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Accelerated trade matching using speculative parallel processing

  • US 8,868,460 B2
  • Filed: 09/15/2009
  • Issued: 10/21/2014
  • Est. Priority Date: 09/15/2009
  • Status: Active Grant
First Claim
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1. A computer implemented method of matching orders, the method comprising:

  • receiving, by a first processor operative to execute program logic stored on a computer readable medium, a first real order;

    calculating, by the first processor, a tradable combination involving the first real order and determining, by the first processor based thereon, if the first real order has been filled by one or more previously received but unfilled orders counter thereto;

    generating, by a second processor, operative to execute program logic stored on a computer readable medium, coupled with the first processor, responsive to the determination that the first real order has not been filled, a speculative order which corresponds to another real order that is counter to the first real order and which is predicted to be, but not yet, received;

    calculating, by the second processor, based on the generation of the speculative order and prior to receipt of the not-yet-received real order, a tradable combination involving the speculative order and the first real order and performing, by the second processor, at least a portion of calculations involved with matching the tradable combination involving the speculative order and the first real order as if the not-yet-received real order had actually been received and generating a plurality of messages associated therewith;

    receiving, by the first processor subsequent to at least the generating of the speculative order, a second real order corresponding to the speculative order; and

    executing, by the first processor, a trade based on the second real order and the first real order, the executing comprising utilizing the plurality of messages generated by the second processor, and subsequently outputting an update to the order book indicative of the trade.

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