Architecture for anonymous trading system

• US 7,366,690 B1
• Filed: 06/23/2000
• Issued: 04/29/2008
• Est. Priority Date: 06/23/2000
• Status: Active Grant

• Current Assignee: EBS Group Ltd. (CME Group Incorporated)
• Original Assignee: EBS Group Ltd. (CME Group Incorporated)
• Inventors: Jain, Neena, Iaccheo, Steven, Howorka, Edward R., Neyman, Vladimir, Shu, James
• Primary Examiner(s): WEISBERGER, RICHARD C
• Application Number:
  US09/602,498
• Time in Patent Office: 2,867 Days
• Field of Search: 705 35- 45
• US Class Current: 705/35
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

An anonymous trading system comprises a network of broker nodes, each of which have an equal status and can match orders, initiate deals and distribute prices. Trading agents are connected to some or all of the broker nodes. The network is arranged to conform to a series of rules and in a preferred embodiment the brokers are arranged as a clique tree.

Claims

1. A computer trading system for trading fungible instruments, comprising:

a communication network for transmitting deal related information messages comprising deal related information;

a plurality of order input devices connected to the network for generating price quotation messages comprising orders; and

a plurality of nodes connected to the network in a distributed arrangement and arranged to distribute deal information messages throughout the network, message distribution between nodes being via canonical paths between nodes, where a canonical path is the optimal route between a pair of nodes and wherein;

i. A canonical path between two given nodes is commutative;

ii. Where a canonical path between two given nodes includes one or more further nodes, the canonical path between the further nodes and each of the given nodes is the same as the sub-path between the given node and the further node that forms part of the canonical path between the given nodes; and

iii. The canonical path between each node and itself is empty.

2. A computer trading system according to claim 1, wherein the nodes are arranged as a plurality of cliques, wherein each clique comprises a plurality of logically connected nodes, with each node in a clique being connected to all other nodes in the clique and any two cliques are connected by a single path, whereby the plurality of nodes form a clique tree.

3. A computer trading system according to claim 1, wherein messages transmitted on the network include routing information.

4. A computer trading system according to claim 3, wherein the routing information includes a distribution pattern.

5. A computer trading system according to claim 3, wherein the routing information includes a node specified in the message send request.

6. A computer trading system according to claim 3, wherein the routing information includes a routing flag.

7. A computer trading system according to claim 4, wherein the distribution pattern is a targeted pattern in which a message is sent to a specified destination node.

8. A computer trading system according to claim 4, wherein the distribution pattern is a broadcast pattern in which a message is to be sent to a node the network.

9. A computer trading system according to claim 4, wherein the distribution pattern is a broadcast with exclusion in which a message is to be sent to all nodes in a network except a given node or set of nodes.

10. A computer trading system according to claim 7, wherein the distribution pattern is a complex pattern comprising two or more of said targeted pattern, said broadcast pattern and said broadcast with exclusion pattern.

11. A computer trading system according to claim 6, wherein the routing flags include a bypass flag indicating that message is to be delivered only to its final destination.

12. A computer trading system according to claim 6, wherein the routing flag includes an inspection flag indicating that the message is to be delivered to each node on the path from the message source to the message destination.

13. A computer trading system according to claim 6, wherein the routing flags include an interception flag indicating that the message is to be delivered only to the first node on the path from the source node to the destination.

14. A computer trading system according to claim 1, wherein the deal related information messages includes a SubmitOrder message sent from an order input device to a node, and the deal related information is an indication that a new order is entered into the system.

15. A computer trading system according to claim 14, wherein the deal related information messages includes an OrderAvailable message indicating that a new order has been submitted from an order input device, the OrderAvailable message being received at a network node to which the submitting order input device is connected and broadcast through the network.

16. A computer trading system according to claim 15, wherein the deal related information messages includes an OrderCancelled message sent from an order input device to a node, and the deal related information is an indication that an order is no longer available.

17. A computer trading system according to claim 16, wherein the deal related information messages includes an interrupt order message broadcast through the network on receipt of an order cancelled message.

18. A computer trading system according to claim 17, wherein the deal related information messages includes a ProposeDeal message sent from a node at which an order is matched and the deal related information is an indication that a deal between two orders is proposed.

19. A computer trading system according to claim 1, wherein the deal related information message is a market update message broadcast the matching node and the deal related information is a charge in available and information is reserved amounts of an order.

20. A computer trading system according to claim 18, wherein the deal related information message is a proposed deal fail message sent by a node owning one side of a proposed deal and the deal related information is a rejection or partial rejection of the deal.

21. A computer trading system according to claim 1, wherein the deal related information message is a HitNotMatched message sent by a node to whom a hit order is submitted and the deal related information is an indication that the deal proposed for the hit order failed.

22. A computer trading system according to claim 1, wherein the deal related information message is a ConfirmOrder message sent by a node to an order input device and the deal related information is whether an order entered from the order input device is still valid.

23. A computer trading system according to claim 12, wherein the deal related information message is an OrderConfirmed message sent from the order input device to the node in response to a ConfirmOrder message and the deal related information is still valid.

24. A computer trading system according to claim 1, wherein the deal related information message is a deal done message sent from a node confirming a deal to a node proposing a deal, and the deal related information is that a proposed deal has been done.

25. A computer trading system according to claim 1, wherein the deal related information message is a list matched message sent from a node proposing a deal and the deal related information is that a hit order has been matched.

26. A computer trading system according to claim 1, wherein the nodes are Broker nodes, each comprising a store of orders available for trading in the system, and means for distributing prices to at least one order input device.

27. A computer trading system according to claim 26, wherein the Broker nodes are arranged as a clique tree, wherein each clique comprises a plurality of logically connected Broker nodes, and any two of said cliques are connected by a single path.

28. A computer trading system according to claim 27, wherein the single path connecting two cliques comprises a Broker node common to both cliques.

29. A computer trading system according to claim 1, wherein the fungible instrument is a financial instrument.