Refinitiv US Organization LLC

Financial & Risk Organisation Limited

Hayden Paul Melton

Systems and methods of pauseless end-of-interval rollovers are described to provide rollover processing with fault tolerance. A system may execute first and second instances of a matching engine for fault tolerance. Each instance by design is deterministically programmed to perform paused end-of-interval (EOI) rollover processing in which orders may be received without blocking by transmitting loopback messages that indicate to-be-expired messages. The sequencer may sequence the loopback messages along with new order messages. Each instance may continue to receive sequenced messages, which may include loopback messages it or the other instance sent, and expire the order corresponding to the loopback message or the counterpart loopback message, wherein expiration of the order occurs on both the first instance and the second instance without blocking new messages from the sequencer.

Pauseless end-of-interval rollover with fault tolerance

The disclosure relates to non-blocking messaging in an electronic trading venue (ETV) in which a matching engine sends groups of price-compatible contra-orders to a credit engine. Doing so may improve the ETV's efficacy and performance by eliminating the need for multiple roundtrips of messages in the case of a failed credit check, and/or by allowing the ETV to more faithfully implement its matching rules. Upon sending an order to the credit engine the matching engine marks it as 'uncertain' to indicate that additional requests received on it (e.g., cancels) must also be forwarded to the credit engine. When all pending requests on an order have been acknowledged by the credit engine the matching engine unmarks it as such. In addition to credit checking the credit engine may also perform computations related to advanced order types (e.g., icebergs) indicating the output of such in its acknowledgements to the matching engine.

Pipelined credit checking

The invention relates to systems and methods for distributing encrypted market data updates to market participants via private multicast channels. Among other factors, characteristics of modern computer networks may cause participants to be sent (and to receive) their encrypted data for that update at different times. Thus, after the participants have all been sent their data for that update the system may then simultaneously transmit to those participants the key that will enable them to decipher their data via a public multicast channel such that all recipients receive the key at the same time. In this manner the invention may ensure that although participants receive their data in a given update at different times, they are unable to decipher that data until substantially the same time.

Fair credit screened market data distribution

An electronic trading venue (ETV) may prioritize maker orders that specify or are associated with cancel delay values by selecting a maker order to be matched with taker orders before competing maker orders, at the same price level for a given instrument, that have smaller or no cancel delay values. Such prioritization may occur even if the competing maker orders were received before the maker order. A cancel delay value indicates an amount of time that must pass after a request to cancel a maker order is received before the ETV actually cancels the maker order. Thus, in exchange for prioritization, maker orders will be subject to a cancelation delay that starts after a cancel request is received and during which a maker order will not be canceled. Takers may benefit from this by being able to match with a maker order before it can be canceled.

Priority matching for maker orders exhibiting delayed cancelation

User-defined matching of objects is disclosed in which an electronic exchange obtains and executes user-defined rules code that overrides default exchange program code for matching objects at the electronic exchange. The electronic exchange may provide an Application Programming Interface ('API') that exposes various immutable fields that are used to match objects. The API may also include default program code that may be overridden by the user-defined rules code, which may be implemented as a class extension or interface executed by the electronic exchange.

User-defined matching

The invention relates to systems and methods for distributing market data. In one implementation, the system may generate a new encryption key at each market data update, and use that key to encrypt each market participant's data in that update before it is sent. Among other factors, characteristics of modern computer networks may cause participants to be sent (and to receive) their encrypted data in that update at different times. After the participants have all been sent their data in that update the system may then simultaneously transmit to those participants the key that will enable them to decipher their data. In an implementation, the key may be transmitted via a multicast transport protocol which can be used to ensure all recipients receive it at the same time. In this manner the invention may ensure that although participants receive their data in a given update at different times, they are unable to decipher that data until substantially the same time.

The invention relates to a system and method for providing a latency floor for an electronic trading venue in which market participants who can respond within the value the floor and choose to compete in a specific race to make or take a price may each have a substantially equal chance of winning that race. The system may detect and distinguish individual 'races' that occur on an electronic trading venue. Upon detection of the first order (or message) in such a race, the system may create a batch and a timer for that race. As orders pertaining to that race are received, they are added to its batch. Upon the timer reaching a predetermined value, typically the value of the floor, the race is determined to have ended and the orders are drained from the batch for processing (e.g., against the instrument's central limit order book (CLOB)).

Ideal latency floor

An electronic trading venue (ETV) may prioritize maker orders that specify or are associated with cancel delay values by selecting a maker order to be matched with taker orders before competing maker orders, at the same price level for a given instrument, that have smaller or no cancel delay values. Such prioritization may occur even if the competing maker orders were received before the maker order. A cancel delay value indicates an amount of time that must pass after a request to cancel a maker order is received before the ETV actually cancels the maker order. Thus, in exchange for prioritization, maker orders will be subject to a cancellation delay that starts after a cancel request is received and during which a maker order will not be canceled. Takers may benefit from this by being able to match with a maker order before it can be canceled.

Computer-readable media, systems and methods may propagate lower layer data, in headers that would otherwise be deleted, to upper layers in a network protocol stack that uses a multi-layer communication model. For example, high precision network-level timestamps that indicate a time that binary data is received at a network switch may be propagated upward for online application-level processing. Network switches may ordinarily insert network-level timestamps in frame headers that are ordinarily removed prior to propagation upward. The network-level timestamps may be propagated via in-band propagation or out-of-band propagation.

Online application layer processing of network layer timestamps

Disclosed is a system and method for incentivizing participants on an electronic trading venue to post competitively priced bids or offers onto that venue. Participants that post such bids and offers are rewarded by a venue implementing the invention by being sent more frequent (and/or enhanced) market data updates over participants who do not, while those bids and offers remain active and competitive. Participants that receive more frequent market data updates from a venue may have an informational advantage in their trading over those participants that receive less frequent updates.

Informational incentives for submitting maker orders

The invention relates to improved computer systems mitigating the effects of computational incongruencies of Electronic Trading Venue ('ETV') computers based on selection of orders, received at the ETV via a network from the computers, using randomization and delay-free mechanisms. To address High Frequency Trading and improve the efficiency of the computer system of an ETV, the system may immediately, without introducing a batching or randomization delay, place maker orders into an electronic order book. If a taker order is received that is price-compatible with previously received maker orders in the electronic order book, the system may batch the maker orders in the electronic order book for randomization. As such, batching and randomization processes do not use network and computational resources of the computer system unless they are actually necessary, and are typically not employed when maker orders are canceled after their initial entry into the electronic order book.

Delay-free matching for deemphasizing effects of speed differentials among price-makers

A system and method is disclosed for realistic performance testing of a computer network (e.g., a computer network of an electronic trading venue) based on a customizable test scenario, designed by users, executed using a plurality of independent computer nodes each connected to the computer network via its own physical connection to a network device (e.g., network switch) of the computer network. Using the system, developers may design a test scenario that includes testing parameters, which include computer executable code for transmission to and execution at the plurality of computer nodes. The computer executable code may simulate network traffic between devices of market participants and the electronic trading venue.

Low-cost, realistic, performance test bed for an electronic trading venue

A system and method is disclosed for quantifying temporal fairness on an electronic trading venue as a scalar value with unit time. The system may, for an instrument traded on the venue, construct some pluralities of time deltas associated with each pair of market participants in a plurality of such that are active on the instrument. The system may populate these pluralities of time deltas by determining the amount of time that elapses between when the first and second participant in a pair each send (or are sent) a similar message to (or from) the venue. Through analysis of these pluralities of time deltas the system may find two minimum values, fand f, the sum of which may quantify temporal fairness for the instrument on the venue. The resultant sum may inform the value of a latency floor deployed for the instrument on the venue.

Growing community of inventors

Philadelphia, PA, United States of America

Hayden Paul Melton