Method, language, and system for parallel algorithmic trading and overseeing trading activity

• US 9,547,874 B2
• Filed: 06/29/2010
• Issued: 01/17/2017
• Est. Priority Date: 06/29/2010
• Status: Active Grant

• Current Assignee: Fursenko, Alexander, Gorelik, Victor, Natalia Hanson
• Original Assignee: Fursenko, Alexander, Gorelik, Victor, Natalia Hanson
• Inventors: Gorelik, Victor, Hanson, Natalia, Fursenko, Alexander
• Primary Examiner(s): Robinson, Kito R
• Application Number:
  US12/825,505
• Publication Number:
  US 20110320335A1
• Time in Patent Office: 2,394 Days
• Field of Search: 705/37, 705/35
• US Class Current: 1/1
• 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

The invention provides: methods, languages, and systems for parallel algorithmic trading of financial instruments. Each instrument of interest is included in a parallel list, in a reference list, or in both lists. Market data messages are decoded by parallel threads and converted into data series. The number of the threads is preferably equal to the number of the messages in a set of messages. A trader/market regulator selects or creates a trading/overseeing algorithm consisting of expressions based on data series extracted from the messages and on predefined functions. Some of the expressions have outputs representing buy/sell/cancel orders or have outputs aimed for overseeing trading activity. The algorithm is executed by parallel threads. The number of the threads is preferably equal to the number of the instruments in the parallel list.

Claims

1. A method for parallel algorithmic trading and overseeing trading activity, running on a central processor and on a number of general processor cores, comprising:

1.1) identifying a list of financial instruments for parallel calculations;

1.2) identifying a list of financial instruments for reference calculations;

1.3) determining a union of the list (1.1) and the list (1.2);

1.4) receiving a set of market data messages through the central processor;

1.5) extracting trading and quote information from the set (1.4) into data series corresponding to the financial instruments of the union (1.3) by using, in parallel, a number of general processor cores that is preferably equal to the number of messages in the set (1.4);

1.6) formulating an algorithm for processing the data series (1.5);

1.7) generating buy/sell/cancel orders according to the algorithm (1.6) by using, in parallel, a number of general processor cores that is preferably equal to the number of financial instruments in the list (1.1);

1.8) sending through the central processor the orders (1.7) to order entry gateways;

1.9) receiving through the central processor signals confirming an execution or a cancellation of the orders (1.7);

1.10) using the signals (1.9) along with the data series (1.5) as inputs for the algorithm (1.6);

1.111 updating the results of calculations of the steps (1.51 and (1.71 on receiving each new set of messages (1.4); and

1.112 wherein inputs of the algorithm (1.6) include the data series (1.5) that are specific for particular market makers.

2. A system for parallel algorithmic trading and overseeing trading activity comprising means for performing the steps described in claim 1.