Symbolic language for trade matching

• US 8,595,119 B2
• Filed: 02/15/2008
• Issued: 11/26/2013
• Est. Priority Date: 02/15/2008
• Status: Active Grant

• Current Assignee: New York Mercantile Exchange Incorporated (CME Group Incorporated)
• Original Assignee: New York Mercantile Exchange Incorporated (CME Group Incorporated)
• Inventors: Milne, Andrew
• Primary Examiner(s): Robinson, Kito R
• Application Number:
  US12/032,379
• Publication Number:
  US 20090327153A1
• Time in Patent Office: 2,111 Days
• Field of Search: 705/37, 705/35
• US Class Current: 705/37
• CPC Class Codes: G06F 8/10 Requirements analysis; Specification techniques
• CPC Class Codes: G06F 8/34 Graphical or visual programming
• 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
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A symbolic modeling language for trade matching provides techniques to describe the specialized operations of a match engine in a form that can be understood by business analysts and readily translated into program code and test cases by developers and testers. Associated techniques for calculating implied markets and testing can expedite match engine development, testing and maintenance.

Claims

1. A computer-implemented method for specifying and testing a match engine comprising:

providing a user interface, coupled to the match engine, for receiving commands, the interface comprising a two-dimensional grid, wherein along a first dimension of the grid one or more products are identified and along a second dimension of the grid one or more dates are identified, an intersection of a given product and a given date corresponding to a particular contract, the grid further comprising one or more regions corresponding to a virtual contract that is not associated with a product or a date;

processing, by a processor, a first set of one or more commands received via the user interface and corresponding to a first set of orders, wherein the first set of orders comprises one or more orders that are not tradeable against each other;

representing, on the grid, an outright order for the given product corresponding to the given date as a connection between the virtual contract and the particular contract;

identifying any markets implied by the first set of orders;

outputting market data corresponding to results of the identifying;

processing a second set of one or more commands corresponding to a second order;

determining if the second order is tradable against any subset of orders or markets drawn from the first set; and

outputting data corresponding to the results of the determining.

2. The method of claim 1 wherein the determining comprises selecting one or more subsets for trading according to a priority rule.

3. The method of claim 2 wherein the priority rule is based on the price and time of the orders in the subset.

4. The method of claim 1 wherein purchase or sale of the particular contract is represented on the grid by a connection between the virtual contract and the particular contract.

5. The method of claim 1 wherein purchase or sale of the particular contract is represented on the grid by a connection between the particular contract and a second contract, of which the particular contract and the second contract form the buy leg and the spread leg of a spread contract.

6. The method of claim 1 further comprising representing purchase or sale of an arbitrary combination of contracts on the grid as a single tradable contract.

7. The method of claim 6 wherein a number of lots to trade in each of the arbitrary combination of contracts is specified by one or more ratios or leg factors, wherein the ratios or leg factors are at least one of:

(i) present in the original definition of a contract on the grid or other initial state of the match engine, or (ii) specified by the sender of an order or administrative message.

8. The method of claim 1 where the grid has one or more dimensions, each corresponding to the number of parameters required to identify a tradable instrument.

9. The method of claim 8 wherein the instrument is associated with a future, option, security, index or emission credit.

10. The method of claim 1 wherein the identifying comprises:

accessing a parameter that defines the extent of implied market calculation;

calculating implied markets in accordance with the parameter.

11. The method of claim 10 wherein the parameter is present in a definition of a contract on the grid, an initial state of the match engine, or specified by a sender of an order or administrative message.

12. The method of claim 1 wherein the identifying comprises:

accessing a parameter that defines types of markets that may be implied by a given set of orders; and

calculating implied markets in accordance with the parameter.

13. The method of claim 1 wherein receiving via the user interface comprises at least one of:

receiving one or more instructions to alter properties of previously received orders;

receiving one or more instructions to alter the properties of previously received orders where time priority of a modified order is set according to rules derived from a business requirement;

receiving one or more instructions to cancel the previously received orders;

receiving one or more instructions to change a state or states of contracts;

receiving one or more instructions to change properties of contracts not directly related to their market state; and

receiving one or more messages to change a definition of the grid, including activation, addition, deactivation or removal of contracts.

14. The method of claim 13 wherein the properties, include one or more of price and volume.

15. A non-transitory computer-readable storage medium storing software that, when executed, causes an apparatus at least to perform:

providing a user interface for receiving commands, the interface comprising a two-dimensional grid, wherein along a first dimension of the grid one or more products are identified and along a second dimension of the grid one or more dates are identified, an intersection of a given product and a given date corresponding to a particular contract, the grid further comprising one or more regions corresponding to a virtual contract that is not associated with a product or a date;

processing a first set of one or more commands received via the interface and corresponding to a first set of orders, wherein the first set of orders comprises one or more orders that are not tradable against each other;

representing, on the grid, an outright order for the given product corresponding to the given date as a connection between the virtual contract and the particular contract;

identifying any markets implied by the first set of orders;

outputting market data corresponding to results of the identifying;

processing a second set of one or more commands corresponding to a second order;

determining if the second order is tradable against any subset of orders or markets drawn from the first set; and

outputting data corresponding to the results of the determining.

16. The computer-readable storage medium of claim 15, wherein purchase or sale of the particular contract is represented on the grid by a connection between the virtual contract and the particular contract.

17. An apparatus comprising:

a processor; and

a memory communicatively coupled to the processor and storing software that, when executed by the processor, causes the apparatus at least to perform;

providing a user interface for receiving commands, the interface comprising a two-dimensional grid, wherein along a first dimension of the grid one or more products are identified and along a second dimension of the grid one or more dates are identified, an intersection of a given product and a given date corresponding to a particular contract, the grid further comprising one or more regions corresponding to a virtual contract that is not associated with a product or a date;

processing a first set of one or more commands received via the interface and corresponding to a first set of orders, wherein the first set of orders comprises one or more orders that are not tradable against each other;

representing an outright order for the given product corresponding to the given date as a connection between the virtual contract and the particular contract;

identifying any markets implied by the first set of orders;

outputting market data corresponding to results of the identifying;

processing a second set of one or more commands corresponding to a second order;

determining if the second order is tradable against any subset of orders or markets drawn from the first set; and

outputting data corresponding to the results of the determining.

18. The apparatus of claim 17, wherein purchase or sale of a particular contract is represented on the grid by a connection between the virtual contract and the particular contract.