Methods and apparatus for detecting gaps in a sequence of messages, requesting missing messages and/or responding to requests for messages

• US 9,760,946 B1
• Filed: 11/04/2011
• Issued: 09/12/2017
• Est. Priority Date: 11/24/2010
• Status: Active Grant

• Current Assignee: NYSE Arca Incorporated (Intercontinental Exchange, Inc.)
• Original Assignee: NYSE Arca Incorporated (Intercontinental Exchange, Inc.)
• Inventors: Lebedev, Alexei, Parizhsky, Vladimir
• Primary Examiner(s): Holly, John H
• Application Number:
  US13/289,873
• Time in Patent Office: 2,139 Days
• Field of Search: 705 11, 705 37, 705 36 R, 705 30, 705 35, 705 2641, 719314, 709203, 709226, 709315
• 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: H04L 12/1804 for stock exchange and similar applications
• CPC Class Codes: H04L 12/1818 Conference organisation arrangements, e.g. handling schedules, setting up parameters needed by nodes to attend a conference, booking network resources, notifying involved parties
• CPC Class Codes: H04L 12/1822 Conducting the conference, e.g. admission, detection, selection or grouping of participants, correlating users to one or more conference sessions, prioritising transmission
• CPC Class Codes: H04L 12/185 with management of multicast group membership
• CPC Class Codes: H04L 45/16 Multipoint routing
• CPC Class Codes: H04L 49/201 Multicast operation; Broadcast operation
• CPC Class Codes: H04L 65/4038 with floor control
• CPC Class Codes: H04L 67/14 Session management for real-time applications in data packet communications networks H04L65/1066
• CPC Class Codes: H04L 67/56 Provisioning of proxy services store-and-forward switching systems in data switching networks H04L12/54

Abstract

Features are directed to detecting a loss of message synchronization and/or messages e.g., between a trader system and an exchange system. Synchronization loss may be due to a connection being terminated for a period of time, a lost connection, etc., while a trading session is being maintained with the exchange system. Loss of message synchronization may relate to messages or other communication over a shared high speed low latency path within the exchange that is used for communicating transaction messages, e.g., order messages to be processed. To avoid introducing delays into communication with other traders who'"'"'s transaction messages share the same high speed communications path within the exchange as the trader system with which message synchronization is lost, message gap fill to restore message synchronization with a trader system that lost synchronization is performed via a different communications path than the shared communications path used for communicating new transaction messages.

Claims

1. A method of operating a message processing system, the method comprising:

receiving at a first device including a processor, said first device being in the message processing system, a first message from a first system which sends messages to said message processing system, said first message being communicated via a first communications path, said first communications path including a shared high speed low latency link in said message processing system over which new transaction messages are communicated, said shared high speed low latency link being shared with other systems which send transaction messages to the message processing system;

determining, in the first device, that said first system requires a message gap fill to fill a message gap; and

in response to determining that said first system requires a message gap fill, sending, from the first device, a signal to a second device to trigger said second device to supply one or more previously transmitted messages to the first system via a second communications path to fill said message gap, said second device being separate from said first system, said second communications path being used to communicate previously transmitted messages to said first system to fill said message gap, said second communications path avoiding the shared high speed low latency link over which new transaction messages are communicated.

2. The method of claim 1, wherein determining that said first system requires a message gap fill includes:

receiving a gap fill request message from said first system requesting one or more previous messages that were previously sent to said first system; and

determining from the gap fill request message that said first system requires said one or more previous messages to be provided as part of a gap fill operation.

3. The method of claim 1,

wherein said second device is a message logging device;

and

wherein said first device is a gateway and wherein said second communications path bypasses said gateway.

4. The method of claim 2, wherein said gap fill request message includes multiple stream identifiers, each of the multiple stream identifiers corresponding to a different matching engine group from which a message was sent to said first system.

5. The method of claim 3,

wherein said first communications path includes a security switch which is part of said message processing system;

wherein said shared high speed low latency link couples said first device to said second communications device;

wherein said second communications path also includes said security switch; and

wherein a path between the first system and said security switch is included in each of the first and second communications paths and is the same for the first communications path which is used for new transaction messages and the second communications path used to provide previously transmitted messages to the first system to fill said message gap.

6. The method of claim 5,

wherein said message processing system is an exchange system which implements stock trades;

wherein said first system is a first trader system;

wherein determining, in the first device, that said first system requires a message gap fill includes determining that a number of received messages indicated in said received message is less than a number of messages that were sent to the first system;

wherein the second communications path includes a second link which has a higher latency and a higher data rate to said first system than is provided by said shared high speed low latency link included in the first communications path, said second link being outside said first communications path.

7. The method of claim 6 wherein said lower latency over the first communications path is achieved by limiting the amount of data corresponding to an individual client device that can be sent over the shared high speed low latency link in a continuous burst to an amount which is less than the amount of data corresponding to an individual client device that can be sent in a single burst over said second link.

8. The method of claim 1, further comprising:

operating the second device to send a signal to the first device indicating that the first system and said message processing system have restored message synchronization once one or more missing messages have been sent.

9. The method of claim 1, wherein each transaction message includes an indication of the number of messages already received by said first system as part of a trading session.

10. The method of claim 9, wherein determining that said first system requires a message gap fill includes:

determining that a number of received messages indicated in said received message is less than the number of messages sent to the first system;

and

wherein said second device is a message logging device including stored messages corresponding to said trading session.

20. The method of claim 1, further comprising:

operating the second device to supply said one or more previously transmitted messages to the first system via the second communications path to fill said message gap, said one or more previously transmitted messages being messages that were previously transmitted from the communications system to the first system.

22. The method of claim 1, further comprising:

operating the second device to send a message to the first device indicating that message synchronization has been restored after said second device communicates said one or more previously transmitted messages to the first system via the second communications path.

23. The method of claim 22 wherein sending, from the first device, a signal to a second device to trigger said second device to supply one or more previously transmitted messages to the first system via a second communications path to fill said message gap includes:

sending said signal to the second device via an interconnect switch in said message processing system;

wherein said second communications path includes said interconnect switch; and

wherein operating the second device to send a message to the first device indicating that message synchronization has been restored includes sending said message to the first device indicating that message synchronization has been restored via the interconnect switch.

11. A message processing system comprising:

a first device in said message processing system; and

a second device in said message processing system;

wherein said first device includes;

a receiver module configured to receive a first message from a first system which sends messages to said message processing system, said first message being communicated via a first communications path, said first communications path including a shared high speed low latency link in said message processing system over which new transaction messages are communicated, said shared high speed low latency link being shared with other systems which send transaction messages to the message processing system;

a determination module configured to determine that said first system requires a message gap fill to fill a message gap in response to a number of received messages indicated in said received message being less than a number of messages that were previously sent to the first system; and

a transmission module configured to send, in response to determining that said trader system requires a message gap fill, a signal to said second device to trigger said second device to supply one or more previously transmitted messages to the trader system via a second communications path to fill said message gap, said second device being separate from said first system, said second communications path being used to communicate previously transmitted messages to said first system to fill said message gap, said second communications path avoiding the shared high speed low latency link over which new transaction messages are communicated.

12. The message processing system of claim 11, wherein said determination module includes:

a module configured to receive a gap fill request message from said first system requesting one or more previous messages that were previously sent to said first system; and

a module configured to determine from the gap fill request message that said first system requires said one or more previous messages to be provided as part of a gap fill operation.

13. The message processing system of claim 11, wherein said second device is a message logging device;

and

wherein said first device is a gateway and wherein said second communications path bypassing the gateway device.

14. The message processing system of claim 12, wherein said gap fill request message includes multiple stream identifiers, each of the multiple stream identifiers corresponding to a different matching engine group from which a message was sent to said first system.

15. The message processing system of claim 13,

wherein said first communications path includes a security switch which is part of said message processing system;

wherein said low latency link couples said first device to said second communications device;

wherein said second communications path also includes said security switch; and

wherein a path between the first system and said security switch is included in each of the first and second communications paths and is the same for the first communications path which is used for new transaction messages and the second communications path used to provide previously transmitted messages to the first system to fill said message gap.

16. The message processing system of claim 11, wherein said message processing system is an exchange system which implements stock trades;

and

wherein said first system is a first trader system.

17. The message processing system of claim 16, wherein said second device includes:

a module configured to operate the second device to send a signal to the first device indicating that the trader system and said message processing system have restored message synchronization once one or more missing messages have been sent.

21. The message processing system claim 11, wherein the second device is a message logging device including memory including one or more previously transmitted messages and a processor, said processor controlling the message logging device to transmit said one or more messages to said trader system via the second communications path, said one or more previously transmitted messages being messages that were previously transmitted from the communications system to the first system.

18. A message processing system comprising:

a shared high speed low latency link;

a first processor configured to;

receive at a first device in the message processing system, a first message from a first system which sends messages to said message processing system, said first message being communicated via a first communications path, said first communications path including said shared high speed low latency link in said message processing system over which new transaction messages are communicated, said shared high speed low latency link being shared with other systems which send transaction messages to the message processing system;

determine that said first system requires a message gap fill to fill a message gap in response to a number of received messages indicated in said received message being less than a number of messages that were previously sent to the first system; and

send, in response to determining that said first system requires a message gap fill, a signal to a second device to trigger said second device to supply one or more previously transmitted messages to the first system via a second communications path to fill said message gap, said second device being separate from said first system, said second communications path being used to communicate previously transmitted messages to said first system to fill said message gap, said second communications path avoiding the shared high speed low latency link over which new transaction messages are communicated; and

a first memory coupled to said first processor.

19. The message processing system of claim 18, wherein said first processor is further configured to:

receiving a gap fill request message from said trader system requesting one or more previous messages that were previously sent to said trader system; and

determining from the gap fill request message that said first system requires said one or more previous messages to be provided as part of a gap fill operation, as part of being configured to determine that said first system requires a message gap fill.

24. The message processing system of claim 18, further comprising:

a second link which has a higher latency and a higher data rate to said first system than is provided by said shared high speed low latency link included in the first communications path, said second link being outside said first communications path.

25. The message processing system of claim 24,

wherein said second link is part of said second communications path;

and

wherein said second communications path bypasses the first device.