Hyannis Port Research, Inc.

Christophe Juhasz

Anthony D Amicangioli

Allen Bast

B Joshua Rosen

A distributed computing system, such as may be used to implement an electronic trading system, supports a notion of fairness in latency. The system does not favor any particular client. Thus, being connected to a particular access point into the system (such as via a gateway) does not give any particular device an unfair advantage or disadvantage over another. That end is accomplished by precisely controlling latency, that is, the time between when request messages arrive at the system and a time at which corresponding response messages are permitted to leave. The precisely controlled, deterministic latency can be fixed over time, or it can vary according to some predetermined pattern, or vary randomly within a pre-determined range of values.

Highly deterministic latency in a distributed system

A distributed system includes a plurality of compute nodes configured to process messages. The compute nodes each process messages corresponding an assigned value of a common parameter of the messages. The values are assigned to the compute nodes such that two or more compute nodes are available to process each message. The values can be assigned to the compute nodes in a grouping configuration or a striping configuration. The compute nodes also circulate one or more tokens among nodes, and perform a self-maintenance operation during a given state of possession of the token. During a self-maintenance operation, the values assigned to the compute node can be reassigned to other compute nodes to ensure processing of corresponding messages.

Distributed system with fault tolerance and self-maintenance

An electronic trading system and corresponding method are based on a point-to-point mesh architecture. The electronic trading system comprises a gateway, core compute node, and sequencer. The core compute node performs an electronic trading matching function. The gateway transmits a message to the core compute node via a first direct connection. The gateway transmits the message via a second direct connection to the sequencer which, in turn, transmits a sequence-marked message to the core compute node via a third direct connection. The core compute node determines relative ordering of the message among other messages in the electronic trading system based on the sequence-marked message to complete the electronic trading matching function, deterministically. The gateway, core compute node, sequencer, and respective direct connections form at least a portion of the point-to-point mesh architecture and enable the electronic trading system to perform high-speed, deterministic, electronic trading of financial instruments while exhibiting low latency, fairness, and fault tolerance, among other features.

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Carlisle, MA, United States of America

Christophe Juhasz