upon the values of the path selection data elements;
wherein one or more of the data elements comprising the path data structure uniquely identifies the path data structure and at least one of the terminus markets is a terminus market in more than one path.
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Accused Products
Abstract
Methods and systems for selecting, in a broker-dealer system for automated trading of securities, a path for sending an order for securities to a terminus market, in which the broker-dealer system includes at least one port, the port being coupled through at least one path to at least one terminus market, wherein each path includes at least one direct link between a port and a market system and optionally one or more additional links between the said market system and other market systems, each path having a first terminus at a port and a second terminus at a terminus market, terminus markets being markets to which orders for securities are sent by the broker-dealer system.
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Citations
65 Claims
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1. A method of selecting from among multiple paths, in a broker-dealer system for automated trading of securities, a path for sending an order for securities to a terminus market, the broker-dealer system including at least one router, the router being coupled for data communications to at least one port, the broker-dealer system including also at least one port, the port being coupled for data communications through at least one path to at least one terminus market, the port optionally including at least one port configuration file, the multiple paths each including at least one direct link between a port and a first-tier market and optionally one or more additional links between the first-tier market and other markets, each of the multiple paths having a first terminus at a port and a second terminus at a terminus market, terminus markets being markets to which orders for securities are sent to be executed, the method comprising the steps of
providing one or more path data structures representing a path connecting the broker dealer system to one or more terminus markets, each path data structure further comprising: -
one or more path identification data elements, and one or more path selection data elements comprising a path status data element; receiving an order comprising an order market code; making calls to API routines, the API routines providing return values; detecting return values that indicate whether a path is available for use in sending orders to a terminus market; recording in the path status data element data representing detected changes in the status of the path; and selecting, from the paths whose path data structures have terminus market codes with values equal to the value of the order market code, a path for the order dependent upon the values of the path selection data elements; wherein one or more of the data elements comprising the path data structure uniquely identifies the path data structure and at least one of the terminus markets is a terminus market in more than one path. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24, 25, 26, 27)
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28. A method of selecting from among multiple paths, in a broker-dealer system for automated trading of securities, a path for sending an order for securities to a terminus market, the broker-dealer system including at least one router, the router being coupled for data communications to at least one port, the broker-dealer system including also at least one port, the port being coupled for data communications through at least one path to at least one terminus market, the port optionally including at least one port configuration file, the multiple paths each including at least one direct link between a port and a first-tier market and optionally one or more additional links between the first-tier market and other markets, each of the multiple paths having a first terminus at a port and a second terminus at a terminus market, terminus markets being markets to which orders for securities are sent to be executed, the method comprising the steps of:
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providing one or more path data structures representing a path connecting the broker dealer system to one or more terminus markets, each path data structure further comprising; one or more path identification data elements, and one or more path selection data elements providing path latency by recording in a path time data structure a connection code, a port code, a terminus market code, and a send time when the order is sent to a terminus market, recording in the path time data structure a receive time when a response is received corresponding to the order, subtracting the send time from the receive time to yield a path latency, and storing the path latency in a path data structure; receiving an order comprising an order market code; comparing path latencies among path data structures having terminus market codes equal to the order market code; and selecting a path for the order having a lowest path latency among paths represented by path data structures having terminus market codes equal to the order market code, wherein one or more of the data elements comprising the path data structure uniquely identifies the path data structure and at least one of the terminus markets is a terminus market in more than one path. - View Dependent Claims (29)
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30. A method of selecting from among multiple paths, in a broker-dealer system for automated trading of securities, a path for sending an order for securities to a terminus market, the broker-dealer system including at least one router, the router being coupled for data communications to at least one port, the broker-dealer system including also at least one port, the port being coupled for data communications through at least one path to at least one terminus market, the port optionally including at least one port configuration file, the multiple paths each including at least one direct link between a port and a first-tier market and optionally one or more additional links between the first-tier market and other markets, each of the multiple paths having a first terminus at a port and a second terminus at a terminus market, terminus markets being markets to which orders for securities are sent to be executed, the method comprising the steps of:
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providing one or more path data structures representing a path connecting the broker dealer system to one or more terminus markets, each path data structure further comprising; one or more path identification data elements, and one or more path selection data elements; receiving an order comprising an order market code, and selecting, from the paths whose path data structures have terminus market codes with values equal to the value of the order market code, a path for the order dependent upon the values of the path selection data elements; wherein one or more of the data elements comprising the path data structure uniquely identifies the path data structure and at least one of the terminus markets is a terminus market in more than one path; and wherein the path selection data elements comprise a combination code comprising a product of hop count, path latency, and transaction cost for the terminus market; and wherein selecting a path for the order further comprises; selecting a path having a lowest combination code. - View Dependent Claims (31)
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32. A method of selecting from among multiple paths, in a broker-dealer system for automated trading of securities, a path for sending an order for securities to a terminus market, the broker-dealer system including at least one router, the router being coupled for data communications to at least one port, the broker-dealer system including also at least one port, the port being coupled for data communications through at least one path to at least one terminus market, the port optionally including at least one port configuration file, the multiple paths each including at least one direct link between a port and a first-tier market and optionally one or more additional links between the first-tier market and other markets, each of the multiple paths having a first terminus at a port and a second terminus at a terminus market, terminus markets being markets to which orders for securities are sent to be executed, the method comprising the steps of:
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providing one or more path data structures representing a path connecting the broker dealer system to one or more terminus markets, each path data structure further comprising; one or more path identification data elements, and one or more path selection data elements comprising an override; receiving an order comprising an order market code; detecting the presence of an override in the path selection data elements among path data structures having terminus market codes equal to the order market code; and selecting a path having an override among paths represented by path data structures having terminus market codes equal to the order market code; wherein one or more of the data elements comprising the path data structure uniquely identifies the path data structure and at least one of the terminus markets is a terminus market in more than one path; and wherein the override comprises a predetermined value stored in a data element for a member elected from the group consisting of hop count, path latency, transaction cost, and combination code.
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33. A system for selecting from among multiple paths a path for sending an order to a terminus market for execution of the order, wherein the multiple paths each include at least one direct link between a port and a first-tier market system and optionally one or more additional links between the first-tier market system and other market systems, each of the multiple paths having a first terminus at a port and a second terminus at a terminus market, the system comprising:
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a router, the router coupled for data communications to a port, the router further comprising a processor; the port, coupled for data communications though a path to a terminus market, the port being a terminus of the path, the port optionally further comprising a configuration file; the terminus market, coupled through the path to the port; the processor programmed to; provide one or more path data structures representing the path connecting the port to the terminus market, the path data structure comprising; one or more path identification data elements, and one or more path selection data elements comprising a path status data element; make calls to API routines, the API routines providing return values; detect return values that indicate whether the changed path is available for use in sending orders for securities to a terminus market; record in the path status data element data representing detected changes in the status of the changed path; receive an order comprising an order market code; and select, from among paths whose path data structures have terminus market codes with values equal to the value of the order market code, a path for the order dependent upon the values of the path selection data elements; and a computer memory coupled to the processor, the processor being further programmed to store in the computer memory the path data structure; wherein one or more of the path identification data elements uniquely identifies the path represented by the path data structure and the terminus market is a terminus of more than one path. - View Dependent Claims (34, 35, 36, 37, 38, 39, 40, 41, 42, 43, 44, 45, 46, 47, 48, 49, 50, 51, 52, 53, 54, 55, 56, 57, 58, 59, 60, 61, 62)
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63. A system for selecting from among multiple paths a path for sending an order to a terminus market for execution of the order, wherein the multiple paths each include at least one direct link between a port and a first-tier market system and optionally one or more additional links between the first-tier market system and other market systems, each of the multiple paths having a first terminus at a port and a second terminus at a terminus market, the system comprising:
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a router, the router coupled for data communications to a port, the router further comprising a processor; the port, coupled for data communications though a path to a terminus market, the port being a terminus of the path, the port optionally farther comprising a configuration file; the terminus market, coupled through the path to the port; the processor programmed to provide one or more path data structures representing the path connecting the port to the terminus market, the path data structure comprising; one or more path identification data elements, and one or more path selection data elements provide path latency by recording in a path time data structure a connection code, a port code, a terminus market code, and a send time when the order is sent to a terminus market, recording in the path time data structure a receive time when a response is received corresponding to the order, and subtracting the send time from the receive time to yield a path latency, and storing the path latency in a path data structure; receive an order comprising an order market code; and compare path latencies in path data structures having terminus market codes equal to the order market code; and select a path for the order having a lowest path latency among paths represented by path data structures having terminus market codes equal to the order market code; and a computer memory coupled to the processor, the processor being further programmed to store in the computer memory the path data structure; wherein one or more of the path identification data elements uniquely identifies the path represented by the path data structure and the terminus market is a terminus of more than one path. - View Dependent Claims (64)
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65. A system for selecting from among multiple paths a path for sending an order to a terminus market for execution of the order, wherein the multiple paths each include at least one direct link between a port and a first-tier market system and optionally one or more additional links between the first-tier market system and other market systems, each of the multiple paths having a first terminus at a port and a second terminus at a terminus market, the system comprising:
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a router, the router coupled for data communications to a port, the router further comprising a processor; the port, coupled for data communications through a path to a terminus market, the port being a terminus of the path, the port optionally further comprising a configuration file; the terminus market, coupled through the path to the port; the processor programmed to; provide one or more path data structures representing the path connecting the port to the terminus market, the path data structure comprising;
one or more path identification data elements, and one or more path selection data elements comprising an override;receive an order comprising an order market code; and detect the presence of an override in the path selection data elements among path data structures having terminus market codes equal to the order market code; and select a path having an override among paths represented by path data structures having terminus market codes equal to the order market code; and a computer memory coupled to the processor, the processor being further programmed to store in the computer memory the path data structure; wherein one or more of the path identification data elements uniquely identifies the path represented by the path data structure and the terminus market is a terminus of more than one path, and wherein the override comprises a predetermined value in a data element for a member elected from the group consisting of hop count, path latency, transaction cost, and combination code.
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Specification