Chicago Mercantile Exchange Inc.

Zachary Bonig

Ari L Studnitzer

Frank Kmiec

Ryan Eavy

Pearce Peck-Walden

Barry Galster

Paul J Callaway

David Alan Lariviere

James Allen Bailey

José Antonio Acuña-Rohter

Eric Thill

Brian Alvin Bourn

Suchith Vasudevan

Jake Siddall

Neil Steuber

Kireeti Reddy

Akira Yamaguchi

Sean Castette

Dileep Chakravarthi Konduru

Jose Antonio Acuna-Rohter

Jacques Doornebos

Haifeng Zheng

Don Mendelson

Mike Donaghy

Akrapong Lin

Matthew Coffey

Scott Henderson

Matthew Morano

Baris Mestanogullari

Bernard Pieter Hosman

Jose Antonio Acuña-Rohter

Manmathasivaram Nagarajan

Francis Bernard Bakalar

Craig Richard LeVeille

Priteshkumar Soni

Arkadiusz Koziol

Donald Mendelson

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

The disclosed embodiments relate to implementation of a trading system, which may also be referred to as a trading system architecture, having improved performance which further assures transactional determinism under increasing processing transaction loads while providing improved trading opportunities, fault tolerance, low latency processing, high volume capacity, risk mitigation and market protections with minimal impact, as well as improved and equitable access to information and opportunities.

Transactionally deterministic high speed financial exchange having improved, efficiency, communication, customization, performance, access, trading opportunities, credit controls, and fault tolerance

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 plurality of message transceivers coupled with each other via a portion of an electronic communications network characterized by a transmission latency are each operative to perform an action on data transaction messages received thereby. Upon receipt by any of the plurality of message transceivers of a first augmented data transaction message transmitted thereto by another of the plurality of message transceivers, the receiving message transceiver is configured to delay performance of the action on the first augmented data transaction message for an amount of time based on an extent to which a defined amount of time exceeds a transmission time, resulting from the transmission latency of the portion of the electronic communication network via which the first augmented data transaction message was conveyed, of the first augmented data transaction message between the transmitting and receiving message transceivers when the transmission time is less than the defined amount of time.

Enforcement of latency determinism across a computer network

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

Systems and methods are provided to increase the rate at which a system can accept and process data transaction request messages. The system includes a pre-processor that filters incoming data transaction request messages prior to transmitting the messages for further processing, for example, by a matching engine. The pre-processor quickly identifies whether a new arriving data transaction request is transactable. If the new arriving data transaction request is not transactable, then the data transaction request will be transmitted and stored in a main data structure and not transmitted to the matching engine.

Pre-matching orders at wire rate in a central limit order book

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

Skokie, IL, United States of America

Zachary Bonig