Chicago Mercantile Exchange Inc.

Jose Antonio Acuña-Rohter

Paul J Callaway

Zachary Bonig

Pearce Peck-Walden

Kyle Dennis Kavanagh

Kireeti Reddy

Akira Yamaguchi

Sean Castette

Joshua Hoffberg

Christopher Walsh

Sherry Bryant

Elisa Lugo

A method for generating a prediction of a latency of a transaction processing system includes: sampling a first plurality of messages from a database that stores data indicative of messages previously processed by the transaction processing system including a characteristic and a processing time of each previously processed message; generating latency tables based upon the characteristics and the processing times of the sampled first plurality of messages; determining a characteristic of each of a second plurality of messages being processed by the transaction processing system; selecting, for each of the second plurality of messages, a latency table from the plurality of latency tables based upon the respective determined characteristic; simulating a processing time for each of the second plurality of messages based upon the respective selected latency table; and generating a latency prediction for the transaction processing system based upon the simulated processing times for the second plurality of messages.

Systems and methods for calculating a latency of a transaction processing system

The disclosed embodiments relate to regulation of a rate of incoming orders by buffering or otherwise batching orders together as they are received and subsequently forwarding batches of orders to a match engine for processing thereby in a manner which may equalize orders from traders having varying abilities to rapid submit orders or otherwise capitalize on market events. The disclosed embodiments further relate to prioritizing the matching of resting orders against an incoming order. In particular, the disclosed embodiments alter the priority of a given resting order to match against an incoming order, relative to other suitably matching resting orders, as a function of how long the orders have been resting on the order book.

Market operation through regulation of incoming order match allocation and/or dynamic resting order match allocation priorities

Growing community of inventors

Chicago, IL, United States of America

Jose Antonio Acuña-Rohter