Security transaction matching
First Claim
Patent Images
1. A computer system apparatus, the apparatus comprising:
- non-volatile storage;
a random access memory;
a first-in-first-out event queue maintained in the non-volatile storage, the event queue configured to store a set of events, the set of events comprising incoming orders for a security;
an order book maintained in the random access memory, the order book configured to store one or more outstanding orders for the security;
an order file maintained in the non-volatile storage, the order file configured to store the orders stored in the order book; and
a processor configured to perform operations that include;
receiving an event that includes an order for the security;
responsive to the receiving the event, storing the event in the event queue in the non-volatile storage;
after storing the event in the event queue;
attempting to match the order against the outstanding orders stored in the order book in the random access memory;
determining that the order cannot be matched against any of the outstanding orders stored in the order book; and
responsive to the determining that the order cannot be matched, simultaneously writing the order to the order book in the random access memory and writing the order to the order file in the non-volatile storage,wherein;
the attempting to match the order against the outstanding orders is performed within a matching process that is executed by the processor;
only the matching process is permitted to access the order book in the random access memory; and
one or more modules executed by the processor are permitted to access the order file in the non-volatile storage.
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Abstract
A securities processor includes non-volatile storage, a first-in-first-out queue maintained in the non-volatile storage to store events, a random access memory, and an order book maintained in the random access memory to store one or more events corresponding to quotes or outstanding orders related to a security. A matching process receives the events from the queue, determines whether the event can be matched with a contra-side event stored in the order book, and executes a transaction between the received event and a matched contra side event if a match is found.
57 Citations
12 Claims
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1. A computer system apparatus, the apparatus comprising:
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non-volatile storage; a random access memory; a first-in-first-out event queue maintained in the non-volatile storage, the event queue configured to store a set of events, the set of events comprising incoming orders for a security; an order book maintained in the random access memory, the order book configured to store one or more outstanding orders for the security; an order file maintained in the non-volatile storage, the order file configured to store the orders stored in the order book; and a processor configured to perform operations that include; receiving an event that includes an order for the security; responsive to the receiving the event, storing the event in the event queue in the non-volatile storage; after storing the event in the event queue; attempting to match the order against the outstanding orders stored in the order book in the random access memory; determining that the order cannot be matched against any of the outstanding orders stored in the order book; and responsive to the determining that the order cannot be matched, simultaneously writing the order to the order book in the random access memory and writing the order to the order file in the non-volatile storage, wherein; the attempting to match the order against the outstanding orders is performed within a matching process that is executed by the processor; only the matching process is permitted to access the order book in the random access memory; and one or more modules executed by the processor are permitted to access the order file in the non-volatile storage. - View Dependent Claims (2, 3, 4, 5, 6)
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7. A computer system comprising:
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a processor; non-volatile storage coupled to the processor; and a random access memory coupled to the processor; wherein the non-volatile memory is configured to store a first-in-first-out event queue, the event queue configured to store events, the events comprising orders for a security; wherein the random access memory is configured to store an order book, the order book including outstanding orders for the security; wherein the non-volatile memory is configured to store an order file; and wherein the random access memory is configured to store instructions that, when executed by the processor, cause the processor to perform operations that include; storing an event in the event queue, the event including an order for the security; determining whether the order can be matched with a contra-side order stored in the order book; and responsive to determining that the order cannot be matched; writing the order to the order book; and when writing the order to the order book, writing the order to the order file, wherein; the determining whether the order can be matched with a contra-side order stored in the order book is performed within a matching process that is executed by the processor; only the matching process is permitted to access the order book in the random access memory; and one or more modules executed by the processor are permitted to access the order file in the non-volatile storage. - View Dependent Claims (8, 9, 10, 11, 12)
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Specification