Chicago Mercantile Exchange Inc.

Chicago Mercant Exchange Inc.

John Paul Scheerer

James Allen Bailey

Neil Andrew Lustyk

Paul Alan Millhuff

Supreet Dhillon

Brian Wolf

Julie Holzrichter

Ari L Studnitzer

Jacob Doornebos

Giuseppe Scimeca

Nathan Ball

Wayne G Arner, Ii

Randal Almeida

Christopher Reithel

Pearce Peck-Walden

Stanislav Liberman

Matthew J Kelly

Haifeng Zheng

Troy C Kane

Scott D Banke

Ashraf Ansari

Systems and methods are provided for scoring the use of financial market messages. Uses of messages that are efficient and/or improve market liquidity receive positive scores. Traders are charge fees or receive rewards that are dependent upon message quality scores.

Message processing

A processing module may be centralized and coupled to multiple inputs from customers, and behave deterministically, e.g., programmed to depend on state, inputs and outputs. The rapid speed of automated trading systems implementing such a centralized, deterministic module, where all users can access a central limit order object, can quickly result in an object state that does not reflect a true consensus or desirable state. Accordingly the resulting problem is a problem arising in computer systems due in part to the high speeds of computer systems. The solutions disclosed herein are, in one embodiment, implemented as automatic responses and actions by a computing system.

Detection and mitigation of effects of high velocity value changes based upon match event outcomes

A computer implemented method for controlling operational states of a hardware matching processor includes monitoring, by a circuit breaker, incoming electronic data transaction request messages to the hardware matching processor; dynamically defining a range of values as a function of values included with electronic data transaction request messages received during a rolling lookback window; detecting that an incoming electronic data transaction request message contains a value outside the range of values; transitioning the electronic data transaction processing system into a pre-open state for a predetermined period, thereby preventing the hardware matching processor from matching incoming electronic data transaction request messages; calculating a pre-open value at an end of the pre-open state; and re-opening the electronic data transaction processing system at the calculated pre-open value, thereby allowing the hardware matching processor to match incoming electronic data transaction request messages.

Dynamic circuit breaker

A banding start price may be generated using one of multiple subroutines. Each of the subroutines may generate a banding start price using a different algorithm and may have different input data criteria. Each of those subroutines may be ranked based expected accuracy of a price output by the subroutine. The banding start price may be generated by the highest ranking subroutine for which there is input data satisfying relevant criteria.

Determination of banding start price for order evaluation

A transaction suspension system rapidly determines whether messages received by a data transaction processing system correspond to a stored message pattern. Stored message patterns may relate to a transaction type associated with each message, which sources transmitted the messages, and when messages were received by the data transaction processing system. The transaction suspension system may prevent the processing of messages, e.g., messages from a specific source, even if the messages would have otherwise qualified for processing or execution.

Message pattern detection and processing suspension

A transaction suspension system rapidly determines whether messages received by a centralized, anonymous data transaction processing system related to data objects correspond to a stored message pattern. Stored message patterns may include how the message impact objects within the data transaction processing system, which sources transmitted the messages, and when messages were received by the data transaction processing system. The transaction suspension system may prevent the further processing of messages, e.g., messages from a specific source, even if the message would have otherwise qualified for a completed, or processed, transaction.

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Frankfort, IL, United States of America

John Paul Scheerer