Symbolic Language For Trade Matching

• US 20090327153A1
• Filed: 02/15/2008
• Published: 12/31/2009
• Est. Priority Date: 02/15/2008
• Status: Active Grant

• Current Assignee: New York Mercantile Exchange Incorporated (CME Group Incorporated)
• Original Assignee: New York Mercantile Exchange Incorporated (CME Group Incorporated)
• Inventors: Milne, Andrew
• Granted Patent: US 8,595,119 B2
• Time in Patent Office: Days
• US Class Current: 705/36.00R
• CPC Class Codes: G06F 8/10 Requirements analysis; Specification techniques
• CPC Class Codes: G06F 8/34 Graphical or visual programming
• 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: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A symbolic modeling language for trade matching provides techniques to describe the specialized operations of a match engine in a form that can be understood by business analysts and readily translated into program code and test cases by developers and testers. Associated techniques for calculating implied markets and testing can expedite match engine development, testing and maintenance.

Claims

1. A computer-implemented method for specifying and testing a match engine comprising:

providing a user interface, coupled to the match engine, for receiving commands, the interface comprising a two-dimensional grid, wherein along the first dimension of the grid one or more products are identified and along the second dimension of the grid one or more dates are identified, the intersection of a given product and a given date corresponding to a particular contract, the grid further comprising one or more regions corresponding to a virtual contract that is not associated with a product or a date;

receiving, via the user interface, a first set of one or more commands corresponding to a set of orders, wherein the first set of orders comprises one or more orders for a contract that are not tradeable against each other;

identifying any markets implied by the first set of orders;

outputting market data corresponding to the results of the determining;

receiving, via the user interface, a second set of one or more commands corresponding to a second order for a contract;

determining if the second order is tradable against any subset of orders or markets drawn from the first set; and

outputting data corresponding to the results of the determining.

2. The method of claim 1 wherein the determining comprises selecting one or more subsets for trading according to a priority rule.

3. The method of claim 2 wherein the priority rule is based on the price and time of the orders in the subset.

4. The method of claim 1 wherein the purchase or sale of a particular contract is represented on the grid by connecting a virtual contract to the particular contract.

5. The method of claim 1 wherein the purchase or sale of a particular contract is represented on the grid by connecting two particular contracts, of which the particular contracts form the buy leg and the spread leg of a spread contract.

6. The method of claim 1 where the purchase or sale of an arbitrary combination of contracts is represented on the grid as a single tradable contract.

7. The method of claim 6 wherein the number of lots to trade in each arbitrary combination of contracts is specified by one or more ratios or leg factors, wherein the ratios or leg factors are at least one of:

(i) present in the original definition of the contract on the grid or other initial state of the match engine, or (ii) specified by the sender of an order or administrative message.

8. The method of claim 1 where the grid has one or more dimensions, each corresponding to the number of parameters required to identify a tradable instrument.

9. The method of claim 8 wherein the instrument is associated with a future, option, security, index or emission credit.

10. The method of claim 1 wherein the identifying comprises:

accessing a parameter that defines the extent of implied market calculation;

calculating implied markets in accordance with the parameter.

11. The method of claim 10 wherein the parameter is present in the definition of the contract on the grid, the initial state of the match engine, or specified by the sender of an order or administrative message.

12. The method of claim 1 wherein the identifying comprises:

accessing a parameter that defines the types of markets that may be implied by a given set of orders;

calculating implied markets in accordance with the parameter.

13. The method of claim 1 wherein receiving via the user interface comprises at least one of:

receiving one or more instructions to alter the properties of previously received orders;

receiving one or more instructions to alter the properties of previously received orders where the time priority of the modified order is set according to rules derived from a business requirement;

receiving one or more instructions to cancel previously received orders;

receiving one or more instructions to change the state or states of contracts;

receiving one or more instructions to change the properties of contracts not directly related to their market state; and

receiving one or more messages to change the definition of the grid, including the activation, addition, deactivation or removal of contracts.

14. The method of claim 13 wherein the properties include one or more of price and volume.

15. A method of testing a match engine comprising:

generating a model of a first match engine, wherein generating the model comprises a set of expressions in a domain specific visual modeling language (DSVL),

selecting a set of trading scenarios in a format associated with the DSVL, the trading scenarios comprising any sequence of messages that the match engine is capable of receiving, regardless of whether these messages result in a trade;

coupling to executable code corresponding to a second match engine;

converting the trading scenarios into instructions compatible with the executable code;

providing the instructions to the executable code for execution of the trading scenarios;

executing the trading scenarios with the model of the first match engine; and

comparing the results of executing the trading scenarios by the model of the first match engine and the second match engine.

16. The method of claim 15 wherein the instructions comprise XML code.

17. The method of claim 15 wherein the model of the first match engine comprises a reference for the functionality of the second match engine.

18. A computer-implemented method for interfacing with a match engine, the method comprising:

providing an interface for receiving instructions, the interface comprising a grid that comprises one or more regions each corresponding to a tradable futures contract, security, or other tradable item for which orders can be matched by the match engine, as well as one or more regions corresponding to a virtual contract that is not associated with a tradable item;

receiving, via the interface, one or more symbolic instructions from a user, each instruction associated with one or more tradable items, the instruction comprising a symbol placed on the grid;

executing the instructions on the match engine; and

displaying to the user the results of the executing.

19. The method of claim 18 wherein the instructions relate to buying or selling a particular tradable item.

20. The method of claim 18 wherein the symbolic instruction relates to buying or selling a particular tradable item.

21. The method of claim 20 wherein receiving a symbolic instruction to sell a particular tradable item comprises:

receiving a sell symbol on the grid proximate to the intersection associated with the particular tradable item;

receiving a buy symbol on the grid in a region corresponding to a virtual contract; and

visually connecting the sell and buy symbol on the grid.

22. The method of claim 20 wherein receiving a symbolic instruction to buy a particular tradable item comprises:

receiving a buy symbol on the grid proximate to the intersection associated with the particular tradable item;

receiving a sell symbol on the grid in a region corresponding to a virtual contract; and

visually connecting the buy and sell symbol on the grid.

23. The method of claim 18 wherein the symbols comprise visual indications that relate to one or more of:

the identity of a particular tradable item;

whether a particular tradable item is being bought or sold;

the price at which a particular tradable item is being bought or sold;

the quantity of which a particular tradable item is being bought or sold;

the modification of a previously received instruction;

or the cancellation of a previously received instruction.

24. The method of claim 18 wherein symbols on the grid relate to buying or selling a particular tradable item, the method comprising:

sequencing instructions on the grid relating to a particular securities contract on the basis of one or more of price or the order in which the instructions were received.

25. A computer implemented method of defining a market, the method comprising:

providing a rectilinear grid having at least one row and at least one column, the grid comprising grid elements wherein each grid element corresponds to a virtual contract or a tradable instrument, the grid elements being arranged spatially on the rectilinear grid such that tradeable orders may be drawn in directions only parallel to either a row or a column;

defining an initial state of the market by receiving an instruction in a visual language, the instruction comprising a request to buy or sell a virtual contract or a tradeable item;

receiving an order in a visual language, the order comprising a request to buy or sell a virtual contact or a tradeable item;

determining if the order is tradeable against the initial state of the market; and

providing the results of the determining.

26. The method of claim 25 wherein the visual language is a DSVL.

27. The method of claim 25 wherein at least some columns of the grid correspond to products and at least some rows of the grid correspond to dates.

28. The method of claim 25 wherein receiving an order in a visual language, the order comprising a request to sell a particular tradeable item, comprises:

receiving a sell symbol on the grid element corresponding to the particular tradeable item;

receiving a buy symbol on the grid element corresponding to a virtual contract; and

visually connecting the sell and buy symbol on the grid.

29. The method of claim 28 wherein receiving an order comprises at least one of:

receiving decorations that specify the price and volume of the order;

receiving decorations that specify at least one property associated with the contract; and

receiving one or more instructions to change the definition of the grid.

30. The method of claim 29 wherein the at least one property includes at least one of (i) market state or (ii) leg factors or ratios associated with combinations.

31. The method of claim 29 wherein the instructions to change the definition of the grid include at least one of activation, addition, deactivation, or removal of contracts.

32. The method of claim 26 wherein receiving an order in a visual language, the order comprising a request to buy a particular tradeable instrument, comprises:

receiving a buy symbol on the grid element corresponding to the particular tradeable instrument;

receiving a sell symbol on the grid element corresponding to a virtual contract; and

visually connecting the buy and sell symbol on the grid.

33. The method of claim 25 comprising:

assigning a numeric identification to each grid element;

translating the initial state of the market into one or more XML messages, wherein an instruction associated with a given grid element in the XML message comprises its respective numeric identification.

34. The method of claim 33 comprising:

translating the order into one or more XML messages.

35. The method of claim 34 wherein providing the results of the determining comprises transmitting the XML messages to a processor.

36. A system for testing a match engine comprising:

a match engine having an input port for receiving data corresponding to instructions and an output port for transmitting first result data, the result data comprising the results of processing instructions;

a testing sub-system comprising;

a user interface for receiving a trading scenario in a visual language, the visual language being governed a rule set;

a first processing resource coupled to the interface for converting the trading scenario to instructions corresponding to the trading scenario in a second language;

a communication resource coupled to the input port of the match engine for transmitting the instructions to match engine and further coupled to the output port of the match engine for receiving the first result data;

a second processing resource for processing the instructions according to the rule set of the visual language and generating second result data;

a comparator for comparing the first result data to the second result data.

37. The system of claim 36 wherein the visual language is a DSVL.

38. The system of claim 36 wherein the second language is XML.

39. The system of claim 36 wherein the communication resource comprises a network.

40. The system of claim 36 wherein the first processing resource and second processing resource are implemented with a single processor.

41. The system of claim 36 wherein the user interface is implemented on a personal computer.

42. The system of claim 36 comprising a first data store for storing the trading scenario.

43. The system of claim 42 wherein the first data store is coupled to at least one of the interface and the first processing resource.

44. The system of claim 36 comprising a second data store for storing the instructions.

45. The system of claim 44 wherein the second data store is coupled to at least one of the first processing resource, the second processing resource and the communication resource.

46. The system of claim 36 comprising a second data store for storing first result data.

47. The system of claim 46 wherein the second data store is coupled to at least one of the second processing resource and the comparator.