Ebs Group Limited

Chicago Mercantile Exchange Inc.

Nex Services North America LLC

Intercapital Services North America LLC

Michael Merold

Edward Richard Howorka

Steven Iaccheo

John Edward Schoen

Neena Jain

Vladimir Neyman

James Shu

Andrew Foray

Peter Richard Horsfall

Schalk M Steyn

Michal Sheves

Mark Bucaj

Peter Robert Capuano

Stanislav Liberman

Matthew Morano

Gregory D Mills

Srivathsan Krishnasami

Francis Bernard Bakalar

Venkatesh Hegde

Indira P Sinha

Brian G Dugdale

Alastair G Crane

Igor Douglas Nevistich

Roy S McPherson

Richard Wenzel

Paul M Ginsberg

John Schoen

The disclosed embodiments relate to systems/methods for low latency regulation of distributed, e.g., geographically and/or logically, transaction processing, such as trading of financial instruments, in accordance with centralized demand-based dynamically reallocated post-trade-based limits, e.g., credit/risk limits. In particular, the disclosed embodiments relate to monitoring credit demand across execution venues, as opposed to actual utilization, and, based thereon, modifying execution specific limits to reallocate of portions of a credit/risk allotment, such as a credit/risk limit, to multiple execution venues for use in approving transactions, which may implement order driven and/or quote driven markets, so as to dynamically rebalance the allocations to the execution venues based on demand/need, rather than utilization, thereby avoiding having to mitigate latencies in determining and responding to utilization. In addition, the disclosed embodiments may maximize the total available amount for reallocation by recognizing inter-execution venue limit offsetting positions, i.e., trades, during the rebalancing process.

Low latency regulation of distributed transaction processing in accordance with centralized demand-based dynamically reallocated limits

The disclosed embodiments relate to a latency floor mechanism for processing incoming orders to an electronic trading system which impart a delay on orders, not when they are received, but when they are matched by the match engine/CLOB thereby imparting zero added latency between order submission/modifications/cancellations and price market data publication by the electronic trading system because the disclosed randomization processing delay applies only to matched orders, which represent a small fraction of the market events.

Randomization of orders at matching in electronic trading systems

The disclosed embodiments relate to electronic trading system architectures, for processing incoming orders to an electronic trading system, which feature a latency floor mechanism which imparts a delay on incoming orders. In particular, the disclosed embodiments implement a latency floor mechanism which compensates for both latency variations among trader's ability to submit transactions and also variations in the volume of submitted transactions therefrom.

Efficient resource allocation in latency floor implementation

The disclosed embodiments relate to systems/methods for data message matching in a peer-to-peer exchange system. Within the peer-to-peer exchange system, a dedicated processing instance attempts to match incoming data messages to resting message previously converted to the market data by other dedicated processing instances within the peer-to-peer exchange system. The market data stored within mirrored data structures on the dedicated processing instances, such that each instance may individually and independently attempt to match its respective data messages to all currently resting messages. When the incoming data message at least partially fails to be matched, the dedicated processing instance may determine whether to convert the unmatched portion to a resting message within the market data.

Peer-to-peer data message matching

Orders received by an electronic trading system are processed in batches based on the instrument to which an order relates. An incoming order is assigned to a queue of a queue set that makes up the batch according to a random process. Where orders are received from related trading parties, they are assigned to the same queue set according to their time of receipt. The batch has a random duration within defined minimum and maximum durations and at the end of the batch, the orders held in the queues are transferred to a matching thread of the trading system sequentially with one order being removed from each queue and a number of passes of the queues completed until orders have been removed.

Method and apparatus for order entry in an electronic trading system

Orders received by an electronic trading system are processed in batches based on the instrument to which an order relates. An incoming order is assigned to a queue of a queue set that makes up the batch according to a random process. Where orders are received from related trading parties they are assigned to the same queue set according to their time of receipt. The batch has a random duration within defined minimum and maximum durations and at the end of the batch, the orders held in the queues are transferred to a matching thread of the trading system sequentially with one order being removed from each queue and a number of passes of the queues completed until orders have been removed.

Joint execution type compound orders can be processed in an anonymous trading system comprising a plurality of broker nodes each of which includes an order matching functionality and a market distribution functionality. Trader agent nodes are connected to a number of dealer terminals grouped in trading floors and also to a broker node. Joint execution orders are entered as hit orders and are all matched by the broker during the hit or the order is cancelled. If matches are made the taker's trading agent does not complete any of the deals marking up the order until it knows that all the deals are executable. The system may be used to allow traders to hit bids and offers in currency pairs synthesised from other currency pairs. In this arrangement the dealer enters a simple order in the synthetic currency and the taker's trading agent converts it into a joint execution order.

Compound order handling in an anonymous trading system

In a trading system market data from a matching engine is distributed by a broker to a plurality of trading floors repeatedly every T seconds, typically one second. This one second distribution period is divided into a plurality of time slots and each trading floor is randomly assigned to a slot. Data for a given trading floor is calculated and distributed during the time slot assigned to that floor. The position of a trading floor relative to others is varied by swapping a pair of adjacent time slots every J distribution periods.

Distribution of data to multiple recipients

An anonymous trading system allows parties to divide potential counterparties into tiers according to their perceived creditworthiness and the risk involved in trading with them. Price adjustments are applied to order prices for all tiers other than the first so that second and subsequent tier counterparties trade at less favorable prices. An offer is converted into a series of linked orders, one per tier, all at different prices. Tier identifiers attached to the orders are compared to ensure that the correct tier prices are displayed to counterparties.

Electronic trading systems

Growing community of inventors

Sparta, NJ, United States of America

Michael Merold