Multi-parallel architecture and a method of using the same

• US 20030229568A1
• Filed: 07/25/2002
• Published: 12/11/2003
• Est. Priority Date: 06/05/2002
• Status: Active Grant

• Current Assignee: Nasdaq, Inc.
• Original Assignee: Nasdaq OMX Group Incorporated (Nasdaq, Inc.)
• Inventors: Hughes, John T. Jr., Vincent, Timothy, Martyn, Peter J., Serkin, Stuart, Moore, Daniel F., DeNat, Mark, Richmann, James N.
• Granted Patent: US 7,933,827 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 20/10 specially adapted for electronic funds transfer [EFT] systems; specially adapted for home banking systems
• CPC Class Codes: G06Q 20/40 Authorisation, e.g. identification of payer or payee, verification of customer or shop credentials; Review and approval of payers, e.g. check credit lines or negative lists
• 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

Abstract

Multiple securities processors each process attributable security interest messages generated by market participants. Each of these attributable security interest messages relates to a specific security chosen from a plurality of securities traded on the securities trading system, such that each individual security is assigned to one or more of the securities processors. An order routing system routes each attributable security interest message to one of the securities processors.

Claims

1. A parallel processing architecture for a securities trading system comprising:

a plurality of securities processors for processing attributable security interest messages generated by market participants, wherein the attributable security interest messages relate to a specific security chosen from a plurality of securities traded on the securities trading system, wherein each individual security is assigned to one or more of the securities processors; and

an order routing system for routing each attributable security interest message to one of the securities processors.

2. The architecture of claim 1 wherein each securities processor includes a prematching process for validating an attributable security interest message placed by a market participant.

3. The architecture of claim 2 wherein each securities processor includes a matching queue for receiving the validated attributable security interest message from the prematching process and for queuing the validated attributable security interest message for subsequent matching.

4. The architecture of claim 3 wherein the matching queue is a first-in, first-out queue maintained on a non-volatile memory.

5. The architecture of claim 3 wherein the attributable security interest message is a security order and the prematching process includes a order entry process, the order entry process including a validity determination process for receiving the security order, and validating the security order to confirm that it is eligible for matching.

6. The architecture of claim 5 wherein the order entry process includes an order writing process for writing the validated security order to the matching queue.

7. The architecture of claim 3 wherein the attributable security interest message is a security quote and the prematching process includes a quote entry process, the quote entry process including a validity determination process for receiving the security quote, and validating the security quote to confirm that it is eligible for matching.

8. The architecture of claim 7 wherein the quote entry process includes an quote writing process for writing the validated security quote to the matching queue.

9. The architecture of claim 3 wherein each securities processor includes a matching process for obtaining the validated attributable security interest message from the matching queue and for comparing it with previously-validated attributable security interest messages to determine if a match occurs between the validated attributable security interest message and one of the previously-validated attributable security interest messages.

10. The architecture of claim 9 wherein each securities processor includes a delivery authorization process, responsive to the matching process determining that a match exists between the validated attributable security interest message and one of the previously-validated attributable security interest messages, for requesting a transaction authorization from the market participant.

11. The architecture of claim 10 wherein each securities processor includes an execution reporting process, responsive to the delivery authorization process receiving a transaction authorization message from the market participant, for generating a trade authorization message concerning the attributable security interest messages matched by the matching process, wherein this trade authorization message is provided to a trade execution process.

12. The architecture of claim 9 wherein the matching process includes an order management process for managing the validated attributable security interest messages obtained from the matching queue.

13. The architecture of claim 12 wherein the attributable security interest message is a supervisory command and the order management process is configured to process supervisory commands.

14. The architecture of claim 12 wherein the matching process includes an order book, responsive to the order management process, for storing the validated attributable security interest messages obtained from the matching queue.

15. The architecture of claim 14 wherein the order book is maintained on a main memory device and is exclusively accessible by the order management process.

16. The architecture of claim 14 wherein the order management process is configured to remove from the order book any attributable security interest messages that were matched by the matching process.

17. The architecture of claim 14 wherein each securities processor includes an activity log file management process, responsive to the order management process, for maintaining an activity log file that specifies the chronological changes made to the order book by the order management process.

18. The architecture of claim 17 wherein each securities processor includes an order file builder process for accessing the activity log file, wherein the order file builder process uses the chronological change information included in the order activity log file to generate an order book recovery file.

19. The architecture of claim 12 wherein each securities processor includes a match log file management process, responsive to the order management process, for maintaining a match log file that specifies the matches made by the matching process.

20. The architecture of claim 1 wherein the order routing system includes a configurable look-up table that includes assignment entries to assign each of a plurality of securities to one or more securities processors in the system.

21. The architecture of claim 20 wherein the order routing system includes a security look-up process for accessing the configurable look-up table in response to a received attributable security interest message involving a specific security to determine which securities processor the specific security is assigned to.

22. The architecture of claim 21 wherein the order routing system includes a messaging process, responsive to the security look-up process, for sending the received attributable security interest message to the securities processor to which the specific security is assigned.

23. The architecture of claim 20 wherein the assignment entries include security-specific entries that assign a single security to a specific securities processor, with the specific securities processor processing received attributable security interest messages concerning the single security and other securities assigned to the specific securities processor.

24. The architecture of claim 20 wherein the assignment entries include dedicated entries that assign a single security to a dedicated securities processor, with the dedicated securities processor processing only received attributable security interest messages concerning the single security.

25. The architecture of claim 20 wherein the assignment entries include id-range entries that assign a range of securities to a specific securities processor.

26. The architecture of claim 20 wherein the assignment entries include floating entries that assign a single security to the next-available securities processor.

27. The architecture of claim 20 wherein the configurable look-up table includes a specific entry table and a rule entry table.

28. The architecture of claim 27 wherein the specific entry table includes one or more security-specific entries that assign a single security to a specific securities processor, with the specific securities processor processing received attributable security interest messages concerning the single security and other securities assigned to the specific securities processor.

29. The architecture of claim 27 wherein the specific entry table includes one or more dedicated entries that assign a single security to a dedicated securities processor, with the dedicated securities processor processing only received attributable security interest messages concerning the single security.

30. The architecture of claim 27 wherein the rule entry table includes one or more id-range entries that assign a range of securities to a specific securities processor.

31. The architecture of claim 27 wherein the rule entry table includes one or more floating entries that assign a single security to the next-available securities processor.

32. The architecture of claim 27 wherein the security look-up process is configured to first access the specific entry table to determine if the specific entry table includes an assignment entry for the specific security associated with the received attributable security interest message, wherein the rule entry table is subsequently accessed if the appropriate assignment entry is not included in the specific entry table.

33. The architecture of claim 1 further comprising a trade data output process, responsive to the securities processor processing the received attributable security interest message, for transmitting trade data to recipients concerning the processing of the received attributable security interest message.

34. A parallel processing method comprising:

processing, on a plurality of securities processors, attributable security interest messages generated by market participants, wherein the attributable security interest messages relate to a specific security chosen from a plurality of securities traded on a securities trading system, wherein each individual security is assigned to one or more of the securities processors; and

routing each attributable security interest message to one of the securities processors.

35. The method of claim 34 wherein processing attributable security interest messages includes validating an attributable security interest message placed by a market participant.

36. The method of claim 35 wherein processing attributable security interest messages includes queuing, on a matching queue, the validated attributable security interest message for subsequent matching.

37. The method of claim 36 wherein the matching queue is a first-in, first-out queue maintained on a non-volatile memory.

38. The method of claim 36 wherein the attributable security interest message is a security order and validating includes:

receiving the security order; and

validating the security order to confirm that it is eligible for matching.

39. The method of claim 38 wherein validating further includes writing the validated security order to the matching queue.

40. The method of claim 36 wherein the attributable security interest message is a security quote and validating includes:

receiving the security quote; and

validating the security quote to confirm that it is eligible for matching.

41. The method of claim 40 wherein validating further includes writing the validated security quote to the matching queue.

42. The method of claim 36 wherein processing attributable security interest messages includes obtaining the validated attributable security interest message from the matching queue.

43. The method of claim 42 wherein processing attributable security interest messages includes comparing the validated attributable security interest message with previously-validated attributable security interest messages to determine if a match occurs between the validated attributable security interest message and one of the previously-validated attributable security interest messages.

44. The method of claim 43 wherein processing attributable security interest messages includes requesting a transaction authorization from the market participant in response to a match existing between the validated attributable security interest message and one of the previously-validated attributable security interest messages.

45. The securities process of claim 44 wherein processing attributable security interest messages includes generating a trade authorization message concerning the attributable security interest messages matched in response to receiving a transaction authorization message from the market participant, wherein this trade authorization message is provided to a trade execution process.

46. The method of claim 43 wherein comparing the validated attributable security interest message includes managing the validated attributable security interest messages obtained from the matching queue.

47. The method of claim 46 wherein the attributable security interest message is a supervisory command.

48. The method of claim 46 wherein processing attributable security interest messages includes storing the validated attributable security interest messages obtained from the matching queue on an order book.

49. The method of claim 46 wherein managing the validated attributable security interest messages is configured to remove from the order book any attributable security interest messages that were matched.

50. The method of claim 46 wherein processing attributable security interest messages includes maintaining an activity log file that specifies the chronological changes made to the order book.

51. The method of claim 50 wherein processing attributable security interest messages includes accessing the activity log file and using the chronological change information included in the activity log file to generate an order book recovery file.

52. The method of claim 43 wherein processing attributable security interest messages includes maintaining a match log file that specifies the attributable security interest messages matched.

53. The method of claim 34 wherein routing each attributable security interest message includes accessing a configurable look-up table in response to a received attributable security interest message involving a individual security, wherein the configurable look-up table includes assignment entries that assign each of a plurality of securities to one or more securities processors.

54. The method of claim 53 wherein routing each attributable security interest message includes determining which securities processor the specific security is assigned to.

55. The method of claim 54 wherein routing each attributable security interest message includes sending the received attributable security interest message to the securities processor to which the specific security is assigned.

56. The method of claim 55 further comprising transmitting trade data to recipients concerning the processing of the received attributable security interest message.

57. The method of claim 53 wherein the assignment entries include security-specific entries that assign a single security to a specific securities processor, with the specific securities processor processing received attributable security interest messages concerning the single security and other securities assigned to the specific securities processor.

58. The method of claim 53 wherein the assignment entries include dedicated entries that assign a single security to a dedicated securities processor, with the dedicated securities processor processing only received attributable security interest messages concerning the single security.

59. The method of claim 53 wherein the assignment entries include id-range entries that assign a range of securities to a specific securities processor.

60. The method of claim 53 wherein the assignment entries include floating entries that assign a single security to the next-available securities processor.

61. The method of claim 53 wherein the configurable look-up table includes a specific entry table and a rule entry table.

62. The method of claim 61 wherein the specific entry table includes one or more security-specific entries that assign a single security to a specific securities processor, with this specific securities processor processing received attributable security interest messages concerning the single security and other securities assigned to the specific securities processor.

63. The method of claim 61 wherein the specific entry table includes one or more dedicated entries that assign a single security to a dedicated securities processor, with the dedicated securities processor processing only received attributable security interest messages concerning the single security.

64. The method of claim 61 wherein the rule entry table includes one or more id-range entries that assign a range of securities to a specific securities processor.

65. The method of claim 61 wherein the rule entry table includes one or more floating entries that assign a security to the next-available securities processor.

66. The method of claim 61 further comprising first accessing the specific entry table to determine if the specific entry table includes an assignment entry for the specific security associated with the received attributable security interest message, wherein the rule entry table is subsequently accessed if the appropriate assignment entry is not included in the specific entry table.

67. A computer program product residing on a computer readable medium having a plurality of instructions stored thereon which, when executed by the processor, cause that processor to:

process, on a plurality of securities processors, attributable security interest messages generated by market participants, wherein each attributable security interest message relates to a specific security chosen from a plurality of securities traded on a securities trading system, wherein each individual security is assigned to one or more of the securities processors; and

route each attributable security interest message to one of the securities processors.

68. The computer program product of claim 67 wherein processing attributable security interest messages includes instructions to:

validate an attributable security interest message placed by a market participant;

queue, on a matching queue, the validated attributable security interest message for subsequent matching;

obtain the validated attributable security interest message from the matching queue; and

compare the validated attributable security interest message with previously-validated attributable security interest messages to determine if a match occurs between the validated attributable security interest message and one of the previously-validated attributable security interest messages.

69. The computer program product of claim 67 wherein routing each attributable security interest message includes instructions to:

access a configurable look-up table in response to an attributable security interest message involving a specific security, wherein the configurable look-up table includes assignment entries that assign each of a plurality of securities to one or more securities processors;

determine which securities processor the specific security is assigned to; and

send the received attributable security interest message to the securities processor to which the specific security is assigned.