Methods and apparatus for performing risk checking
First Claim
1. An electronic communication network, comprising:
- a gateway device;
a security switch coupled to a switch of a broker system and to a trader system and to said gateway device, said security switch being configured to communicate rules received from said broker system, rules received from said trader system and messages received from said trader system to the gateway device;
said gateway device including;
a first interface for receiving messages sent by a user of the trader system on behalf of a client, from the trader system to the security switch without passing through said broker system;
a storage device including stored message checking rules, said message checking rules including;
i) broker specified rules communicated from said switch of the broker system to the security switch and ii) trader specified rules communicated from the trader system to the security switch over a communications path which does not traverse the broker system;
a processor configured to check a message, sent by a user of the trader system over the communications path which does not traverse the broker system, for compliance with broker specified rules and trader specified rules and to reject the message if it fails a check; and
an electronic communications network switch interface;
a matching engine; and
an internal electronic communications network switch coupled to said electronic communications network switch interface of said gateway device and to the matching engine for passing messages which are not rejected by said gateway device to the matching engine for processing.
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Accused Products
Abstract
Methods and apparatus for implementing an electronic trading system which supports risk checking as part of standard message order processing is described. In accordance with the invention risk checking is moved into the exchange system, e.g., electronic communications network, responsible for servicing transaction/order messages and implementing trades. Thus, at least some level of risk checking is performed on transactions even if a broker allows a trader to submit orders directly to the ECN without first passing through a broker order/risk checking system. Brokers, clients and/or individual traders provide parameters used to perform various checks which are performed within the exchange on submitted orders. Various checks are broker level checks which test that orders placed by individual clients do not exceed constraints which are based on the aggregate of the holdings of the individual clients of a broker. Additional client level and trader specified risk checking may also be performed.
70 Citations
19 Claims
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1. An electronic communication network, comprising:
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a gateway device; a security switch coupled to a switch of a broker system and to a trader system and to said gateway device, said security switch being configured to communicate rules received from said broker system, rules received from said trader system and messages received from said trader system to the gateway device; said gateway device including; a first interface for receiving messages sent by a user of the trader system on behalf of a client, from the trader system to the security switch without passing through said broker system; a storage device including stored message checking rules, said message checking rules including;
i) broker specified rules communicated from said switch of the broker system to the security switch and ii) trader specified rules communicated from the trader system to the security switch over a communications path which does not traverse the broker system;a processor configured to check a message, sent by a user of the trader system over the communications path which does not traverse the broker system, for compliance with broker specified rules and trader specified rules and to reject the message if it fails a check; and an electronic communications network switch interface; a matching engine; and an internal electronic communications network switch coupled to said electronic communications network switch interface of said gateway device and to the matching engine for passing messages which are not rejected by said gateway device to the matching engine for processing. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12)
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13. A trading method, comprising:
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operating a security switch to communicate rules received from a broker system, rules received from a trader system and messages received from said trader system to a gateway device, said security switch being coupled to a switch of the broker system, to the trader system and to said gateway device; receiving, via a first interface of said gateway device, messages sent by a user of the trader system on behalf of a client, from the trader system to the security switch without passing through said broker system; storing message checking rules in a storage device, said message checking rules including;
i) broker specified rules communicated from said switch of the broker system to the security switch and ii) trader specified rules communicated from the trader system to the security switch over a communications path which does not traverse the broker system;checking a message, sent by a user of the trader system over the communications path which does not traverse the broker system, for compliance with broker specified rules and trader specified rules and to reject the message if it fails a check; and passing messages which are not rejected by said gateway device, from an internal electronic communications network switch, to a matching engine for processing, said internal electronic communications network switch being coupled to an electronic communications network switch interface of said gateway device and to said matching engine. - View Dependent Claims (14, 15, 16, 17, 18)
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19. A non-transitory computer readable medium, comprising computer executable instructions for controlling a computer to perform the steps of:
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controlling a security switch to communicate rules received from a broker system, rules received from a trader system and messages received from said trader system to a gateway device, said security switch being coupled to a switch of the broker system, to the trader system and to said gateway device; receiving messages sent by a user of the trader system on behalf of a client, from the trader system to the security switch without passing through said broker system; storing message checking rules in a storage device, said message checking rules including;
i) broker specified rules communicated from said switch of the broker system to the security switch and ii) trader specified rules communicated from the trader system to the security switch over a communications path which does not traverse the broker system;checking a message, sent by a user of the trader system over the communications path which does not traverse the broker system, for compliance with broker specified rules and trader specified rules and to reject the message if it fails a check; and controlling an internal electronic communications network switch coupled to an electronic communications network switch interface of said gateway device and to the matching engine, to pass messages which are not rejected by said gateway device to the matching engine for processing.
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Specification