Data compression of electronic data transaction request messages

• US 9,929,743 B1
• Filed: 04/28/2017
• Issued: 03/27/2018
• Est. Priority Date: 03/13/2017
• Status: Active Grant

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Acua-Rohter, Jos Antonio, Studnitzer, Ari, Kavanagh, Kyle D., Peck-Walden, Pearce, Schuldt, Eric
• Primary Examiner(s): Nguyen, Khai M
• Application Number:
  US15/581,636
• Time in Patent Office: 333 Days
• Field of Search: 341 51, 341 87, 705305, 705 36 R, 705 37
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: H03M 7/30 Compression speech analysis-synthesis for redundancy reduction G10L19/00; for image communication H04N; Expansion; Suppression of unnecessary data, e.g. redundancy reduction
• CPC Class Codes: H04L 51/18 Commands or executable codes
• CPC Class Codes: H04L 67/60 Scheduling or organising the servicing of application requests, e.g. requests for application data transmissions using the analysis and optimisation of the required network resources admission control or resource allocation H04L47/70

Abstract

A data transaction processing system receives electronic data transaction request messages from client computers over a data communication network and groups a subset of the electronic data transaction request messages. The data transaction processing system may preprocess the group of electronic data transaction request messages based on the other messages in the same group before forwarding the electronic data transaction request messages to a transaction processor.

Claims

1. A computer implemented method for processing electronic data transaction request messages in a data transaction processing system in which data objects are transacted by hardware matching processors that match electronic data transaction request messages for data objects received from different client computers over a data communications network, the method comprising:

storing electronic data transaction request messages received by the data transaction processing system within a time interval in a buffer, wherein each electronic data transaction request message comprises a request to perform a transaction on a data object, a quantity and a value;

compressing the electronic data transaction request messages in the buffer based on characteristics of the electronic data transaction request messages in the buffer, wherein the characteristics include at least one of;

an electronic data transaction request message source;

an electronic data transaction request message type;

an electronic data transaction request message transaction type;

a value;

or a data object, and further wherein the compressing comprises combining a plurality of the electronic data transaction request messages received from a same source into a single electronic data transaction request message; and

forwarding the electronic data transaction request messages in the buffer to a hardware matching processor.

2. The computer implemented method of claim 1, wherein the compressing does not comprise solely performing the requested transaction.

3. The computer implemented method of claim 1, wherein the compressing does not require an electronic data transaction request message that is compressed to refer to another electronic data transaction request message.

4. The computer implemented method of claim 1, wherein each of the combined plurality of the electronic data transaction request messages received from the same source includes a request to cancel a same previously received electronic data transaction request message.

5. The computer implemented method of claim 4, wherein the previously received electronic data transaction request message is not stored in the buffer at the same time as the combined plurality of the electronic data transaction request messages received from the same source.

6. The computer implemented method of claim 5, which includes forwarding the previously received electronic data transaction request message to the hardware matching processor before compressing the electronic data transaction request messages in the buffer.

7. The computer implemented method of claim 1, wherein each of the combined plurality of the electronic data transaction request messages received from the same source includes a request to perform a transaction of a same type on a same data object.

8. The computer implemented method of claim 7, wherein each of the combined plurality of the electronic data transaction request messages received from the same source includes a request to perform a transaction of a same type on a same data object at the same value.

9. The computer implemented method of claim 7, wherein the electronic data transaction request message transaction type is one of relinquish or purchase a quantity of a financial instrument associated with the data object.

10. The computer implemented method of claim 1, wherein the electronic data transaction request message type includes one of limit, fill and kill, or cancel.

11. The computer implemented method of claim 10, further comprising determining, by the hardware matching processor, whether an attempt to match an electronic data transaction request message with at least one previously received but unsatisfied electronic data transaction request message for a transaction which is counter thereto results in at least partial satisfaction of one or both of the electronic data transaction request message and the at least one previously received but unsatisfied electronic data transaction request message.

12. The computer implemented method of claim 11, further comprising, if the electronic data transaction request message type is limit and if the electronic data transaction request message is not fully satisfied, storing, by the hardware matching processor, data associated with the electronic data transaction request message in an order book object associated with the data object.

13. The computer implemented method of claim 11, further comprising, if the electronic data transaction request message type is fill and kill and if the electronic data transaction request message is not fully satisfied, removing, from the data transaction processing system, any unsatisfied quantity associated with the electronic data transaction request message.

14. The computer implemented method of claim 1, wherein the compressing comprises:

detecting that at least two of the electronic data transaction request messages are received from the same source, and

deleting, from the buffer, at least one of the at least two electronic data transaction request messages from the same source.

15. The computer implemented method of claim 1, wherein an electronic data transaction request message that is compressed does not refer to another electronic data transaction request message.

16. A computer implemented method for processing electronic data transaction request messages in a data transaction processing system in which data objects are transacted by hardware matching processors that match electronic data transaction request messages for data objects received from different client computers over a data communications network, the method comprising:

storing electronic data transaction request messages received by the data transaction processing system within a time interval in a buffer;

compressing the electronic data transaction request messages in the buffer based on characteristics of the electronic data transaction request messages in the buffer; and

forwarding the electronic data transaction request messages in the buffer to a hardware matching processor; and

wherein the electronic data transaction request messages are stored in the buffer in a first sequence, the method further comprising forwarding the electronic data transaction request messages in the buffer to the hardware matching processor in a second sequence different from the first sequence, such that at least one electronic data transaction request message received by the data transaction processing system after another electronic data transaction request message is processed by the hardware matching processor before the another electronic data transaction request message.

17. A computer system for processing electronic data transaction request messages in a data transaction processing system in which data objects are transacted by hardware matching processors that match electronic data transaction request messages for data objects received from different client computers over a data communications network, the computer system comprising:

at least one memory operable to store electronic data transaction request messages received by the data transaction processing system within a time interval; and

at least one compressing processor configured to cause the system to compress the electronic data transaction request messages in the memory based on characteristics of the electronic data transaction request messages in the memory, the characteristics including at least one of;

an electronic data transaction request message source;

an electronic data transaction request message type;

an electronic data transaction request message transaction type;

a value;

or a data object; and

wherein the compressing processor is further configured to combine a plurality of the electronic data transaction request messages received from a same source into a single electronic data transaction request message.

18. The computer system of claim 17, which further comprises a hardware matching processor coupled to the memory.

19. The computer system of claim 17, wherein each electronic data transaction request message comprises a request to perform a transaction on a data object, a quantity and a value.

20. The computer system of claim 19, wherein the compressing processor does not compress an electronic data transaction request message based solely on performing a requested transaction.

21. The computer system of claim 19, wherein the compressing processor does not require an electronic data transaction request message to refer to another electronic data transaction request message to compress the electronic data transaction request message.

22. The computer system of claim 17, wherein each of the combined plurality of the electronic data transaction request messages received from the same source includes a request to cancel a same previously received electronic data transaction request message.

23. The computer system of claim 22, wherein the previously received electronic data transaction request message is not stored in the memory at the same time as the combined plurality of the electronic data transaction request messages received from the same source.

24. The computer system of claim 17, wherein each of the combined plurality of the electronic data transaction request messages received from the same source includes a request to perform a transaction of a same type on a same data object.

25. The computer system of claim 24, wherein each of the combined plurality of the electronic data transaction request messages received from the same source includes a request to perform a transaction of a same type on a same data object at the same value.

26. The computer system of claim 25, wherein the previously received electronic data transaction request message is not stored in the memory at the same time as the combined plurality of the electronic data transaction request messages received from the same source.

27. A computer system for processing electronic data transaction request messages in a data transaction processing system in which data objects are transacted by hardware matching processors that match electronic data transaction request messages for data objects received from different client computers over a data communications network, the computer system comprising:

at least one memory operable to store electronic data transaction request messages received by the data transaction processing system within a time interval; and

at least one compressing processor configured to cause the system to compress the electronic data transaction request messages in the memory based on characteristics of the electronic data transaction request messages in the memory, the characteristics including at least one of;

an electronic data transaction request message source;

an electronic data transaction request message type;

an electronic data transaction request message transaction type;

a value;

or a data object; and

wherein the compressing processor is further configured to detect that at least two of the electronic data transaction request messages are received from the same source, and delete, from the memory, at least one of the at least two electronic data transaction request messages from the same source.

28. A computer system for processing electronic data transaction request messages in a data transaction processing system, the computer system comprising:

means for storing electronic data transaction request messages received by the data transaction processing system within a time interval in a buffer, wherein each electronic data transaction request message comprises a request to perform a transaction on a data object, a quantity and a value;

means for compressing the electronic data transaction request messages based on characteristics of the electronic data transaction request messages in the buffer, wherein the characteristics include at least one of;

an electronic data transaction request message source;

an electronic data transaction request message type;

an electronic data transaction request message transaction type;

a value;

or a data object, and further wherein the compressing comprises combining a plurality of the electronic data transaction request messages received from a same source into a single electronic data transaction request message; and

means for forwarding the electronic data transaction request messages in the buffer to a hardware matching processor.