Embedded hardware based system which provides real-time pre-trade risk assessments for multiple parties and method thereof

• US 8,655,767 B2
• Filed: 11/16/2011
• Issued: 02/18/2014
• Est. Priority Date: 11/17/2010
• Status: Active Grant

• Current Assignee: Fixnetix Ltd. (DXC Technology Company)
• Original Assignee: Fixnetix Ltd. (DXC Technology Company)
• Inventors: Ellis, Paul, Moore, Alasdair, Hughes, Hugh Llewllyn
• Primary Examiner(s): TINKLER, MURIEL S
• Application Number:
  US13/298,280
• Publication Number:
  US 20120130884A1
• Time in Patent Office: 825 Days
• Field of Search: 705/37
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/08 Insurance

Abstract

A risk assessment system and method are provided that may be implemented as an embedded hardware based system and method that provide real-time pre-trade risk assessments for multiple parties, in addition to real-time market data and trading connectivity to a variety of liquidity venues. The liquidity venues may include regulated exchanges, ECNs and other financial institutions listing securities, options, futures, commodities, foreign exchange and other financial instruments.

Claims

1. An embedded risk assessment system, comprising:

a surface;

at least one client personality module, at least one market participant personality module, at least one liquidity venue personality module and at least one market data personality module each installed on the surface and electrically connected to each other, each of the at least one client personality module, at least one market participant personality module, at least one liquidity venue personality module and at least one market data personality module being a programmable logic device;

the at least one client personality module having a set of risk data for a particular client, the set of risk data being one or more of a daily cash amount and a total daily cash figure limit;

the at least one market participant personality module storing a set of risk data for a broker in a liquidity venue;

the at least one liquidity venue personality module allowing the at least one client personality module and the at least one market participant personality module to interact with the liquidity venue to send a trade and receive notifications of a completed trade;

the at least one market data personality module gathering data about a particular market; and

the at least one client personality module, at least one market participant personality module and at least one liquidity venue personality module performing pre-trade risk assessment for the client with reduced latency.

2. The system of claim 1 further comprising a hot spare personality module installed on the surface that stores a set of code for each of the client personality module, the market participant personality module, the liquidity venue personality module and the market data personality module so that the hot spare personality module is swappable for any of the client personality module, the market participant personality module, the liquidity venue personality module and the market data personality module if those personality modules fail.

3. The system of claim 1, wherein the surface is a printed circuit board.

4. The system of claim 3, wherein the programmable logic device is one more of a Complex Programmable Logic Device, a Field Programmable Gate Array, a Field Programmable Object Array and an Application-Specific Integrated Circuit.

5. The system of claim 3, wherein the client personality module, the market participant personality module, the liquidity venue personality module and the market data personality module are all on an Application-Specific Integrated Circuit.

6. The system of claim 1 further comprising a command and control personality module that perform start-up of the embedded risk assessment system.

7. The system of claim 6, wherein each of the command and control personality module, client personality module, the market participant personality module, the liquidity venue personality module and the market data personality module polls the other personality modules to determine if a personality module has failed.

8. The system of claim 1, wherein the market data personality module collects real-time data from one or more liquidity venues and converts the real-time data from one or more liquidity venues into common format market data.

9. The system of claim 1, wherein the client personality module performs a market surveillance check for orders in one of the same direction, price, side, price and quantity as an order of the client.

10. The system of claim 1, wherein the liquidity venue is one of a regulated exchange, an ECN and other financial institutions listing securities, options, futures, commodities, foreign exchange and other financial instruments.

11. The system of claim 1, wherein at least one client personality module controls one or more trades of the client based on the risk data for the particular client.

12. The system of claim 1, wherein at least one client personality module ensures regulatory compliance of the client by controlling access to multiple liquidity venues.

13. A method for risk assessment using an embedded hardware system, the embedded hardware system having at least one client personality module, at least one market participant personality module, at least one liquidity venue personality module and at least one market data personality module each installed on a surface and electrically connected to each other, the method comprising:

storing, in a client personality module in a programmable logic device, a set of risk data for a particular client, the set of risk data being one or more of a daily cash amount and a total daily cash figure limit;

storing, in a market participant personality module in a programmable logic device, a set of risk data for a broker in a liquidity venue;

interacting, using a liquidity venue personality module in a programmable logic device, between at least one client personality module and the at least one market participant personality module with the liquidity venue to send a trade and receive notifications of a completed trade;

gathering, using a market data personality module in a programmable logic device, data about a particular market; and

performing, using the client personality module, the market participant personality module and the one liquidity venue personality module, pre-trade risk assessment for the client with reduced latency.

14. The method of claim 13 further comprising swapping a hot spare personality module installed on the surface into the embedded hardware system if the client personality module, the market participant personality module, the liquidity venue personality module and the market data personality module fail.

15. The method of claim 13 further comprising performing, using a command and control personality module, start-up of the embedded risk assessment system.

16. The method of claim 13 further comprising polling, by the client personality module, the market participant personality module and the one liquidity venue personality module, the other personality modules to determine if a personality module has failed.

17. The method of claim 13 further comprising collecting, by the market data personality module, real-time data from one or more liquidity venues and converting the real-time data from one or more liquidity venues into common format market data.

18. The method of claim 13 further comprising performing, by the client personality module, a market surveillance check for orders in one of the same direction, price, side, price and quantity as an order of the client.

19. The method of claim 13 further comprising controlling, by the client personality module, one or more trades of the client based on the risk data for the particular client.

20. The method of claim 13 further comprising ensuring, by the client personality module, regulatory compliance of the client by controlling access to multiple liquidity venues.