Method and system for enhancing the efficiency of a digitally communicated data exchange

• US 8,321,326 B2
• Filed: 04/17/2010
• Issued: 11/27/2012
• Est. Priority Date: 09/15/2009
• Status: Expired due to Fees

• Current Assignee: Auerbach Group LLC
• Original Assignee: Auerbach Group LLC
• Inventors: Auerbach, Andrew
• Primary Examiner(s): Vezeris, James
• Application Number:
  US12/762,324
• Publication Number:
  US 20110066539A1
• Time in Patent Office: 955 Days
• Field of Search: 705/37, 301/87
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: H03M 7/40 Conversion to or from variable length codes, e.g. Shannon-Fano code, Huffman code, Morse code

Abstract

The present invention relates to a method for enhancing the efficiency of digitally communicated data exchanges and to a computer system that implements such a method. The invention particularly concerns the use of adaptive custom compression techniques, binary integers (“bits”), massively parallel processing, database optimization techniques and/or calculation optimization techniques to achieve such enhanced efficiency. The invention is applicable to any digitally communicated data exchange, but is particularly applicable to exchanges of financial information such as financial market buy/sell orders, market making, etc.

Claims

1. A computer-implemented method for enhancing the efficiency of digitally communicating a financial message from a first computer to a second computer, which method comprises the steps:

(A) employing a data compression technique to establish a coding scheme and employing said coding scheme to produce a database that enables;

(1) the formation of a coded version of an unencoded financial message based on order-units present in said unencoded financial message;

wherein;

(i) said data compression technique is customized so that said coding scheme allocates shorter codes to order-units having a higher p-value in said unencoded financial message and longer codes to order-units having a lower p-value present in said unencoded financial message;

or

(ii) said data compression technique is adaptive to permit said coding scheme to adjust over time to allocate shorter codes to order-units having a higher p-value in said unencoded financial message and longer codes to order-units having a lower p-value for order-units present in both said unencoded financial message and in at least one previously communicated financial message;

 

wherein said p-value is a metric of the moving average of the frequency of said order-unit, weighted by its assigned importance, relative to other order-units in said message(s), such that an order-unit having a higher importance-weighted frequency is assigned a higher p-value than an order-unit having a lesser importance-weighted frequency; and

(2) the decoding of the encoded version of said financial message;

 

wherein the message length of said coded version of said financial message is shorter than the message length of said unencoded financial message;

(B) providing said database to said first and second computers; and

(C) digitally communicating said coded version of said financial message from said first computer to said second computer, directly or via one or more intermediate computers.

2. The computer-implemented method of claim 1, wherein said data compression technique additionally employs massively parallel processing.

3. The computer-implemented method of claim 1, wherein said data compression technique additionally employs a database optimization technique.

4. The computer-implemented method of claim 1, wherein said data compression technique additionally employs a calculation optimization technique.

5. The computer-implemented method of claim 1, wherein:

(A) said first computer is a Client Computer and said second computer is a Broker Computer in digital communication with a Market Exchange;

or

(B) said first computer is a Broker Computer and said second computer is a Market Exchange Computer.

6. The computer-implemented method of claim 5, wherein said financial message is executed at said Market Exchange.

7. The computer-implemented method of claim 1, wherein:

(A) said first computer is a Gateway Computer of a Broker Computer and said second computer is a Risk Management System Computer of a Broker Computer;

or

(B) said first computer is a Gateway Computer of a Market Exchange and said second computer is a Matching Engine Computer of a Market Exchange Computer.

8. The computer-implemented method of claim 7, wherein said financial message is executed at said Market Exchange.

9. The computer-implemented method of claim 1, wherein said data compression technique is customized to encode said financial message into a coded version having at least 80% efficiency.

10. The computer-implemented method of claim 9, wherein said data compression technique is customized to encode said financial message into a coded version having at least 90% efficiency.

11. The computer-implemented method of claim 1, wherein said data compression technique is customized to encode said financial message into a message that is at least 50% shorter than a message communicating said unencoded financial message.

12. The computer-implemented method of claim 1, wherein said data compression technique is customized to encode said financial message into a message that is at least 5-fold shorter than a message communicating said unencoded financial message.

13. The computer-implemented method of claim 1, wherein said data compression technique employs an Arithmetic Algorithm or a Huffman Algorithm.

14. The method of claim 5, wherein said Broker Computer decodes said coded version of the financial message and then communicates the resultant unencoded version of the financial message to said Market Exchange.

15. The method of claim 5, wherein said Broker Computer employs a data compression technique to establish a Broker coding scheme and employs said Broker coding scheme to produce a Broker coded version of the financial message based on order-units present in said financial message and in at least one other financial message that is to be communicated by said Broker to said Market Exchange.

16. The computer-implemented method of claim 15, wherein said data compression technique employed by said Broker Computer is customized so that said coding scheme allocates shorter codes to order-units having a higher p-value, and longer codes to order-units having a lower p-value present in said financial message and in said at least one other financial message that is to be communicated by said Broker Computer to said Market Exchange.

17. The computer-implemented method of claim 15, wherein said data compression technique employed by said Broker Computer is adaptive so that said coding scheme is adjusted over time to allocate shorter codes to order-units having a higher p-value, and longer codes to order-units having a lower p-value present in both said unencoded financial message and in at least one previously communicated financial message.

18. The computer-implemented method of claim 1, wherein said financial message is an offer for purchase or sale of a financial interest.

19. A computer-implemented method for enhancing the efficiency of digitally communicating and fulfilling, a financial message from a first computer to a second computer, which method comprises the steps:

(A) employing a data compression technique to establish a coding scheme and employing said coding scheme to produce a database that enables;

(1) the formation of a coded version of an unencoded financial message based on order-units present in said unencoded financial message;

wherein;

(i) said data compression technique is customized so that said coding scheme allocates shorter codes to order-units having a higher p-value in said unencoded financial message, and longer codes to order-units having a lower p-value present in said unencoded financial message;

or

(ii) said data compression technique is adaptive to permit said coding scheme to adjust over time to allocate shorter codes to order-units having a higher p-value in said unencoded financial message and longer codes to order-units having a lower p-value for order-units present in both said unencoded financial message and in at least one previously communicated financial message;

 

wherein said p-value is a metric of the moving average of the frequency of said order-unit, weighted by its assigned importance, relative to other order-units in said message(s), such that an order-unit having a higher importance-weighted frequency is assigned a higher p-value than an order-unit having a lesser importance-weighted frequency; and

(2) the decoding of the encoded version of said financial message;

 

wherein the message length of said coded version of said financial message is shorter than the message length of said unencoded financial message;

(B) providing said database to said first and second computers;

(C) digitally communicating said coded version of said financial message from said first computer to said second computer, directly or via one or more intermediate computers; and

(D) fulfilling said financial message, wherein said financial message is a request for information relating to a financial interest.

20. The computer-implemented method of claim 19, wherein said request for information relating to a financial interest is a request for information relating to the value of the financial interest, or a request for information relating to news concerning the financial interest.

21. The computer-implemented method of claim 19, wherein said financial message is an agreement to purchase or sell a financial interest, or a confirmation thereof.

22. A computer system, comprising a first and a second computer, in digital communication with one another, wherein said computer system is specially adapted for enhancing the efficiency of digitally communicating a financial message, and wherein:

(A) said first computer employs a data compression technique to establish a coding scheme and employs said coding scheme to produce a coded version of the financial message based on order-units present in said financial message, wherein the message length of said coded version of said financial message is shorter than the message length of the unencoded financial message;

wherein said data compression technique is;

(i) customized so that said coding scheme allocates shorter codes to order-units having a higher p-value in said unencoded financial message, and longer codes to order-units having a lower p-value present in said unencoded financial message;

or

(ii) said data compression technique is adaptive to permit said coding scheme to adiust over time to allocate shorter codes to order-units having a higher p-value in said unencoded financial message and longer codes to order-units having a lower p-value present in both said unencoded financial message and in at least one previously communicated financial message;

 

wherein said p-value is a metric of the moving average of the frequency of said order-unit, weighted by its assigned importance, relative to other order-units in said message(s), such that an order-unit having a higher importance-weighted frequency is assigned a higher p-value than an order-unit having a lesser importance-weighted frequency; and

(B) said second computer contains a stored copy of said database and, upon receiving said coded version of the financial message, employs said stored database to decode said coded version of the financial message.

23. The computer system of claim 22, wherein:

(A) said first computer is a Client Computer and said second computer is a Broker Computer in digital communication with a Market Exchange;

or

(B) said first computer is a Broker Computer and said second computer is a Market Exchange Computer.

24. The computer system of claim 23, wherein said Market Exchange Computer executes said financial message.

25. The computer system of claim 23, wherein said first computer is a Client computer and said second computer is a Broker Computer in digital communication with said Market Exchange, and wherein said Broker Computer employs a data compression technique to establish a Broker coding scheme and employs said Broker coding scheme to produce a Broker coded version of the financial message based on order-units present in said financial message and in at least one other financial message that is to be communicated by said Broker to said Market Exchange.

26. The computer system of claim 25, wherein said Market Exchange Computer executes said financial message.

27. The computer system of claim 22, wherein:

(A) said first computer is a Gateway Computer of a Broker Computer and said second computer is a Matching Engine Computer of a Broker Computer;

or

(B) said first computer is a Gateway Computer of a Market Exchange and said second computer is a Matching Engine Computer of a Market Exchange Computer.

28. The computer system of claim 27, wherein said Market Exchange Computer executes said financial message.

29. The computer system of claim 25, wherein said data compression technique is employed by said Broker Computer.

30. The computer system of claim 29, wherein said Market Exchange Computer executes said financial message.