Multi-parallel architecture and a method of using the same

• US 7,933,827 B2
• Filed: 07/25/2002
• Issued: 04/26/2011
• Est. Priority Date: 06/05/2002
• Status: Active Grant

• Current Assignee: Nasdaq, Inc.
• Original Assignee: Nasdaq OMX Group Incorporated (Nasdaq, Inc.)
• Inventors: DeNat, Mark, Vincent, Timothy, Martyn, Peter J., Serkin, Stuart, Moore, Daniel F., Hughes, John T. Jr., Richmann, James N.
• Primary Examiner(s): Colbert; Ella
• Assistant Examiner(s): Tran; Hai
• Application Number:
  US10/206,892
• Publication Number:
  US 20030229568A1
• Time in Patent Office: 3,197 Days
• Field of Search: 705 35- 45
• US Class Current: 705/37
• CPC Class Codes: G06Q 20/10 specially adapted for electronic funds transfer [EFT] systems; specially adapted for home banking systems
• CPC Class Codes: G06Q 20/40 Authorisation, e.g. identification of payer or payee, verification of customer or shop credentials; Review and approval of payers, e.g. check credit lines or negative lists
• 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

Multiple securities processors each process attributable security interest messages generated by market participants. Each of these attributable security interest messages relates to a specific security chosen from a plurality of securities traded on the securities trading system, such that each individual security is assigned to one or more of the securities processors. An order routing system routes each attributable security interest message to one of the securities processors.

Claims

1. A system for securities trading, the system comprising:

a plurality of securities processors for processing attributable security interest messages generated by market participants, the attributable security interest messages relate to securities traded on the securities trading system, each security is assigned to one or more of the securities processors based on a unique security identifier associated with the security; and

an order routing system for routing each attributable security interest message to one of the securities processors according to the assignment.

2. The system of claim 1 wherein each securities processor includes a prematching process for validating an attributable security interest message placed by a market participant and with the security identifier being a ticker symbol.

3. The system of claim 2 wherein each securities processor includes a matching queue for receiving the validated attributable security interest message from the prematching process and for queuing the validated attributable security interest message for subsequent matching.

4. The system of claim 3 wherein the matching queue is a first-in, first-out queue maintained on a non-volatile memory.

5. The system of claim 3 wherein the attributable security interest message is a security order and the prematching process includes an order entry process, the order entry process including a validity determination process for receiving the security order, and validating the security order to confirm that it is eligible for matching.

6. The system of claim 5 wherein the order entry process includes an order writing process for writing the validated security order to the matching queue.

7. The system of claim 3 wherein the attributable security interest message is a security quote and the prematching process includes a quote entry process, the quote entry process including a validity determination process for receiving the security quote, and validating the security quote to confirm that it is eligible for matching.

8. The system of claim 7 wherein the quote entry process stores the validated security quote to the matching queue.

9. The system of claim 2 wherein each securities processor includes a matching process for obtaining the validated attributable security interest message from the matching queue and for comparing it with previously-validated attributable security interest messages to determine if a match occurs between the validated attributable security interest message and one of the previously-validated attributable security interest messages.

10. The system of claim 9 wherein each securities processor includes a delivery authorization process, responsive to the matching process determining that a match exists between the validated attributable security interest message and one of the previously-validated attributable security interest messages, for requesting a transaction authorization from the market participant.

11. The system of claim 10 wherein each securities processor includes an execution reporting process, responsive to the delivery authorization process receiving a transaction authorization message from the market participant, for generating a trade authorization message concerning the attributable security interest messages matched by the matching process, wherein this trade authorization message is provided to a trade execution process.

12. The system of claim 9 wherein the matching process includes an order management process for managing the validated attributable security interest messages obtained from the matching queue.

13. The system of claim 12 wherein the attributable security interest message is a supervisory command and the order management process is configured to process supervisory commands.

14. The system of claim 12 wherein the matching process includes an order book, responsive to the order management process, for storing the validated attributable security interest messages obtained from the matching queue.

15. The system of claim 14 wherein the order book is maintained on a main memory device and is exclusively accessible by the order management process.

16. The system of claim 14 wherein the order management process is configured to remove from the order book any attributable security interest messages that were matched by the matching process.

17. The system of claim 14 wherein each securities processor includes an activity log file management process, responsive to the order management process, for maintaining an activity log file that specifies the chronological changes made to the order book by the order management process.

18. The system of claim 17 wherein each securities processor includes an order file builder process for accessing the activity log file, wherein the order file builder process uses the chronological change information included in the order activity log file to generate an order book recovery file.

19. The system of claim 12 wherein each securities processor includes a match log file management process, responsive to the order management process, for maintaining a match log file that specifies the matches made by the matching process.

20. The system of claim 1 wherein the order routing system includes a configurable look-up table that includes assignment entries including the unique identifier to assign each of a plurality of securities to one or more securities processors in the system according to the unique identifier.

21. The system of claim 20 wherein the order routing system includes a security look-up process for accessing the configurable look-up table in response to a received attributable security interest message involving a specific security to determine which securities processor the specific security is assigned to.

22. The system of claim 21 wherein the order routing system includes a messaging process, responsive to the security look-up process, for sending the received attributable security interest message to the securities processor to which the specific security is assigned.

23. The system of claim 20 wherein the assignment entries include security-specific entries including the unique identifier that assign a single security to a specific securities processor, with the specific securities processor processing received attributable security interest messages concerning the single security and other securities assigned to the specific securities processor.

24. The system of claim 20 wherein the assignment entries include dedicated entries including the unique identifier that assign a single security to a dedicated securities processor, with the dedicated securities processor processing only received attributable security interest messages concerning the single security.

25. The system of claim 20 wherein the assignment entries include id-range entries including unique identifiers that assign a range of securities to a specific securities processor according to the id-range entries.

26. The system of claim 20 wherein the assignment entries include floating entries including the unique identifier that assign a single security to the next-available securities processor.

27. The system of claim 20 wherein the configurable look-up table includes a specific entry table and a rule entry table.

28. The system of claim 27 wherein the specific entry table includes one or more security-specific entries that assign a single security to a specific securities processor, with the specific securities processor processing received attributable security interest messages concerning the single security and other securities assigned to the specific securities processor.

29. The system of claim 27 wherein the specific entry table includes one or more dedicated entries including the unique identifier that assign a single security to a dedicated securities processor, with the dedicated securities processor processing only received attributable security interest messages concerning the single security.

30. The system of claim 27 wherein the rule entry table includes one or more id-range entries including the unique identifier that assign a range of securities to a specific securities processor.

31. The system of claim 27 wherein the rule entry table includes one or more floating entries including the unique identifier that assign a single security to the next-available securities processor.

32. The system of claim 27 wherein the security look-up process is configured to first access the specific entry table to determine if the specific entry table includes an assignment entry for the specific security associated with the received attributable security interest message, wherein the rule entry table is subsequently accessed if the appropriate assignment entry is not included in the specific entry table.

33. The system of claim 1 further comprising a trade data output process, responsive to the securities processor processing the received attributable security interest message, for transmitting trade data to recipients concerning the processing of the received attributable security interest message.

34. A computer-implemented method comprising:

processing attributable security interest messages generated by market participants on a plurality of securities processors of a server computer, the attributable security interest messages relate to securities traded on a securities trading system, with each individual security assigned to one or more of the securities processors based on a unique security identifier associated with the security; and

routing, through an order routing system, each attributable security interest message to one of the securities processors according to the assignment.

35. The method of claim 34 wherein processing attributable security interest messages includes validating an attributable security interest message placed by a market participant.

36. The method of claim 35 wherein processing attributable security interest messages includes queuing, on a matching queue, the validated attributable security interest message for subsequent matching.

37. The method of claim 36 wherein the matching queue is a first-in, first-out queue maintained on a non-volatile memory.

38. The method of claim 36 wherein the attributable security interest message is a security order and validating the attributable security interest message includes:

receiving the security order; and

validating the security order to confirm that it is eligible for matching.

39. The method of claim 38 wherein validating the attributable security interest message further includes writing the validated security order to the matching queue.

40. The method of claim 36 wherein the attributable security interest message is a security quote and validating the attributable security interest message includes:

receiving the security quote; and

validating the security quote to confirm that it is eligible for matching.

41. The method of claim 40 wherein validating the attributable security interest message further includes writing the validated security quote to the matching queue.

42. The method of claim 36 wherein processing attributable security interest messages includes obtaining the validated attributable security interest message from the matching queue.

43. The method of claim 42 wherein processing attributable security interest messages includes comparing the validated attributable security interest message with previously-validated attributable security interest messages to determine if a match occurs between the validated attributable security interest message and one of the previously-validated attributable security interest messages.

44. The method of claim 43 wherein processing attributable security interest messages includes requesting a transaction authorization from the market participant in response to a match existing between the validated attributable security interest message and one of the previously-validated attributable security interest messages.

45. The method of claim 44 wherein processing attributable security interest messages includes generating a trade authorization message concerning the attributable security interest messages matched in response to receiving a transaction authorization message from the market participant, wherein this trade authorization message is provided to a trade execution process.

46. The method of claim 43 wherein comparing the validated attributable security interest message includes managing the validated attributable security interest messages obtained from the matching queue.

47. The method of claim 46 wherein the attributable security interest message is a supervisory command.

48. The method of claim 46 wherein processing attributable security interest messages includes storing the validated attributable security interest messages obtained from the matching queue on an order book.

49. The method of claim 46 wherein managing the validated attributable security interest messages is configured to remove from the order book any attributable security interest messages that were matched.

50. The method of claim 46 wherein processing attributable security interest messages includes maintaining an activity log file that specifies the chronological changes made to the order book.

51. The method of claim 50 wherein processing attributable security interest messages includes accessing the activity log file and using the chronological change information included in the activity log file to generate an order book recovery file.

52. The method of claim 43 wherein processing attributable security interest messages includes maintaining a match log file that specifies the attributable security interest messages matched.

53. The method of claim 34 wherein routing each attributable security interest message includes accessing a configurable look-up table in response to a received attributable security interest message involving an individual security, wherein the configurable look-up table includes assignment entries that assign each of a plurality of securities to one or more securities processors.

54. The method of claim 53 wherein routing each attributable security interest message includes determining which securities processor the specific security is assigned to.

55. The method of claim 54 wherein routing each attributable security interest message includes sending the received attributable security interest message to the securities processor to which the specific security is assigned.

56. The method of claim 55 further comprising transmitting trade data to recipients concerning the processing of the received attributable security interest message.

57. The method of claim 53 wherein the assignment entries include security-specific entries including the unique identifier that assign a single security to a specific securities processor, with the specific securities processor processing received attributable security interest messages concerning the single security and other securities assigned to the specific securities processor.

58. The method of claim 53 wherein the assignment entries include dedicated entries including the unique identifier that assign a single security to a dedicated securities processor, with the dedicated securities processor processing only received attributable security interest messages concerning the single security.

59. The method of claim 53 wherein the assignment entries include id-range entries including the unique identifier that assign a range of securities to a specific securities processor.

60. The method of claim 53 wherein the assignment entries include floating entries including the unique identifier that assign a single security to the next-available securities processor.

61. The method of claim 53 wherein the configurable look-up table includes a specific entry table and a rule entry table.

62. The method of claim 61 wherein the specific entry table includes one or more security-specific entries including the unique identifier that assign a single security to a specific securities processor, with this specific securities processor processing received attributable security interest messages concerning the single security and other securities assigned to the specific securities processor.

63. The method of claim 61 wherein the specific entry table includes one or more dedicated entries including the unique identifier that assign a single security to a dedicated securities processor, with the dedicated securities processor processing only received attributable security interest messages concerning the single security.

64. The method of claim 61 wherein the rule entry table includes one or more id-range entries including the unique identifier that assign a range of securities to a specific securities processor.

65. The method of claim 61 wherein the rule entry table includes one or more floating entries including the unique identifier that assign a security to the next-available securities processor.

66. The method of claim 61 further comprising first accessing the specific entry table to determine if the specific entry table includes an assignment entry for the specific security associated with the received attributable security interest message, wherein the rule entry table is subsequently accessed if the appropriate assignment entry is not included in the specific entry table.

67. A computer program product residing on a computer readable storage device for processing of messages for trading of securities in an electronic trading venue, the computer program product comprising instructions which, when executed by the processor, cause that processor to:

process, on a plurality of securities processors, attributable security interest messages generated by market participants, each attributable security interest message having a unique security identifier that identifies that message as pertaining to a specific security of a plurality of securities traded on a securities trading system, wherein each individual security is assigned to one or more of the securities processors based on the unique security identifier; and

route a received attributable security interest message to one of a plurality of processors, according to an pre-configured, assignment of processors for processing of the security interest message based on an unique security identifier.

68. The computer program product of claim 67 wherein instructions to route includes instructions to determine which processor of the plurality of processors the specific security is assigned to.

69. The computer program product of claim 67 wherein routing each attributable security interest message includes instructions to:

access a configurable look-up table in response to an attributable security interest message involving a specific security, wherein the configurable look-up table includes assignment entries that assign each of a plurality of securities to one or more securities processors;

determine which securities processor the specific security is assigned to; and

send the received attributable security interest message to the securities processor to which the specific security is assigned.

70. The computer program product of claim 69 wherein the assignment entries include security-specific entries including the unique identifier that assign a single security to a specific securities processor, with the specific securities processor processing received attributable security interest messages concerning the single security and other securities assigned to the specific securities processor.

71. The computer program product of claim 69 wherein the assignment entries include dedicated entries including the unique identifier that assign a single security to a dedicated securities processor, with the dedicated securities processor processing only received attributable security interest messages concerning the single security.

72. The computer program product of claim 69 wherein the assignment entries include id-range entries including the unique identifier that assign a range of securities to a specific securities processor.

73. The computer program product of claim 69 wherein the assignment entries include floating entries including the unique identifier that assign a single security to the next-available securities processor.

74. The computer program product of claim 69 wherein the configurable look-up table includes a specific entry table and a rule entry table.

75. The computer program product of claim 74 wherein the specific entry table includes one or more security-specific entries including the unique identifier that assign a single security to a specific securities processor, with this specific securities processor processing received attributable security interest messages concerning the single security and other securities assigned to the specific securities processor.

76. The computer program product of claim 74 the specific entry table includes one or more dedicated entries including the unique identifier that assign a single security to a dedicated securities processor, with the dedicated securities processor processing only received attributable security interest messages concerning the single security.