Embedded hardware based system which provides real-time pre-trade risk assessments for multiple parties and method thereof

• US 9,953,368 B2
• Filed: 01/31/2014
• Issued: 04/24/2018
• Est. Priority Date: 11/17/2010
• Status: Active Grant

• Current Assignee: Fixnetix Ltd. (DXC Technology Company)
• Original Assignee: Fixnetix Ltd. (DXC Technology Company)
• Inventors: Ellis, Paul, Moore, Alasdair, Hughes, Hugh, Dangerfield, Matt
• Primary Examiner(s): Tinkler, Muriel S
• Application Number:
  US14/170,515
• Publication Number:
  US 20140207649A1
• Time in Patent Office: 1,544 Days
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/08 Insurance

Abstract

A risk assessment system and method are provided that may be implemented as an embedded hardware based system and method that provide real-time pre-trade risk assessments for multiple parties, in addition to real-time market data and trading connectivity to a variety of liquidity venues. The liquidity venues may include regulated exchanges, ECNs and other financial institutions listing securities, options, futures, commodities, foreign exchange and other financial instruments.

Claims

1. An embedded risk assessment system, comprising:

a printed circuit board;

one or more programmable logic devices installed on the printed circuit board in electronic communication with each another, the one or more programmable logic devices comprising two or more personality modules, wherein

the two or more personality modules are selected from a group consisting of a client personality module, a market participant personality module, a liquidity venue personality module and a market data personality module,

the two or more personality modules are configured to collectively perform pre-trade risk assessment for a client,

each client personality module comprises a set of risk criteria for a particular client and is configured to forward a trade order for the particular client to a liquidity venue if the trade order satisfies the set of risk criteria,

the two or more personality modules are written to the one or more programmable logic devices using VHSIC Hardware Description Language (VHDL), and

the one or more programmable logic devices comprise at least one of a complex programmable logic device (CPLD), a field programmable gate array (FPGA), or a field programmable object array (FPOA); and

a hot spare programmable logic device installed on the printed circuit board comprising a hot spare personality module, wherein

the hot spare programmable logic device stores a set of code for each of the two or more personality modules so that the hot spare personality module can replicate any of the two or more personality modules should any of the two or more personality modules fail,

the client personality module updates a risk profile of the particular client in real-time without reliance on order acknowledgements from the liquidity venue, wherein the updates to the risk profile are performed based on an assumption that all orders transmitted to the liquidity venue are completed even if order acknowledgements have not yet been received for the orders from the liquidity venue, and

the client personality module permits transmission of subsequent orders by the particular client to the liquidity venue based on the risk profile of the particular client even if order acknowledgements have not yet been received for previous orders transmitted to the liquidity venue.

2. The system of claim 1, wherein the two or more personality modules are the client personality module, the liquidity venue personality module and the market data personality module, the client personality module having a set of risk data for a particular client, the liquidity venue personality module allowing the client personality module to interact with the liquidity venue to send a trade and receive notifications of a completed trade and the market data personality module gathering data about a particular market and wherein the client personality module and the liquidity venue personality module perform pre-trade risk assessment for the client with reduced latency.

3. The system of claim 1, wherein the two or more personality modules are the client personality module and the liquidity venue personality module, the client personality module having a set of risk data for a particular client, the liquidity venue personality module allowing the client personality module to interact with the liquidity venue to send a trade and receive notifications of a completed trade, and wherein the client personality module and the liquidity venue personality module perform pre-trade risk assessment for the client with reduced latency.

4. The system of claim 1, wherein the two or more personality modules are the market participant personality module and the liquidity venue personality module, the market participant personality module having a set of risk data for a particular market participant, the liquidity venue personality module allowing the market participant personality module to interact with the liquidity venue to send a trade and receive notifications of a completed trade, and wherein the market participant personality module and the liquidity venue personality module perform pre-trade risk assessment for the market participant with reduced latency.

5. The system of claim 1, wherein the two or more personality modules are the market participant personality module, the liquidity venue personality module and the market data personality module, the market participant personality module having a set of risk data for a particular market participant, the liquidity venue personality module allowing the market participant personality module to interact with the liquidity venue to send a trade and receive notifications of a completed trade, the market data personality module gathering data about a particular market, and wherein the market participant personality module and the liquidity venue personality module perform pre-trade risk assessment for the market participant with reduced latency.

6. The system of claim 1, wherein the two or more personality modules are the client personality module, the market participant personality module and the liquidity venue personality module, the client personality module having a set of risk data for a particular client, the market participant personality module storing a set of risk data for a broker in a liquidity venue, the liquidity venue personality module allowing the client personality module and the market participant personality module to interact with the liquidity venue to send a trade and receive notifications of a completed trade, and wherein the client personality module, the market participant personality module and the liquidity venue personality module perform pre-trade risk assessment for the client with reduced latency.

7. The system of claim 3, wherein the two or more personality modules are all on an Application-Specific Integrated Circuit.

8. The system of claim 1 further comprising a command and control personality module that performs start-up of the embedded risk assessment system.

9. The system of claim 8, wherein each of the command and control personality module and two or more personality modules poll the other personality modules to determine if a personality module has failed.

10. The system of claim 2, wherein the market data personality module collects real-time data from one or more liquidity venues and converts the real-time data from one or more liquidity venues into common format market data.

11. The system of claim 2, wherein the client personality module performs a market surveillance check for orders in one of the same direction, price, side, and quantity as an order of the client.

12. The system of claim 2, wherein the liquidity venue is one of a regulated exchange, an ECN and other financial institutions listing securities, options, futures, commodities, foreign exchange and other financial instruments.

13. The system of claim 2, wherein the client personality module controls one or more trades of the client based on the risk data for the particular client.

14. The system of claim 2, wherein the client personality module ensures regulatory compliance of the client by controlling access to multiple liquidity venues.

15. The system of claim 6, wherein the client personality module provides end of day data of a current risk profile to the market participant personality module for use in other physical locations.

16. The system of claim 8, wherein the command and control personality module enables remote control by an operator using a remote graphical user interface (GUI).

17. The system of claim 1 further comprising a log audit personality module that keeps a time stamped record of all message flows and configuration changes within the risk assessment system.

18. The system of claim 1 further comprising a market execution personality module that provides a start of day file of a current client risk profile to the client personality module.

19. The system of claim 1 further comprising a service module and log personality module that allows for manual intervention in the event of a trade message being lost or in error.

20. The system of claim 8, wherein the command and control personality module enables the configuration of new and existing personality modules with new risk profiles.

21. The system of claim 8, wherein the command and control personality module provides direct and exclusive control of the client personality module by a market participant operator.

22. The system of claim 8, wherein the command and control personality module filters incoming orders from one of the client personality module and the market participant personality module by a dynamic percentage price check in relation to a latest price held within the market data personality module.

23. The system of claim 8, wherein the command and control personality module filters incoming orders from one of the client personality module and the market participant personality module by a static percentage price check in relation to a market opening price.

24. The system of claim 1 further comprising a status personality module that records incoming orders from one of the client personality module and the market participant personality module in order to provide an independent view of a current risk status of orders.

25. The system of claim 1, wherein incoming orders from one of the client personality module and the market participant personality module are subject to a daily market capitalization amount check in relation to a daily market cap figure held within a static data module.

26. The system of claim 1, wherein incoming orders from one of the client personality module and the market participant personality module are subject to a traded volume percentage check in relation to an average daily volume held within a static data module.

27. The system of claim 1, wherein incoming orders from one of the client personality module and the market participant personality module are subject to a traded volume amount check in relation to a total daily volume held within a static data module.

28. The system of claim 1, wherein incoming orders from one of the client personality module and the market participant personality module are subject to a value at risk (VAR) amount check in relation to a value of the incoming order against a VAR figure held within a static data module and a dynamic market data module.

29. The system of claim 1, wherein incoming orders from one of the client personality module and the market participant personality module are subject to a lot size validity check in terms of a static data personality module and a start of day file.

30. The system of claim 1, wherein incoming orders from one of the client personality module and the market participant personality module are subject to a tick size validity check in terms of a static data personality module and a start of day file.

31. The system of claim 1, wherein incoming orders from one of the client personality module and the market participant personality module are subject to validity checks in terms of valid order types allowable by the liquidity venue personality module.

32. The system of claim 19, wherein the service module and log personality module allows an operator to manually correct prices that have been wrongly sent by the liquidity venue personality module.

33. The system of claim 1, wherein the risk assessment system maintains a list of locked instruments that one of the client or a market participant are not authorized to trade.

34. The system of claim 1, wherein the liquidity venue personality module replicates the liquidity trading venue rules in order to calculate compliance with the liquidity venue rules prior to sending an order to that liquidity venue.

35. The system of claim 1, wherein the liquidity venue personality module communicates with the client personality module to provide acknowledgement of orders &

completions to the client or a market participant.

36. The system of claim 1, wherein each client personality module maintains a record of trading data for orders or transactions by the client throughout a trading period in order to calculate real-time trading capability by combining pre-trade risk parameters set by an operator and data from any transactions or orders subsequent to the pre-trade risk parameters being set.

37. The system of claim 1, wherein an order is forwarded to a liquidity venue only if the order has passed all of pre-trade checks.

38. The system of claim 1, wherein any order that is rejected by the system will result in a message of rejection to be sent to the client and market participant.

39. A method for providing risk assessment, comprising:

providing a printed circuit board having one or more programmable logic devices, each installed on the printed circuit board and electrically connected to each other, the one or more programmable logic devices comprising two or more personality modules, the two or more personality modules being selected from a group consisting of a client personality module, a market participant personality module, a liquidity venue personality module and a market data personality module;

collectively performing, by the two or more personality modules, a pre-trade risk assessment for a particular client;

forwarding a first trade order for the particular client to a liquidity venue if the first trade order satisfies a set of risk criteria stored in a client personality module for the particular client;

updating a risk profile of the particular client in real-time without reliance on an order acknowledgement from the liquidity venue based on an assumption that the first trade order forwarded to the liquidity venue is completed even without receiving an order acknowledgement from the liquidity venue;

forwarding a second trade order for the particular client to the liquidity venue subsequent to the first trade order based on the updated risk profile without receiving an order acknowledgement from the liquidity venue for the first trade order;

determining that a first personality module of the two or more personality modules has failed; and

replacing the first personality module with a hot spare personality module, the hot spare personality module implemented on a hot spare programmable logic device installed on the printed circuit board, wherein

the hot spare programmable logic device stores a set of code for each of the two or more personality modules so that the hot spare personality module can replicate any of the two or more personality modules should any of the two or more personality modules fail,

the two or more personality modules are written to the one or more programmable logic devices using VHSIC Hardware Description Language (VHDL),

the one or more programmable logic devices comprise at least one of a complex programmable logic device (CPLD), a field programmable gate array (FPGA), or a field programmable object array (FPOA).

40. The method of claim 39, wherein the two or more personality modules are the client personality module, the liquidity venue personality module and the market data personality module and further comprising storing, in the client personality module, a set of risk data for a particular client, interacting, using the liquidity venue personality module, the client personality module with the liquidity venue to send a trade and receive notifications of a completed trade and gathering, using the market data personality module, data about a particular market and performing, using the client personality module and the liquidity venue personality module, pre-trade risk assessment for the client with reduced latency.

41. The method of claim 39, wherein the two or more personality modules are the client personality module and the liquidity venue personality module and further comprising storing, in the client personality module, a set of risk data for a particular client, interacting, using the liquidity venue personality module, the client personality module with the liquidity venue to send a trade and receive notifications of a completed trade, and performing, using the client personality module and the liquidity venue personality module, pre-trade risk assessment for the client with reduced latency.

42. The method of claim 39, wherein the two or more personality modules are the market participant personality module and the liquidity venue personality module, and further comprising storing, in the market participant personality module, a set of risk data for a particular market participant, interacting, using the liquidity venue personality module, the market participant personality module with the liquidity venue to send a trade and receive notifications of a completed trade, and performing, using the market participant personality module and the liquidity venue personality module, pre-trade risk assessment for the market participant with reduced latency.

43. The method of claim 39, wherein the two or more personality modules are the market participant personality module, the liquidity venue personality module and the market data personality module, and further comprising storing, in the market participant personality module, a set of risk data for a particular market participant, interacting, using the liquidity venue personality module, the market participant personality module with the liquidity venue to send a trade and receive notifications of a completed trade, gathering, using the market data personality module, data about a particular market, and performing, using the market participant personality module and the liquidity venue personality module, pre-trade risk assessment for the market participant with reduced latency.

44. The method of claim 39, wherein the two or more personality modules are the client personality module, the market participant personality module and the liquidity venue personality module and further comprising storing, in the client personality module, a set of risk data for a particular client, storing, in the market participant personality module, a set of risk data for a broker in a liquidity venue, interacting, using the liquidity venue personality module, the client personality module and the market participant personality module with the liquidity venue to send a trade and receive notifications of a completed trade, and performing, using the client personality module, the market participant personality module and the liquidity venue personality module, pre-trade risk assessment for the market participant with reduced latency.

45. The method of claim 39 further comprising performing, using a command and control personality module, start-up of the embedded risk assessment method.

46. The method of claim 45 further comprising polling, by each of the command and control personality module and the two or more personality modules, each personality module to determine if a personality module has failed.

47. The method of claim 40 further comprising collecting, by the market data personality module, real-time data from one or more liquidity venues and converting the real-time data from one or more liquidity venues into common format market data.

48. The method of claim 40 further comprising performing, by the client personality module, a market surveillance check for orders in one of the same direction, price, side, and quantity as an order of the client.

49. The method of claim 40 further comprising controlling, by the client personality module, one or more trades of the client based on the risk data for the particular client.

50. The method of claim 40 further comprising ensuring, by the client personality module, regulatory compliance of the client by controlling access to multiple liquidity venues.

51. The method of claim 44 further comprising providing, by the client personality module, an end of day data of the current risk profile to the market participant personality module for use in other physical locations.

52. The method of claim 45 further comprising enabling, by the command and control personality module, remote control by an operator using a remote graphical user interface (GUI).

53. The method of claim 39 further comprising maintaining, by a log audit personality module, a time stamped record of all message flows and configuration changes within the risk assessment.

54. The method of claim 39 further comprising providing, by a market execution personality module, a start of day file of the current client risk profile to the client personality module.

55. The method of claim 39 further comprising allowing, by a service module and log personality module, manual intervention in the event of a trade message being lost or in error.

56. The method of claim 45 further comprising enabling, by the command and control personality module, the configuration of new and existing personality modules with new risk profiles.

57. The method of claim 45 further comprising providing, by the command and control personality module, direct and exclusive control of any client personality modules by a market participant operator.

58. The method of claim 45 further comprising filtering incoming orders from one of the client personality module and the market participant personality module by a dynamic percentage price check in relation to a latest price held within the market data personality module.

59. The method of claim 45 further comprising filtering incoming orders from one of the client personality module and the market participant personality module by a static percentage price check in relation to a market opening price.

60. The method of claim 39 further comprising recording, by a status personality module, incoming orders from one of the client personality module and the market participant personality module in order to provide an independent view of a current risk status of orders.

61. The method of claim 39 further comprising performing for incoming orders from one of the client personality module and the market participant personality module a daily market capitalization amount check in relation to a daily market cap figure held within a static data module.

62. The method of claim 39 further comprising performing for incoming orders from one of the client personality module and the market participant personality module a traded volume percentage check in relation to an average daily volume held within a static data module.

63. The method of claim 39 further comprising performing for incoming orders from one of the client personality module and the market participant personality module a traded volume amount check in relation to a total daily volume held within a static data module.

64. The method of claim 39 further comprising performing for incoming orders from one of the client personality module and the market participant personality module a value at risk (VAR) amount check in relation to a value of the incoming order against a VAR figure held within a static data module and a dynamic market data module.

65. The method of claim 39 further comprising performing for incoming orders from one of the client personality module and the market participant personality module a lot size validity check in terms of a static data personality module and a start of day file.

66. The method of claim 39 further comprising performing for incoming orders from one of the client personality module and the market participant personality module a tick size validity check in terms of a static data personality module and a start of day file.

67. The method of claim 39 further comprising performing for incoming orders from one of the client personality module and the market participant personality module a validity check in terms of valid order types allowable by the liquidity venue personality module.

68. The method of claim 39 further comprising allowing an operator to manually correct prices that have been wrongly sent by the liquidity venue personality module.

69. The method of claim 39 further comprising maintaining a list of locked instruments that one of the client or a market participant are not authorized to trade.

70. The method of claim 39 further comprising replicating, by the liquidity venue personality module, a set of liquidity trading venue rules associated with the liquidity venue in order to calculate compliance with the liquidity venue trading rules prior to sending an order to that liquidity venue.

71. The method of claim 39 further comprising providing, by the liquidity venue personality module, acknowledgement of orders and completions to the client or a market participant.

72. The method of claim 39 further comprising maintaining a record of trading data for orders or transactions by that client throughout a trading period in order to calculate real-time trading capability by combining pre-trade risk parameters set by an operator and data from any transactions or orders subsequent to the pre-trade risk parameters being set.

73. The method of claim 39 further comprising validating an order against one or more pre-trade checks and forwarding the order to a liquidity venue only if the order has passed the one or more pre-trade checks.

74. The method of claim 39 further comprising sending a message of rejection to the client and a Market Participant when an order is rejected.

75. An embedded risk assessment system, comprising:

a printed circuit board;

a first programmable logic device installed on the printed circuit board comprising a market data personality module configured to collect real-time market data streams from one or more liquidity venues;

a second programmable logic device installed on the printed circuit board comprising a liquidity venue personality module configured to interact with a first liquidity venue of the one or more liquidity venues;

a third programmable logic device installed on the printed circuit board comprising a market execution personality module associated with a broker having a membership at the first liquidity venue;

a fourth programmable logic device installed on the printed circuit board comprising a client personality module associated with a client of the broker; and

a fifth programmable logic device installed on the printed circuit board comprising a hot standby personality module configured to replicate any of the market data personality module, the liquidity venue personality module, the market execution personality module, and the client personality module if a personality module failure is detected, wherein

each of the market data personality module, the liquidity venue personality module, the market execution personality module, the client personality module, and the hot standby personality module are written to the first programmable logic device, the second programmable logic device, the third programmable logic device, the fourth programmable logic device, and the fifth programmable logic device, respectively, using VHSIC Hardware Description Language (VHDL),

each of the first programmable logic device, the second programmable logic device, the third programmable logic device, the fourth programmable logic device, and the fifth programmable logic device comprise at least one of a complex programmable logic device (CPLD), a field programmable gate array (FPGA), or a field programmable object array (FPOA),

the client personality module updates a risk profile of the client in real-time without reliance on order acknowledgements from the liquidity venue, wherein the updates to the risk profile are performed based on an assumption that all orders transmitted to the liquidity venue are completed even if order acknowledgements have not yet been received for the orders from the liquidity venue, and

the client personality module permits transmission of subsequent orders by the client to the liquidity venue based on the risk profile of the client even if order acknowledgements have not yet been received for previous orders transmitted to the liquidity venue.