Rule based exchange simulator

• US 9,754,323 B2
• Filed: 07/16/2013
• Issued: 09/05/2017
• Est. Priority Date: 07/16/2013
• Status: Active Grant

• Current Assignee: Bank of America Corp.
• Original Assignee: Bank of America Corp.
• Inventors: Khan, Rehman Ahmed, Aravala, Srinivasa Rao, Shahapurkar, Suhas Prakash
• Primary Examiner(s): Fernandez Rivas, Omar
• Assistant Examiner(s): KHAN, IFTEKHAR A
• Application Number:
  US13/943,319
• Publication Number:
  US 20150025873A1
• Time in Patent Office: 1,512 Days
• Field of Search: 703 21
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

Methods, systems, and computer-readable media for providing a rule based exchange simulator are presented. A plurality of rules may be received at an exchange simulator that define how orders should be processed at the exchange simulator. The received rules may be stored, for instance, at a rules engine. For example, rules may comprise a fill rule, a cancel rule, a reject rule, a no acknowledgment rule, and a market data rule. An order that comprises a stock exchange order may be received at the exchange simulator. For example, an order may comprise a buy or sell order for a particular instrument, such as a stock, and may comprise a particular quantity. Based on the one or more rules stored in the rules engine, the received order may be fully filled, partially filled, or not filled.

Claims

1. A computer implemented method, comprising:

receiving, by an exchange simulator having at least one processor, a plurality of rules, wherein the rules comprise rules to process orders received at the exchange simulator;

storing, by a rules engine of the exchange simulator, the plurality of rules;

receiving, via a server of the exchange simulator, a plurality of orders from a client, each order of the plurality of orders being received via a different messaging protocol, wherein at least a first order of the plurality of orders comprises an exchange order that includes an instrument;

transforming, by the server, the received plurality of orders from the received messaging protocol of the respective order to a first messaging protocol different from the received messaging protocol of the respective order, the first messaging protocol being a proprietary messaging protocol used by the exchange simulator;

identifying, from the rules engine, one or more rules from the plurality of rules that apply to the received at least a first order based on the instrument;

determining whether a current time is within normal business hours for a designated time zone;

responsive to determining that the current time is within normal business hours for the designated time zone, processing, by the exchange simulator, the received at least a first order based on the identified one or more rules, wherein the processing comprises;

filling at least a portion of the order when the identified one or more rules define that the received at least a first order should be filled; and

not filling the order when the identified one or more rules define that the received at least a first order should not be filled;

generating, by the exchange simulator, a response in the first messaging protocol;

transforming, by the server, the response from the first messaging protocol to the received messaging protocol of the respective order; and

routing, from the server to the client, the generated response.

2. The method of claim 1, wherein the received plurality of rules comprise at least one of a fill rule, a reject rule, a cancel rule, a no acknowledgment rule, and a market data rule.

3. The method of claim 1, wherein not filling the order further comprises:

determining that the identified one or more rules comprises a reject rule; and

not filling the order based on the reject rule.

4. The method of claim 1, wherein the received at least a first order comprises a quantity.

5. The method of claim 4, wherein filling at least a portion of the order further comprises:

determining, based on the instrument and quantity for the order, that the identified one or more rules define a quantity to be filled for the order; and

filling the defined quantity for the order.

6. The method of claim 4,

wherein the defined quantity is less than the quantity for the order, and

wherein filing the defined quantity further comprises not filling a difference between the defined quantity and the quantity for the order.

7. The method of claim 4, wherein one of the identified one or more rules comprises a market data rule that defines a price and a variance for the instrument for the order.

8. The method of claim 4, wherein a price for the instrument for the order is based on a price polled from a live exchange.

9. The method of claim 1, wherein the plurality of received rules configure the exchange simulator to simulate hours of operation for an exchange located in the designated time zone.

10. The method of claim 9, wherein the order is not filled based on the order being received at a time outside of the hours of operation.

11. A system comprising:

at least one client computing device having at least a first processor and a first memory;

an exchange simulator having at least a second processor and at least a second memory, the exchange simulator further including;

a server configured to;

receive, from the at least one client computing device, a plurality of orders, each order of the plurality of orders being received via a different messaging protocol;

transform the received plurality of orders from a received messaging protocol of a respective order to a first messaging protocol different from the received messaging protocol of the respective order, the first messaging protocol being a proprietary messaging protocol used by the exchange simulator;

a rules engine configured to;

receive a plurality of rules, wherein the rules comprise rules to process the received plurality of orders;

store the plurality of rules;

the exchange simulator configured to;

receive at least a first order from the server, wherein the at least a first order comprises a stock exchange order that includes an instrument;

determine one or more rules from the rules engine that apply to the received at least a first order based on the instrument;

determine whether a current time is within normal business hours for a designated time zone;

responsive to determining that the current time is within normal business hours for the designated time zone, process the received at least a first order based on the one or more determined rules, wherein the processing comprises;

filling at least a portion of the order when the one or more determined rules define that the received at least a first order should be filled; and

not filling the order when the one or more determined rules define that the received at least a first order should not be filled

generate a response in the first messaging protocol;

responsive to determining that the current time is not within normal business hours for the designated time zone, not processing the received at least a first order;

the server further configured to;

transform the generated response from the first messaging protocol to the received messaging protocol of the respective order; and

route the generated response in the received messaging protocol to the client computing device.

12. The system of claim 11, wherein the received rules comprise at least one of a fill rule, a reject rule, a cancel rule, a no acknowledgment rule, and a market data rule.

13. The system of claim 11, wherein not filling the order further comprises:

determining that one or more of the determined rules comprises a reject rule; and

not filling the order based on the reject rule.

14. The system of claim 11, wherein the received order comprises an instrument and a quantity.

15. The system of claim 14, wherein filling at least a portion of the order further comprises:

determining, based on the instrument and quantity for the order, that one or more of the determined rules define a quantity to be filled for the order; and

filling the defined quantity for the order.

16. The system of claim 14,

wherein the defined quantity is less than the quantity for the order, and

wherein filing the defined quantity further comprises not filling the difference between the defined quantity and the quantity for the order.

17. The system of claim 14, wherein one of the determined rules comprises a market data rule that defines a price and a variance for the instrument for the order.

18. The system of claim 14, wherein a price for the instrument for the order is based on a price polled from a live exchange.

19. The system of claim 11, wherein the plurality of received rules configure the exchange simulator to simulate hours of operation for an exchange located in the designated time zone.

20. One or more non-transitory computer readable media having stored thereon instructions that, when executed by a processor of an exchange simulator, cause the exchange simulator to:

receive a plurality of rules, wherein the rules comprise rules to process orders received at the exchange simulator;

store, by a rules engine of the exchange simulator, the plurality of rules;

receive, via a server, a plurality of orders from a client, each order of the plurality of orders being received via a different messaging protocol, wherein at least a first order of the plurality of orders comprises a stock exchange order that includes an instrument;

transforming, by the server, the received plurality of orders from a received messaging protocol of a respective order to a first messaging protocol different from the received messaging protocol of the respective order, the first messaging protocol being a proprietary messaging protocol used by the exchange simulator;

identifying, by the rules engine, one or more rules from the plurality of rules that apply to the received at least a first order based on the instrument;

determining whether a current time is within normal business hours for a designated time zone;

responsive to determining that the current time is within normal business hours for the designated time zone, process the received at least a first order based on the one or more determined rules, wherein the processing comprises;

filling at least a portion of the order when the identified one or more rules define that the received at least a first order should be filled; and

not filling the order when the identified one or more rules define that the received at least a first order should not be filled;

generate a response in the first messaging protocol;

transform, by the server, the response from the first messaging protocol to the received messaging protocol of the respective order;

route, from the server to the client, the generated response; and

responsive to determining that the current time is not within normal business hours for the designated time zone, not processing the received at least a first order.