Financial exchange system having automated recovery/rollback of unacknowledged orders

• US 5,305,200 A
• Filed: 11/02/1990
• Issued: 04/19/1994
• Est. Priority Date: 11/02/1990
• Status: Expired due to Term

• Current Assignee: EBS Dealing Resources, Inc. (CME Group Incorporated)
• Original Assignee: Foreign Exchange Transaction Services Incorporated
• Inventors: Coleman, Michael, Poole, Geoffrey, Hartheimer, Richard, Klepka, Chris
• Primary Examiner(s): McElheny, Jr., Donald E.
• Assistant Examiner(s): SHINGALA, GITA
• Application Number:
  US07/608,643
• Time in Patent Office: 1,264 Days
• Field of Search: 364/408, 364/200, 364/800, 364/401, 235/379, 235/380
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

A distributed processing on-line automated trading system uses structured messages to represent each stage in the negotiation between a market maker (quoter) and a potential buyer or seller (requestor). Such a system is subject to uncertainties caused by the fact that a variable time is required for an order (buy or sell) message to be transmitted from the requestor to the quoter, or for a cancel (quote interrupt) message to be transmitted from the quoter to the requestor. Furthermore, it is possible that an equipment failure in the network, either in a communication link or even at the workstation of one of the traders, will prevent a small fraction of such order messages and cancel messages from reaching their intended destination within the relatively short time-frame typically associated with an on-line transaction system. An electronic log maintained by the quoter'"'"'s workstation provides a reliable and impartial mechanism for automatically verifying whether an order was actually received by the quoter, and for thereby resolving whether the quoter is committed to accept an order that was placed during the small (typically only a few seconds) window of uncertainty after an order is placed and before the requestor would have been notified that the order was accepted or the quote was interrupted or a failure had occurred in the relevant communication link. In addition, the system regularly reviews a second transaction log maintained by the requestor'"'"'s workstation for any "doubtful" transactions (i.e., those designated as "order in process" for more than a few minutes), including "doubtful" transactions which were not resolved when any network failure message was originally received, and those which were the result of a failure associated with the requestor'"'"'s workstation.

Claims

1. In an on-line automated trading system for facilitating a negotiated transaction between a maker and a taker, wherein a completed transaction includes an offer, an acceptance, and a confirmation that the acceptance was received before the offer was withdrawn:

a communication network comprising;

a maker node,

a taker node, and

a communications link connecting the maker node with the taker node;

a maker workstation connected to said maker node;

a taker workstation connected to said taker node;

offer means for transmitting an offer message from the maker workstation to the taker workstation via the communications network;

offer interruption means for transmitting an interrupt message from the maker workstation to the taker workstation indicating that a previously transmitted offer message is no longer valid;

acceptance means for transmitting an acceptance message from the taker workstation to the maker workstation via the communications network;

confirmation means for transmitting a confirmation message from the maker workstation to the taker workstation via the communications network indicating that a corresponding acceptance message was received at the maker workstation prior to any offer interrupt message being transmitted from the maker workstation;

first electronic storage means connected to said taker node for storing an electronic transaction log of all said acceptance messages prior to transmission to the maker workstation, and of any corresponding said interrupt or confirmation messages after they are received by the taker workstation;

second electronic storage means connected to said maker node for storing an electronic transaction log of any said confirmation messages prior to transmission to the taker workstation;

taker transaction log monitoring means for automatically monitoring the first electronic storage means and identifying any doubtful transaction log entry for which no corresponding confirmation or interrupt message has been logged in the first electronic storage means within a predetermined interval of time following the logging of an acceptance message; and

recovery means responsive to the taker transaction log monitoring means for automatically attempting to access the second electronic storage means and for updating the doubtful transaction log entry in the first electronic storage means to reflect receipt of a confirmation message if a corresponding confirmation message has been logged in the second electronic storage means.

2. The trading system of claim 1 wherein said recovery means generates a printed deal ticket indicating that the deal was recovered by the system.

3. The trading system of claim 1 further comprising rollback means responsive to the taker transaction log monitoring means for attempting to access the second electronic storage means and for updating the doubtful transaction entry in the first electronic storage means to reflect receipt of an interrupt message if the rollback means is able to determine that no corresponding confirmation message has been logged in the second electronic storage means.

4. The trading system of claim 3 wherein said recovery means generates a printed deal ticket indicating the deal was recovered by the system.

5. The trading system of claim 1 further comprising network monitoring means associated with the communications network for transmitting a network failure message to the taker workstation if the network is not able to transmit any messages from the taker workstation to the maker workstation.

6. The trading system of claim 5 further comprising order inhibiting means, associated with the taker workstation and responsive to the quote interruption means and to the network monitory means, for inhibiting any subsequent attempt to log and transmit an acceptance message from the taker workstation to the maker workstation after a quote interrupt message or a network failure message has been received by the taker workstation.

7. The trading system of claim 5 wherein said recovery means is responsive to both the network monitoring means and to the taker transaction log monitory means, and in the event that the taker transaction monitoring means indicates that an acceptance has been logged in the first electronic storage means and has not been confirmed or interrupted before a network failure message is received, immediately attempts to access any corresponding transaction log entry in the second electronic storage means.

8. The trading system of claim 1 wherein

said maker node further comprises a plurality of workstations, including the maker workstation, each connected to a common data processor by respective communications link portions of the communications network,

transaction log entries are recorded in said second electronic storage means by the common data processor in response to messages from the maker workstation, and

said recovery means accesses said second electronic storage means by transmitting appropriate messages to the common data processor over the communications network.

9. The trading system of claim 8, wherein

said taker node further comprises a second plurality of workstations, including the taker workstation, each connected to a second common data processor by respective communications link portion of the communications network,

said first electronic storage means is controlled by the second common data processor in response to messages from the taker workstation, and

said recovery means is responsive to said transaction log monitoring means, even if there is a communication failure in the communications link between said taker workstation and the second common data processor electronic transaction log, by transmitting appropriate messages to the data processor over the communications network.

10. The trading system of claim 9, wherein said communication network is a redundant, dedicated message routing network capable of establishing more than one communications link between any two nodes in the network.

11. The trading system of claim 1, wherein

said transaction may also include a deal amount that is not established until after the acceptance has been confirmed,

said trading system further comprises deal amount means for transmitting a message from the maker workstation to the taker workstation setting forth the deal amount, and

said second electronic storage means also stores transaction log entries relating to said deal amount messages.