Chicago Mercantile Exchange Inc.

Pearce Peck-Walden

José Antonio Acuña-Rohter

Zachary Bonig

Paul J Callaway

James Allen Bailey

Ari L Studnitzer

Barry Galster

Eric Thill

Priteshkumar Soni

Rosa Frenkel

Dileep Chakravarthi Konduru

Kyle Dennis Kavanagh

David Alan Lariviere

Melissa Ann Jenner

Arkadiusz Koziol

Jake Siddall

Sean Castette

Neil Steuber

Dennis M Genetski

Kireeti Reddy

Akira Yamaguchi

Jose Antonio Acuna-Rohter

Fritz Caskey

Baris Mestanogullari

Eric Schuldt

Manmathasivaram Nagarajan

James W Farrell

Fred Malabre

Brian Wolf

Bernard Pieter Hosman

Frank Kmiec

Ryan Eavy

Andrew Milne

Matthew Morano

Brian Alvin Bourn

Suchith Vasudevan

Giuseppe Scimeca

John Curran

Jose Antonio Acuña-Rohter

Erik Helleren

Francis Bernard Bakalar

Frederic Malabre

James Wilcox

Craig Richard LeVeille

Pritesh Soni

Aditya Arun Kapur

Stanislav Liberman

John Paul Scheerer

Neil Andrew Lustyk

Haifeng Zheng

Matthew J Kelly

Troy C Kane

Mark Andrew Rogerson

Scott D Banke

Ashraf Ansari

Mark Rogerson

Bernard Hosman

The disclosed embodiments relate to implementation, such as by a message processing system architecture, of a message handling system and/or protocol which mitigates optimistic messaging behavior. As used herein optimistic messaging behavior may at least refer to the transmission, in whole or in part, of a message, or of one or more messages of a sequence thereof, to a receiving system, such as the system implemented by the disclosed embodiments, prior to the sender determining that the message(s) is/are desired, alone or in conjunction with subsequently canceling or otherwise invalidating the message(s) once it has been determined that it is not desired. The disclosed embodiments mitigate such behavior by detecting and taking action with respect to these types of messages to deter optimizing behavior which may or may not be manipulative, while maintaining reliable message handling under increasing processing loads with minimal impact on users being able to send messages to the system.

Message processing protocol which mitigates optimistic messaging behavior

Systems and methods are provided for an electronic match engine of an exchange that distributes a minimum data set to an external market data generation (MDG) processor. The electronic match engine derives a minimum data set from data already known to the electronic match engine. The MDG processor, which may be outside of the electronic match engine, may extract the minimum data set and uses it to generate market data. The electronic match engine may append the minimum data set to an order entry message sent to the MDG processor.

Electronic match engine with external generation of market data using a minimum data set

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

A optimization processor in a data transaction processing system receives an electronic data multiple transaction request message including multiple electronic data transaction requests, and determines whether some of the electronic data transaction requests should be routed through or bypass transaction integrity modules designed to detect and mitigate undesirable object conditions. The optimization processor may also determine whether some of the electronic data transaction requests should be routed through or bypass transaction processing modules designed to match or attempt to match electronic data transaction requests. The optimization processor may, in one embodiment, rely upon previous decisions made by the modules. The optimization processor may also access data structures storing information about a current environment state to determine whether an electronic data transaction request should be routed through the time consuming transaction integrity and transaction processing modules.

Optimization processor for electronic data multiple transaction request messages

Systems and methods are disclosed for ensuring execution of multiple inter-dependent transactions in an electronic data transaction processing system in which a plurality of data items are transacted by one or more hardware matching processors associated therewith that match a combined electronic data transaction request comprising a conditional execution instruction and a plurality of component electronic data transaction request messages, each for transaction of a different data item of the plurality of data items.

Execution of co-dependent transactions in a transaction processing system

In a system including a primary process followed by a secondary process, which are performed serially and sequentially, i.e., in a FIFO manner, where the secondary process is downstream of the primary process, the disclosed embodiments relate to selective/conditional secondary processing of electronic data transaction request messages, which speeds up the primary processing of the electronic data transaction request messages, reduces the amount of computing resources wasted on calculating inaccurate information, and reduces the usage of network resources associated with publishing market data feeds and receiving new responsive messages.

Conservation of electronic communications resources and computing resources via selective processing of substantially continuously updated data

The disclosed embodiments relate to implementation of a trading system or trading system architecture having multiple transaction processors that execute financial transactions as well as scheduled tasks. The multiple transaction processors perform all actions independently of each other, but can be configured to execute the financial transactions or scheduled tasks in a controlled, coordinated, and/or synchronized manner based on time signal data augmented to the financial transactions or scheduled tasks by a transaction receiver/orderer.

Systems and methods for coordinating processing of scheduled instructions across multiple components

The disclosed embodiments relate to communication of messages from a database to participants whereby messages, or at least a portion of the content thereof, indicative of changes in the database, due to one or more transactions between two or more participants, are structured so as to reduce redundant data therein and prioritize the transmission of that portion of the message which summarizes the event and result thereof. Further, these event reporting messages may further consolidate, or otherwise be combined with, the corresponding directed reporting messages communicated to the particular participants participating in the reported transaction while preserving the anonymity of those participants to which messages are particularly directed.

Exchange feed for trade reporting having reduced redundancy

The disclosed embodiments relate to creation and dissemination of unique identifiers, i.e. tokens, for use in communication of messages from a transaction processing system, to participants therein whereby messages, or at least a portion of the content thereof, indicative of a response to a request, to transact or modify a prior transaction, are consolidated, or otherwise combined, with the corresponding directed reporting messages communicated to the particular participants participating in the reported transaction while preserving the anonymity of those participants to which messages are particularly directed. The identifiers are structured so as to facilitate rapid validation and dissemination while eliminating the ability to associate any given identifier, or set thereof, with a participant.

Tokens, and the use thereof, for public distribution of messages having a private association with a subset of the message recipients

Disclosed are a system and method, also referred to herein as an architecture, for efficiently communicating a high volume of data from a server over an electronic communications network to geographically disperse recipients, where one or more of those recipients may receive a customized version of that data, e.g., content, timing and/or form. As the data is generated, timing information and/or changes to information regarding customizations is incorporated forming a data stream which is communicated to local data publishers ('LDP's'). Upon receipt, the LDP's extract the data, customization, or timing information and act accordingly when transmitting the received data to the recipients. Customization is applied to update local control databases which specify the customizations for subsequently received data before transmission. By acting on the messages in real time, e.g., as they are received, the LDP's, even if they don't receive the messages at the same time, then perform the same functions in the same relative order relative to the data stream.

Data distribution architecture

The disclosed embodiments relate generally to efficient data transmission and receipt. Specifically, the disclosed embodiments provide systems and methods for selectively combining multiple, disparate message types and transmitting same via one data feed. A consolidation system determines whether data resulting from an event can be combined or merged based on pre-determined message characteristics and state or environment information or should be sent via two separate feeds. The merged message may be backwards-compatible so that data recipient computing systems can easily and selectively decide which portion of the merged data is relevant to the data recipient computing system, only read the relevant portions. Thus, multiple data receivers, which typically consume different message types, can receive and consume the same merged or consolidated message.

Systems and methods for consolidating multiple feed data

The disclosed embodiments relate to implementation of a trading system or trading system architecture having multiple transaction processors that process or execute instructions. The instructions are sent to the transaction processors before they are to be executed, so that when an instruction identifier corresponding to a pre-sent or pre-loaded instruction is sent to a transaction processor, the transaction processor can retrieve and execute the corresponding instruction without unnecessary delay, thus reducing transaction processing latency and improving computing efficiency.

Systems and methods for coordinating processing of instructions across multiple components

Systems and methods for controlling use of a credit pool in connection with electronic trading in a plurality of product groups via a set of match engines are described. Credit data indicative of a current magnitude of the credit pool is obtained. A plurality of allocations of the credit pool are determined, based on the credit pool, across the plurality of product groups. For each allocation of the plurality of allocations, allocation data indicative of the allocation is provided to a respective credit controller of a set of credit controllers. The respective credit controller is disposed at a respective match engine to which a respective product group of the plurality of product groups is assigned. The use of the credit pool for an incoming order in a respective product group is thus limited in accordance with the allocation data provided to the credit controller at the respective match engine.

Distributed credit control with centralized allocation

A data transaction processing system including multiple transaction processors also includes an active transaction receiver that sequences all incoming messages from various sources to facilitate transactional determinism, as well as a results arbiter to efficiently decide which transaction processor result to choose as the correct output. The data transaction processing system minimizes overall latency by optimizing which transaction processors and results arbiters are responsive to specific client computer input requests or messages.

Distributed and transactionally deterministic data processing architecture

Growing community of inventors

Chicago, IL, United States of America

Pearce Peck-Walden