U.S. patent application number 12/125682 was filed with the patent office on 2008-09-11 for live profile.
This patent application is currently assigned to Chicago Mercantile Exchange, Inc.. Invention is credited to Jacob Doornebos, Paul Meacham, James P. Moran.
Application Number | 20080222086 12/125682 |
Document ID | / |
Family ID | 37895331 |
Filed Date | 2008-09-11 |
United States Patent
Application |
20080222086 |
Kind Code |
A1 |
Meacham; Paul ; et
al. |
September 11, 2008 |
LIVE PROFILE
Abstract
Systems and methods for reconstructing the state of a market are
provided. Orders are arranged as a non-indexed collection of orders
and may be stored in the cache memory of a processor. The physical
locations of orders stored in the memory may correspond to the
order in which they were received at a match engine. A computer
device simulates the processing of orders between any time periods
to reconstruct the activity state of an entity across a trading
platform and one or more order books.
Inventors: |
Meacham; Paul; (Tinley Park,
IL) ; Doornebos; Jacob; (Riverside, IL) ;
Moran; James P.; (Hinsdale, IL) |
Correspondence
Address: |
BANNER & WITCOFF, LTD.,;ATTORNEYS FOR CLIENT NO. 006119
10 SOUTH WACKER DRIVE, SUITE 3000
CHICAGO
IL
60606
US
|
Assignee: |
Chicago Mercantile Exchange,
Inc.
Chicago
IL
|
Family ID: |
37895331 |
Appl. No.: |
12/125682 |
Filed: |
May 22, 2008 |
Related U.S. Patent Documents
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Application
Number |
Filing Date |
Patent Number |
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11696555 |
Apr 4, 2007 |
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12125682 |
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11276752 |
Mar 13, 2006 |
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11696555 |
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11234697 |
Sep 23, 2005 |
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11276752 |
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Current U.S.
Class: |
1/1 ;
707/999.001 |
Current CPC
Class: |
G06Q 40/04 20130101;
G06F 16/24557 20190101 |
Class at
Publication: |
707/1 |
International
Class: |
G06F 7/00 20060101
G06F007/00; G06F 17/30 20060101 G06F017/30 |
Claims
1. A computer implemented method of reconstructing at least a
portion of an order book for a financial market, the method
comprising: (a) storing a non-indexed collection of substantially
sequential orders in a solid-state processor memory; (b) receiving
the identification of an initial state of the at least a portion of
the order book at a first time; (c) receiving the identification of
a second time after the first time; and (d) utilizing the
non-indexed collection of substantially sequential orders at the
processor to simulate the processing of orders received between the
first time and the second time to reconstruct the state of the at
least a portion of the order book for the financial market at the
second time.
2. The method of claim 1, wherein (b) comprises recreating the
state of the at least a portion of the order book from a startup
time using pending orders prior to the startup time and orders
between the startup time and the first time.
3. The method of claim 1, wherein the orders comprise an order for
any of a futures contract, an options contract, a security, an
equity product or combinations thereof.
4. The method of claim 1, further comprising displaying the state
of the at least a portion of the order book at the second time.
5. The method of claim 1, wherein the non-indexed collection of
substantially sequential orders contains records having a fixed
length.
6. The method of claim 1, wherein the non-indexed collection of
substantially sequential orders contains records having
substantially equal length.
7. The method of claim 1, wherein (d) comprises simulating the
matching of new received orders to orders resting in the
non-indexed collection of substantially sequential orders.
8. The method of claim 1, wherein (d) comprises reconstructing a
state of a trader's order book.
9. The method of claim 8, wherein (d) comprises reconstructing the
profit and loss state of the trader.
10. The method of claim 8, wherein (d) comprises reconstructing a
net position state of the trader.
11. The method of claim 1, wherein (a) comprises separating order
records into fields and physically grouping like fields.
12. The method of claim 11, wherein one field comprises an account
number.
13. The method of claim 11, wherein (a) comprises assigning an
ordered list of keys to values included in at least one field.
14. A computer-readable medium containing computer-executable
instructions for causing a processor to reconstruct at least a
portion of an order book for a financial market by performing the
steps comprising: (a) storing a non-indexed collection of
substantially sequential orders in a solid-state processor memory;
(b) receiving the identification of an initial state of the at
least a portion of the order book at a first time; (c) receiving
the identification of a second time after the first time; and (d)
utilizing the non-indexed collection of substantially sequential
orders to simulate the processing of orders received between the
first time and the second time to reconstruct the state of the at
least a portion of the order book for the financial market at the
second time.
15. The computer-readable medium of claim 14, wherein (d) comprises
reconstructing a state of a trader's order book.
16. The computer-readable medium of claim 15, wherein (d) comprises
reconstructing the profit and loss state of the trader.
17. The computer-readable medium of claim 15, wherein (d) comprises
reconstructing a net position state of the trader.
18. The computer-readable medium of claim 14, wherein (b) comprises
recreating the state of the at least a portion of the order book
from a startup time using pending orders prior to the startup time
and orders between the startup time and the first time.
19. The computer-readable medium of claim 14, wherein the orders
comprise an order for any of a futures contract, an options
contract, a security, an equity product or combinations
thereof.
20. The computer-readable medium of claim 14, wherein (a) comprises
separating order records into fields and physically grouping like
fields.
Description
[0001] The present application is a continuation application of
U.S. Ser. No. 11/696,555, filed Apr. 4, 2007 and entitled "Live
Profile," which is a continuation-in-part application of U.S. Ser.
No. 11/276,752, filed Mar. 13, 2006 and entitled "Match System That
Uses A Non-Indexed Collection of Orders," which is a
continuation-in-part application of U.S. Ser. No. 11/234,697, filed
Sep. 23, 2005 and entitled "Non-Indexed In-Memory Data Storage and
Retrieval." The entire disclosures of all of these applications are
hereby incorporated in their entirety by reference herein.
FIELD OF THE INVENTION
[0002] The present invention relates to systems, methods and user
interfaces that are utilized in connection with the trading of
financial instruments. More particularly, a live profile provides
mechanisms for recreating and displaying the bids and offers
existing in a moment of time in a financial market.
DESCRIPTION OF THE RELATED ART
[0003] Modern financial institutions process and monitor a large
volume of trading data, such as orders for financial instruments.
Financial instruments include options contracts, futures contracts,
options on futures contracts, interest rate products, securities,
commodities, equity contracts, etc. Institutions that administer
transactions in financial instruments process and store large
amounts of trading data every second of the trading day. Moreover,
upon executing a trade, processors continually access and
distribute market data, which is a subset of trading data.
[0004] Large databases may be utilized to store and retrieve
trading data. To select and aggregate trading data, conventional
databases often use sorts, searches, indexes, and/or disc scanning
techniques and lookups. These requirements result in a substantial
number of chip or processing clock cycles and lead to delayed query
results. Current analysis systems utilized to aggregate large
quantities of trading data are often executed in batch mode
overnight because of the computing resources that are consumed by
these activities. Often the aggregation and retrieval of trading
data is not sufficient to allow adequate information to be
retrieved within the desired timeframe. Indeed, under traditional
approaches, large amounts of trading data cannot be adequately
analyzed in real-time, thereby preventing many uses of the data,
such as for exchange risk analysis and regulation monitoring for
risk and potential rule violations.
[0005] Prior art attempts to solve these problems have focused on
building more intelligent indexes to speed up selection and
analysis of the data stored within a database. Yet other systems
have attempted to reduce response time to users through the use of
precomputed summary data. These and other attempts to more
efficiently store and retrieve trading data may not provide
adequate solutions for many problems. For example, precomputed
indexes cannot be rapidly adapted for changing user needs or
changing data. Additionally, precomputed data requires the user to
specify the data that needs to be precomputed. When there is a need
to analyze data from different angles or perspectives, these
conventional systems fail to deliver results in a rapid
fashion.
[0006] Financial institutions, such as exchanges, may provide
regulatory or market oversight to monitor trade activity.
Regulatory or other oversight entities often analyze trading data
for compliance with regulations and to ensure market and financial
integrity. For example, market data representing a market order
book may be analyzed when responding to complaints, reviewing
trading for compliance with rules, conducting formal
investigations, or checking on the financial risk of a market
participant or firm.
[0007] A regulatory entity may try to determine whether a trader
has a pattern of submitting and canceling large orders to create
the appearance of demand in a market. Existing tools may provide
periodic snapshots of the summary information for the top of the
market, but since market bids and offers change rapidly and
continuously, it is not practical to archive snapshots of every
change for the entire book of orders showing the identity of the
parties causing the changes. Systems that look at market data
stored in databases may not be able to provide timely information
for regulatory purposes. Such systems also have limited
flexibility. As a result, the type of analysis that may be
performed is limited and users cannot quickly create new queries to
adapt to new situations.
[0008] Therefore, there exists a need in the art for systems and
methods that allow for the rapid processing, storage searching, and
sorting of large amounts of data in a time sensitive manner.
SUMMARY OF THE INVENTION
[0009] Aspects of a live profile overcome at least some of the
above problems and limitations by providing one or more
apparatuses, systems and methods for efficiently storing, sorting,
displaying, recording, compiling and/or searching of large amounts
of data.
[0010] A live profile may provide data and other information
relating to a market participant's activity across a platform of a
financial market, and/or provide data relating to a market book
existing at some point in the past.
[0011] Information may be arranged as a non-indexed collection of
data records within one or more computer-readable media. Exemplary
computer-readable media include processor cache memories, magnetic
memories, hard disk drives, electromagnetic memories, electronic
memories, and optical disk drives. Solid-state memory modules allow
for rapid queries due to the lack of moving parts, such as those
associated with hard disk drives. The physical locations of
information associated with pending orders stored in a
computer-readable medium may correspond to the sequence in which
the pending orders were received at a match engine, an exchange, or
other financial institution. The state of a market may be
reconstructed by simulating the processing of orders received
between a first time and a second time.
[0012] Of course, the apparatuses, methods and systems disclosed
herein may also include other additional elements, steps,
computer-executable instructions, or computer-readable data
structures. The details of these and other embodiments of the
invention are set forth in the accompanying drawings and the
description below. Other features and advantages will be apparent
from the description and drawings, and from the claims.
BRIEF DESCRIPTION OF THE DRAWINGS
[0013] A live profile may take physical form in certain parts and
steps, embodiments of which will be described in detail in the
following description and illustrated in the accompanying drawings
that form a part hereof, wherein:
[0014] FIG. 1 shows a computer network system that may be used to
implement aspects of the invention;
[0015] FIG. 2 shows a flowchart of one illustrative method of
storing trading data in a computing environment;
[0016] FIGS. 3a and 3b illustrates illustrative collections of
trading data;
[0017] FIG. 4 illustrates yet another illustrative collection of
trading data;
[0018] FIG. 4b illustrates the structure of an alternative
collection of trading data;
[0019] FIG. 5 illustrates an exemplary graphical user interface
that may be used to display market depth information;
[0020] FIG. 6 illustrates one exemplary collection of data arranged
in a substantially sequential ordering;
[0021] FIG. 7 illustrates a system for matching trades;
[0022] FIG. 8 illustrates a method of processing orders with the
system shown in FIG. 7;
[0023] FIG. 9 illustrates a system for matching trades that uses
redundant match engines;
[0024] FIG. 10 illustrates a computer implemented method of
reconstructing an activity state of an entity across a trading
platform;
[0025] FIG. 11 illustrates a graphical user interface that may be
used to initiate a process to reconstruct an activity state of an
entity across a trading platform;
[0026] FIG. 12 illustrates a display or a graphical user interface
that indicates an activity state of an entity across a trading
platform and that results from the input values provided in FIG.
11;
[0027] FIG. 13 illustrates a graphical user interface that shows
executed order data and pending order data; and
[0028] FIG. 14 illustrates a method for recreating a state of an
order book.
DETAILED DESCRIPTION
Exemplary Operating Environment
[0029] Aspects of the invention are preferably implemented with
computer devices, methods, systems and computer networks for
exchange trading information. An exemplary trading network
environment for implementing trading systems and methods is shown
in FIG. 1.
[0030] An exchange computer system 100 receives orders and
transmits market data related to orders and trades to users.
Exchange computer system 100 may be implemented with one or more
mainframe, servers, gateways, desktop, handheld and/or other
computers. In one embodiment, a computer device uses a 64-bit (or
more) processor.
[0031] A user database 102 includes information identifying traders
and other users of exchange computer system 100. Data may include
user names and passwords. An account data module 104 may process
account information that may be used during trades. A match engine
module 106 is included to match bid and offer prices. Match engine
module 106 may be implemented with software that executes one or
more algorithms for matching bids and offers. A trade database 108
may be included to store information identifying trades and
descriptions of trades. In particular, a trade database may store
information identifying the time that a trade took place and the
contract price. An order book module 110 may be included to compute
or otherwise determine current bid and offer prices. A market data
module 112 may be included to collect market data and prepare the
data for transmission to users. A risk management module 134 may be
included to compute and determine a user's risk utilization in
relation to the user's defined risk thresholds. An order processing
module 136 may be included to decompose delta based and bulk order
types for processing by order book module 110 and match engine
module 106.
[0032] The trading network environment shown in FIG. 1 includes
computer devices 114, 116, 118, 120 and 122. Each computer device
includes a central processor that controls the overall operation of
the computer and a system bus that connects the central processor
to one or more conventional components, such as a network card,
such as an Ethernet card, or modem. Each computer device may also
include a variety of interface units and drives for reading and
writing data or files. Depending on the type of computer device, a
user can interact with the computer with a keyboard, pointing
device, microphone, pen device or other input device.
[0033] Computer device 114 is shown directly connected to exchange
computer system 100.
[0034] Exchange computer system 100 and computer device 114 may be
connected via a T1 line, a common local area network (LAN) or other
mechanism for connecting computer devices. Computer device 114 is
shown connected to a radio 132. The user of radio 132 may be a
trader or exchange employee. The radio user may transmit orders or
other information to a user of computer device 114. The user of
computer device 114 may then transmit the trade or other
information to exchange computer system 100.
[0035] Computer devices 116 and 118 are coupled to a LAN 124. LAN
124 may have one or more of the well-known LAN topologies and may
use a variety of different protocols, such as Ethernet. Computers
116 and 118 may communicate with each other and other computers and
devices connected to LAN 124. Computers and other devices may be
connected to LAN 124 via twisted pair wires, coaxial cable, fiber
optics or other media. Alternatively, a wireless personal digital
assistant device (PDA) 122 may communicate with LAN 124 or the
Internet 126 via radio waves. PDA 122 may also communicate with
exchange computer system 100 via a conventional wireless hub 128.
As used herein, a PDA includes mobile telephones and other wireless
devices that communicate with a network via radio waves.
[0036] FIG. 1 also shows LAN 124 connected to the Internet 126. LAN
124 may include a router to connect LAN 124 to the Internet 126.
Computer device 120 is shown connected directly to the Internet
126. The connection may be via a modem, DSL line, satellite dish or
any other device for connecting a computer device to the
Internet.
[0037] One or more market makers 130 may maintain a market by
providing constant bid and offer prices for a derivative or
security to exchange computer system 100. Exchange computer system
100 may also exchange information with other trade engines, such as
trade engine 138. One skilled in the art will appreciate that
numerous additional computers and systems may be coupled to
exchange computer system 100. Such computers and systems may
include clearing, regulatory and fee systems.
[0038] The operations of computer devices and systems shown in FIG.
1 may be controlled by computer-executable instructions stored on
computer-readable medium. For example, computer device 116 may
include computer-executable instructions for receiving order
information from a user and transmitting that order information to
exchange computer system 100. In another example, computer device
118 may include computer-executable instructions for receiving
market data from exchange computer system 100 and displaying that
information to a user.
[0039] Of course, numerous additional servers, computers, handheld
devices, personal digital assistants, telephones and other devices
may also be connected to exchange computer system 100. Moreover,
one skilled in the art will appreciate that the topology shown in
FIG. 1 is merely an example and that the components shown in FIG. 1
may be connected by numerous alternative topologies.
EXEMPLARY EMBODIMENTS
[0040] FIG. 2 shows a flowchart of one illustrative method of
storing trading data in a computing environment. A first trading
record having trading data is received in step 205. The trading
record may be an order received at an exchange, a market data
distributed by an exchange or a trade. Alternatively or in
addition, the trading record may be a record created by an exchange
that represents an order book for one or more financial
instruments, the state of an order book, orders received and
processed for one or more financial instruments, or any other
information that may be used, processed, delivered to, and/or
received by an exchange or entity involved with trading,
administering, monitoring and/or facilitating financial
transactions. The trading data may include one or more specific
identifiers of an order or trade, including: the time and date of
the order or trade, the individual or firm that submitted an order,
price information and/or the identification and quantity of
financial instruments. The trading record may include an order
first transmitted from computer device 116 and/or PDA 122 through
LAN 124 and/or Internet 126 and may be further processed by order
processing module 136. The trading record received in step 205
additionally or alternatively may include market data distributed
by one or more of the modules within Exchange Computer System 100.
Other fewer, and/or additional fields may be included within,
associated with or represented by a trading record.
[0041] In step 210, at least a portion of the data from the trading
record received in step 205 is stored on a computer readable
medium. As used herein, a computer-readable medium may include, for
example, random access memory (RAM), dynamic random access memory
(DRAM), flash memory, a hard disk drive, thumb drive, and/or an
optical disk (CD ROM, DVD or other optical media). Solid-state
memory modules allow for rapid queries due to the lack of moving
parts, such as those associated with hard disk drives. The
computer-readable medium may be integral with the Exchange Computer
System 100 and/or may be associated with one or more modules, such
as the match engine module 136.
[0042] FIG. 3a illustrates a collection of trading data. As seen in
the figure, a memory module 300, such as a RAM or optical disk, may
store a plurality of trading records. For example, the trading
record stored in step 205 may be visually represented as trading
record 305. In step 215, a second trading record may be received.
The second trading record may be of a fixed length and have
substantially the same information as the first trading record
received in step 205. Yet in additional or alternative embodiments,
the second trading record may be of a different length than the
first trading record, may have additional fields not present in the
first record and/or may include additional data not present in the
first record. In one embodiment, optional step 225 (explained in
more detail below) may be implemented to determine if the trading
record comprises more than one field.
[0043] In step 220, the second trading record (or a portion
thereof) is sequentially stored in relation to the first trading
record 305, wherein the data from the second trading record is
stored substantially physically adjacent to the data received from
the first trading record 305. One of the advantages of locating
records close to one another is faster reading times. Existing
database systems may have data scattered throughout a memory
device. Reading data arranged in this manner is time consuming
because the reading process has to skip from one physical location
to another physical location. For example, a hard disk drive must
physically move a reading head from location to location. FIG. 3a
shows one illustrative embodiment where data from the second
trading record 310 is stored in a sequential fashion in relation to
the data stored from the first trading record 305. Unlike
conventional databases, the trading data stored and as represented
by 305 and 310 are not associated with an index for locating the
data. As additional data and/or trading records are received, they
may be stored in a substantially sequential ordering. As used
herein "substantial sequential ordering" means that data is
physically positioned on a computer-readable medium in a direction
that a read operation will follow and does not imply that a sort
operation is performed on the records or data before storing. For
example, data 315 is stored substantially sequential to data 310,
which is stored substantially sequential to data 305. When memory
module 300 is implemented with a hard disk drive, for example, a
reading head may follow a straight path to read records 305, 310
and 315.
[0044] While an exemplary embodiment may not have an index as used
in conventional databases, the collection of data as represented by
first trading records 305, 310 and 315 can perform row selection at
the same speed as an indexed database. Indeed, in some embodiments,
eliminating conventional databases indexes results in queries that
have the same speed for all columns in the table. Conventional
databases typically have an index on every column. This results in
deleterious effects on the insertion speed. Conversely, a
collection of data organized according to the various embodiments
of the present invention allows for rapid insertion speeds and is
particularly useful and advantageous in real-time insertion
situations, such as those routinely encountered in the trading
industry. Moreover, by providing a collection of data without an
associated database-type index, more space is available on the
computer readable medium to store data, such as that present in the
data of the first trading record and second trading record (305,
310). An increase in data storage may be achieved by eliminating
the use of a conventional database-type index. In at least one
implementation, the elimination of an index may double the amount
of data that may be stored on the computer readable memory.
[0045] As one skilled in the art will appreciate, a
computer-readable medium may have multiple linked drives and/or
modules, where the data is stored in a sequential fashion as
described above. The drives and/or modules may be at different
physical or remote locations. For example, FIG. 3b shows two
distinct physical computer-readable media (330, 335) that are
configured to store data in a sequential ordering process. First
trading record 305 is stored in the first portion of
computer-readable medium 330, sequentially followed by a first
portion of second trading record 310a. Since the trading record
consisting of section 310a and 310b is too large to be entirely
stored on computer-readable medium 330, the second portion of the
second trading record 310b is stored on the first portion of
computer-readable medium 335. Trading record 315 is also stored on
computer-readable medium 335 and substantially follows the second
portion of the second trading record 310b. In this regard, the
trading records 305, 310, and 315 are sequentially stored on one or
more computer-readable media arranged in a sequential order. The
computer-readable media, such as computer-readable media 330 and
335, may or may not be physically ordered in a sequential manner,
but rather may be configured to be sequentially store data.
[0046] As briefly mentioned above, one or more trading records may
include multiple fields. Optional step 225 may be implemented to
determine if one or more of the trading records includes more than
one field. Upon determining that more than one field exists, step
230 may optionally be initiated to parse a first field from one of
the trading records. As shown in FIG. 4, data 405, which may be
similar to trading record 305 is received and it is determined
through a process, such as process 225, that it comprises multiple
fields. Optional step 230 may be initiated to parse the data into a
plurality of fields. Data 405 may be parsed into at least three
fields, wherein financial instrument data 405a includes an
identification of the financial instrument, such as an option
contract to purchase wheat in June, price data 405b comprises
information on the price of the contract, and quantity data 405c
may include information on the quantity, such as quantity of
financial instruments. More or fewer fields may be utilized in
various embodiments of the invention. Optional step 235 also or
alternatively may be implemented to determine if a field present in
received data, such as trading record 405 includes a new field,
wherein upon the detection of a new field, a portion of the
computer readable medium may be allocated to store data associated
with the new field (step 240). While step 225 is shown in relation
to receipt of the first trading record, the step may be utilized
upon receipt of any of the trading records.
[0047] In one embodiment, data associated with a first field of a
trading record, such as financial instrument data 405a may be
stored in a first location on the computer readable medium (step
245). Data associated with other fields of the same record is not
stored substantially sequential to financial instrument data 405a,
but may be placed on the computer readable memory at a different
location (see exemplary embodiment of step 250). Upon receiving
another trading record, such as trading record 410, it too may be
parsed into a plurality of data associated with different fields.
For simplicity, FIG. 4 shows trading record 410 subdivided
according to the same fields as record 405. As shown in the figure,
step 250 sequentially stores the data having a matching field (410a
comprises information relating to the field of "financial
instrument") on the computer-readable memory, wherein data of the
first field 405a that was initially stored in step 245 is
substantially physically adjacent to the data of the first field
410a that was stored in step 245.
[0048] Other matching fields of different trading records, such as
trading records 405 and 410 may also be stored in the same manner.
For example, price fields 405b and 410b are stored sequentially
wherein price data 410b is substantially sequential to and follows
price data 405b. (see also; quantity data 405c and 410c). The data
may be stored sequentially as it is received and in at least one
embodiment is stored in real time allowing for the fast storage and
manipulation of the data without having to construct and update a
database-type index. Moreover, while the illustrated
computer-readable memory of FIG. 4 illustrates a single medium, one
skilled in the art will realize a plurality of computer readable
media could be utilized to achieve the same aspects of the
invention.
[0049] FIG. 4b illustrates the structure of an alternative or
additional collection of trading data. A computer-readable medium
420 includes a plurality of arrays that contain trading data. Each
array includes a particular type of data for a plurality of
records. For example, array 2 includes buy/sell, account and firm
data for a plurality of trading records and array 4 includes userID
and sessionID data. Each record is assigned to a unique row.
Section 422, which represents row 0 of array 2 includes 32 bit
rows. Bits 0-14 identify the trading firm, bits 15-30 identify the
account and bit 31 is used to identify data as corresponding to a
buy or a sell. Section 424 illustrates exemplary values for the
fields identified in array 2 and section 426 illustrates exemplary
values for the fields identified in array 4.
[0050] Keys may be used to represent values and facilitate further
processing. The keys utilize table based compression to remove gaps
in data. Section 428 shows exemplary firm number keys. The firm
field in section 422 includes 15 bits, which allows for 32,768
unique keys. The actual firm numbers used may include gaps. For
example, section 428 shows that the first firm number used is "28"
and the second firm number used is "125." When assigning keys, the
keys may be arranged in sequential order corresponding to the
sequential order of the firm numbers to facilitate searching.
Section 428 shows that the lowest firm number of "28" is assigned a
key value of "0" and the next highest firm number of "125" is
assigned a key value of "1."
[0051] Arranging keys in the same order as firm numbers allows for
the rapid searching of firm numbers within a specified range. Of
course keys for some or all of the additional fields, such as
account number, sessionID, userID, price, date and time, may also
be arranged in sequential order, alphabetical order or other orders
that facilitate searching. When new records are added, keys may be
reassigned to ensure that the order of the keys corresponds to the
order of the data.
[0052] A query on a computer readable medium, such as computer
readable mediums having data stored in accordance with several or
all of the steps and embodiments discussed in regards to FIGS. 2-4
may be performed. A query may relate to a method of processing an
order received at a match engine. An order for at least one
financial instrument may be received at a match engine, which may
be implemented, for example, with match engine module 106. At least
one parameter or field may be extracted from the order. Upon
extracting the at least one field or parameter, the field(s) that
were extracted are compared to fields and/or parameters within a
non-indexed collection of data representing pending orders.
[0053] For example, looking back to FIG. 3a, where trading records
305, 310 and 315 represent pending orders, the comparison may be
initiated at the upper starting portion of record 305 and proceed
through trading records 305, 310, and 315 in a sequential manner
based on proximate physical location of the records. Since there is
no database-type index, the data within trading records 305, 310
and 315 may be analyzed from different angles or perspectives at a
more rapid pace than utilizing conventional database structures.
Indeed, in some situations certain fields of data are unlikely to
have data to meet the query being searched. For example, if the
query relates to the quantity of financial instrument fields, a
query against data located in currency fields is unlikely to yield
useful information in many cases. Searching a collection of data
arranged such that records or fields are physically located next to
one another in a memory module in the direction of a read operation
of the search allows for faster query execution when compared to
queries performed on indexed databases having records or fields
distributed throughout a memory module.
[0054] Yet in other embodiments, distinct portions of trading
records may be queried and/or a query may be directed to selected
portions of trading records. For example, the pending orders may be
organized as set forth in FIG. 4, wherein a plurality of trading
records are stored wherein matching fields of different trading
records, such as trading records 405 and 410 are stored in a
substantially sequential fashion without an associated
database-like index. For example, price fields 405b and 410b are
stored sequentially and wherein price field 410b is substantially
sequential to and follows price field 405b. According to one
embodiment of the invention, only data categorized as having
certain fields will be queried. This determination may be based on
a user-input, an algorithm, or a combination of user preference and
a function of one or software applications.
[0055] This can be more readily seen when reviewing FIG. 4. If a
query is directed towards the price of a pending order, the
comparison of the query and the data stored on the computer
readable medium may be initiated at beginning of price data 405b
and proceed in a substantially sequential fashion to price data
410b and through any additional price data located following price
data 410b. The searching and comparison of the price data within
the compared data will be performed without the use of a
database-like index and will go in the sequential manner as
described above. As stated above, the individual trading records,
such as 405 and 410 as well as the individual fields of data such
as 405a and 405b may be of a fixed length, thereby allowing a user
and/or computer device to readily and accurately estimate the time
to conduct the query of the trading records and/or individual data
fields.
[0056] The speed at which queries may be performed when trading
records are arranged as described above may be taken advantage of
for other exchange and trading related activities. For example, a
match engine may match trades using aspects of the inventions.
[0057] FIG. 5 illustrates an exemplary graphical user interface 500
that may be used to display market depth information and allow
traders to trade financial instruments. The figure is helpful to
understand the type and amount of information that represents the
state of a market. Graphical user interface 500 includes a price
and quantity grid 502. Price and quantity grid 502 may contain
multiple sections, which as shown in FIG. 5 include five columns. A
buy column 504 displays a user's working buy order quantities. As
used herein, a user may be a trader. Each user will have different
values in this column reflecting their buy order quantity. A hit
column 506 displays the market bid quantities. Prices for
individual rows are displayed in a price column 508. A take column
510 displays market ask quantities. And, a sell column 512 displays
a user's working sell order quantities. Individual entries may be
color coded to assist users in quickly interpreting the displayed
information. For example, entries in buy column 504 and hit column
506 may be in blue and entries in take column 510 and sell column
512 may be in.
[0058] A trading firm, exchange or other entity may record trading
records in a non-indexed collection of data, as described above.
The speed at which such a collection may be queried and processed
allows such entities to quickly recreate the state of an order
book, or portions thereof, for any time period. For example, an
initial state of the order book may first be determined and then
all of the orders placed at an exchange may be processed in the
same manner that they would be processed by an exchange until the
desired point in time. For example, graphical user interface 500
(shown in FIG. 5) may represent an initial state of a market. All
of the incoming orders received at an exchange may be stored
sequentially in one or more memory modules as a non-indexed
collection of orders such that the physical location of the orders
corresponds to the order in which they were received. A computer
device may then be programmed to retrieve the orders and recreate
the state of the order book.
[0059] Graphical user interface 520 represents the state of a order
book at some time after the state represented with graphical user
interface 500. If we assume that graphical user interface 500
represents the state that existed at 9:00 on Monday morning and
graphical user interface 520 represents the state that existed at
2:00 on the following Wednesday, the state represented with
graphical user interface 520 may be recreated by starting with the
state representing with graphical user interface 500 and processing
orders in the sequential non-indexed collection of orders received
until 2:00 on Wednesday.
[0060] Unlike conventional indexed databases storing and retrieving
trading data according to one or more methods of the present
invention does not require large quantities of trading data to be
executed in batch mode overnight. Indeed, under traditional
approaches, large amounts of data could not be adequately analyzed
in real-time, thereby preventing many uses of the data. Under
select embodiments of the invention, the analysis of the data
sequentially stored on the computer readable memory can be
continually processed in real-time to monitor activity while new
data is being written to the computer readable medium, all without
having to create, update, and maintain a space-consuming database
index and constant interruption to jump physical locations within
the computer readable medium to locate a certain data piece.
[0061] FIG. 6 illustrates one exemplary sequential non-indexed
collection of orders stored on a computer-readable medium 600. As
seen in the figure, computer readable medium 600 includes multiple
orders. Seen at the upper end of computer readable medium 600 is
order 605. Order 605 may be, for example, any of the quantities
and/or prices displayed in the price and quantity grid 502. Order
610 may represent the next order in time received at an exchange
and order 615 may represent the next order in time received at the
exchange. One skilled in the art will appreciate that intervals
between the receipt of orders 605, 610 and 615 may not be
uniform.
[0062] Recreating market conditions may be readily accessible by
querying methods, for example, as described above. Indeed, by
following one or more embodiments of the invention, the analysis of
the data sequentially stored on the computer readable memory can be
continually processed in real-time to monitor activity while new
data is being written to the computer-readable medium, all without
having to create, update, and maintain a space-consuming database
index and constant interruption to jump physical locations within
the computer readable medium to locate a certain data piece.
[0063] FIG. 7 illustrates a system for matching trades. Computer
devices 702, 704 and 706 may be used to transmit orders for
financial instruments to a match engine 708 via a network 710.
Network 710 may be implemented at least in part with the Internet,
a WAN, a LAN, a phone network or other infrastructure used for
exchanging data between computer devices. Incoming orders are
received at a processor 712. Processor 712 may encode incoming
orders and transmit them to a shared memory 714. Encoding may
include reducing the size of the order. For example, an order may
be received at processor 712 that includes the name of a trading
firm. During the encoding process, the trading firm name may be
replaced with a number that represents the trading firm.
[0064] A second processor 716 may be configured to periodically
check shared memory 714 for new orders. Processor 716 may include a
cache memory 718 that includes one or more order books, such as
order book 720. The physical locations of pending orders stored in
cache memory 718 may correspond to the order in which they were
received at the match engine. When a new order is received, the
order may be compared to orders that are included in order book
720. The use of two processors 712 and 716 allows for fast
operation when matching of trades. In alternative embodiments, the
functions performed by processors 712 and 716 may be performed by a
single processor and/or by three or more processors. An exemplary
processor that may be used with aspects of the invention is an
Intel Itanium II, which contains a 9 MB byte cache memory. Another
exemplary processor is the AMD Opteron processor, which utilizes
Hypertransport.TM. technology.
[0065] After trades are matched, market data may be generated by
processor 716 and then transmitted to shared memory 714. Processor
712 may periodically check shared memory 714 for market data
messages. When market data messages are received, processor 712 may
format or expand the market data message and then distribute the
market data message to trading entities, such as those represented
by computer devices 702, 704 and 706. Processor 712 may also
distribute other information to trading entities, such as
acknowledgement messages.
[0066] The speed at which processor 716 may process orders and the
low-cost of such processors facilitates the use of redundant
components and backup mechanisms. For example a backup processor
722 may include a cache memory 724 that includes an order book 726.
Order book 726 may be synchronized with order book 720, such that
in the event that processor 716 fails, backup processor 722 may
resume matching of trades. A synchronization module 728 may be used
to synchronize order books 720 and 726. In one embodiment,
processor 716 and backup processor 722 transmit information
identifying the states of order books 720 and 726 to
synchronization module 728. Synchronization module 728 may then
compare the states of the order books and make any adjustments that
are necessary.
[0067] Match engine 708 may include several different processors
that are configured to match a variety of different trades. Shared
memory 714 may group new orders such that each of the processors
knows which order to process. For example, a first processor may
maintain a first order book and match trades against the first
order book and a second processor may maintain a second order book
for a different financial instrument and match trades for those
financial instruments.
[0068] Backup processor 722 may be included within match engine
708. Alternatively or in addition, backup processor 722 may be
connected to match engine 708 via a local area network or wide-area
network. Backup processor 722 may be in a different geographic
location than processor 716. For example processor 716 may be
located within a first premises and backup processor 722 may be
located in a different premises to prevent all processors from
failing because of a fire or other event at the first premises. Two
or more processors may also be geographically distributed and may
be configured to process orders originating from different
geographic regions. For example, processor 716 may be located in
Chicago and may process orders originating in the United States and
a second processor may be located in London in may be configured to
process orders originating in that region.
[0069] FIG. 8 illustrates a method of processing orders with the
system shown in FIG. 7, in accordance with an embodiment of the
invention. First, in step 802 pending orders are stored in a
substantially sequential non-indexed collection on a computer
readable medium. The computer readable medium may include a cache
memory of a processor to facilitate rapid processing of incoming
orders. Next, in step 804 a new order for a financial instrument is
received at a match engine. The new order may be encoded in step
806. Encoding may include reducing the file size of the order and
placing the order into a standard format that is recognized by
components of the match engine. Next, in step 808 the encoded order
may be stored in a memory module. The memory module may include a
RAM memory that is accessible by more than one processor. In step
810, a processor may periodically check for new orders stored in
the memory module. Steps 806 and step 810 may be performed by the
same or different processors.
[0070] In step 812 the new order is compared to the plurality of
pending orders arranged in the non-indexed collection of
substantially sequential orders. It is then determined whether the
new order matches one of the pending orders in step 814. When the
new order does not match one of the pending orders, in step 816 the
new order is added to the non-indexed collection of substantially
sequential orders. Step 816 may include adding the new order to an
existing order book. If the new order does match one of the pending
orders, a trade for the matching orders may be executed in step
818. Finally, in step 820 market data may be formatted and
distributed.
[0071] FIG. 9 illustrates a system for matching trades that uses
redundant match engines. A first match engine 902 includes a first
processor 904, a shared memory 906 and a second processor 908.
Processor 908 includes a cache memory 910 that may include one or
more order books, such as order book 912. A second match engine 914
includes a first processor 916, a shared memory 918 and a second
processor 920. Processor 920 includes a cache memory 922 that may
include one or more order books, such as order book 924. The
components within match engines 902 and 914 function similar to
corresponding components located within match engine 708 (shown in
FIG. 7).
[0072] The match system shown in FIG. 9 includes an input gateway
926. Input gateway 926 receives orders, assigns identifying
information to the orders and distributes the orders to match
engines 902 and 914. Input gateway 926 may be implemented with a
computer device configured to route data and assign identifying
information. In operation computer device 928 may transmit an order
for a financial instrument to input gateway 916 via network 930.
Network 930 may be implemented at least in part with a WAN, LAN,
phone network or other infrastructure used for exchanging data
between computer devices. After receiving the order, input gateway
926 may assign an identification number to the order and transmit
the order to match engines 902 and 914. In alternative embodiments
of the invention, additional match engines may be included and
input gateway 926 may transmit orders to some or all of the match
engines.
[0073] In the embodiment shown, match engines 902 and 914 receive
orders from input gateway 926 and process those orders in parallel.
Match engines 902 and 914 include the same data in order books 912
and 924 and are configured to produce the same results. Output
messages from processors 904 and 916 are transmitted to an output
gateway 932. Output gateway 932 may be implemented with a computer
device configured to route data. In one embodiment of the invention
input gateway 926 and output gateway 932 are implemented with the
same computer device. Output gateway 932 may include a message
memory 934 that stores information identifying messages that have
been transmitted by output gateway 932. At least part of the
identifying information may be assigned by input gateway 926. The
identifying information may be used to make sure that data for an
event is only distributed once. For example, input gateway 926 may
assign and identification number to a new order and then transmit
the order to match engines 902 and 914. Match engines 902 and 914
may process the order in parallel and generate market data
messages. The market data messages include the identification
number assigned by input gateway 926. When market data messages are
received at output gateway 932, output gateway may be configured to
search identification numbers stored in message memory 934 to
determine if a corresponding market data messages has been
transmitted. When a message is received that includes an
identification number not stored in message memory 934, the message
is distributed to trading entities, such as to computer device 936
via network 938. When a message is received that includes an
identification number that is stored in message memory 934, the
message may be discarded.
[0074] One skilled in the art will appreciate that a variety of
different protocols may be used to assign identifying information
to data received at input gateway 926 and then filter data at
output gateway 932. A new order may be assigned an identification
number at input gateway 926 and derivative identification numbers
may be assigned to messages associated with that order. For
example, a new order may be assigned a 15 digit identification
number and an acknowledgment message may be assigned an
identification number that consists of the 15 digit identification
number followed by a character or number that identifies the type
of message. This allows multiple messages associated with a single
order to all be assigned unique identification numbers that are
related and ensures that match engines 902 and 914 assign the same
identification numbers to created messages.
[0075] In the event of a failure of one of match engines 902 or
914, output gateway 932 would receive messages from only one match
engine and continue to process messages without any failure being
apparent to trading entities. In embodiments that include more than
two match engines operating in parallel, the failure of one or two
match engines would not be apparent to trading entities. Match
engines 902 and 914, as well as any additional match engines, may
be located in the same location or may be distributed to prevent a
fire, network failure or other catastrophic event from halting the
operation of all match engines.
[0076] The speed at which incoming orders may be processed when
pending orders are arranged in a substantially sequential
non-indexed collection in the cache memory of a processor allows
for the processing of many types of orders. Existing match engine
systems limit the type of orders that traders may make. For
example, it not practical to process an order that does not have a
standard format, such as an order to buy four particular contracts
and sell six other contracts, because of the time required to match
a single novel order having several legs to several different
orders.
[0077] With the system described above the processing of orders can
be quickly performed, which allows for many types of orders. For
example, a trader may enter a nonstandard order that contains
multiple legs in different markets. The systems shown in FIGS. 7
and 9 may rapidly attempt to match all of the legs of the
nonstandard order without incurring reductions in throughput that
would be incurred with conventional systems. Match engines 708, 902
and 914 may be programmed to perform implied pricing functions for
nonstandard orders. Alternatively, a trader may provide prices for
one or more legs of a nonstandard order.
[0078] The speed at which orders may be processed when they are
arranged in a substantially sequential non-indexed collection
allows one to quickly reconstruct an activity state of an entity
across the trading platform and/or reconstruct the state of an
order book at any given time. Traders, trading firms and exchange
regulatory or enforcement divisions may wish to reconstruct the
state of a market for a variety of purposes. FIG. 10 illustrates a
computer implemented method of reconstructing an activity state of
an entity across a trading platform, in accordance with an
embodiment of the invention. The trading platform may include a
single exchange, multiple exchanges or other entities or
combinations of entities that allow for the trading of financial
instruments. First, in step 1002 a non-indexed collection of
substantially sequential orders are stored. The orders may be
stored in a variety of different memory modules. In one embodiment,
the collection of substantially sequential orders may be stored in
a processor memory, a solid-state memory or a memory module having
no moving parts. The orders may be orders that were received at an
exchange or other entity that matches orders for financial
instruments and may be orders for futures contracts, option
contracts or any other type of financial instrument.
[0079] Next, in step 1004, the identification of a first time and a
second time after the first time are received. The first and second
times may identify a time period over which an activity state of an
entity across the trading platform will be reconstructed. For
example, if a regulator wanted to determine the profit and loss of
a trader between 10:00:21 and 12:31:04 on a given day, the first
and second times would be selected accordingly. In step 1006, the
non-indexed collection of substantially sequential orders are
accessed and a computer device simulates the processing of orders
received at a trading platform between the first time and the
second time to reconstruct the activity state of an entity across
the trading platform. Finally, in step 1008 the activity state is
displayed on a graphical user interface. An exemplary graphical
user interface is described below. In alternative embodiments
activity state data is printed on a report or displayed on a
display device in a manner other than a graphical user
interface.
[0080] FIG. 11 illustrates a graphical user interface that may be
used to initiate a process to reconstruct an activity state of an
entity across a trading platform, such as the process shown in FIG.
10. A user may enter a start date/time value 1102 and an end
date/time value 1104. The start and stop values may correspond the
first and second times described above in relation to FIG. 10. A
user may also provide identifying information, such as an account
value 1106 and/or a firm value 1108. One skilled in the art will
appreciate that numerous additional or alternative values may be
used to identify a firm, a trader, a session, etc. When selected, a
"go" icon 1110 initiates the recreation process with the values
provided by the user.
[0081] FIG. 12 illustrates a display or a graphical user interface
that indicates an activity state of an entity across a trading
platform and results from the input values provided in FIG. 11. The
identification of the time period and trading entity are found in
section 1202. The reconstructed activity state for the entity is
shown in section 1204. The activity state may include values that
identify instruments, buy and sell volume, net positions, last
price, profit and loss, number of orders, number of modifications,
number of cancelled orders and number of quotes.
[0082] In various embodiments of the invention, graphical user
interface elements allow users to view order book data at different
levels. For example, the instruments displayed in column 1206 may
be implemented with hyperlinks that link to additional data.
Selecting instrument element 1208 may cause computer-executable
instructions to generate the graphical user interface shown in FIG.
13. FIG. 13 shows executed order data 1302 and pending order data
1304 for the selected instrument. Of course numerous additional
links may be provided to allow a user to quickly view data
different levels of granularity.
[0083] FIG. 14 illustrates a method for reconstructing a state of
an order book in accordance with an embodiment of the invention.
First, step 1402 a non-indexed collection of substantially
sequential orders are stored. The orders may be stored in a variety
of different memory modules. In one embodiment, the collection of
substantially sequential orders may be stored in a processor
memory, a solid-state memory or a memory module having no moving
parts. The orders may be orders that were received at an exchange
or other entity that matches orders for financial instruments and
may be orders for futures contracts, option contracts or any other
type of financial instrument. Next, in step 1404, the
identification of an initial state of an order book at a first time
is received. For example, a computer system may receive information
regarding state of an order book that exists when opening on Monday
morning. Next, the identification of a second time after the first
time is received in step 1406. Step 1406 may include receiving a
time of interest to a regulator or other entity monitoring trading
activities. For example, if a regulator is investigating whether or
not a trader was trying to manipulate a market at a particular
time, the particular time would be the second time in step
1406.
[0084] Next, in step 1408, the non-indexed collection of orders is
utilized to simulate the processing of orders received between the
first time and the second time to reconstruct the state of at least
a portion of the order book at the second time. Step 1408 may
include processing orders in the same manner as used by the match
systems described above and may include identifying information at
the second time such as the state of a trader's or firm's order
book, the state of a portion of a trader's or firm's order book,
the profit and loss state, a net position state of the trader and
any other information that may be obtained by simulating the
processing of orders that are received between a first time and a
second time.
[0085] The method shown in FIG. 14 may also be modified to allow a
user to replay the state of a moving market. For example, a user
may create a display having windows that show different information
such as a trader's profit and loss and current positions and the
stepwise show changes. In one embodiment, changes may be displayed
during predetermined time periods. For example, every fifteen
seconds the display may be updated to reflect the state of a order
book one second later. This allows a user to view 60 seconds of
market activity over a fifteen minute period. In another
embodiment, the display is updated only after receiving a response
from the user. This embodiment allows the user to spend as much
time as necessary viewing data before advancing to the next time
period.
[0086] Aspects of the invention may also be used to automatically
generate various alarms. For example, a predetermined profit/loss
condition for a trading entity may result in the generation of an
alarm. The alarm may be in the form of an email message, SMS
message, computer generated alarm or other type of alarm that may
alert a firm, trader, regulator, trading entity or another of a
condition.
[0087] The present invention has been described herein with
reference to specific exemplary embodiments thereof. It will be
apparent to those skilled in the art that a person understanding
this invention may conceive of changes or other embodiments or
variations, which utilize the principles of this invention without
departing from the broader spirit and scope of the invention as set
forth in the appended claims. For example, aspects of the invention
may be applied to data collections that are not related to
exchanges or trading. All are considered within the sphere, spirit,
and scope of the invention.
* * * * *