Classifications

• • G—PHYSICS
  • G06—COMPUTING; CALCULATING OR COUNTING
  • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
  • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
  • G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Definitions

• the present invention relates to an automated exchange system, and in particular to an automated exchange designed to provide a flexible structure able to cope with many different types of requirements.
• the conventional automated trading systems of today implemented at the automated exchanges and market places around the world are all high-confidence systems.
• the systems behave in a way and follow rules that are very well understood and which output a result that is easy to predict given a particular sequence of input data.
• most automated systems operated by the major exchanges trading financial instruments (stocks, bonds, currencies, derivatives thereof, etc.) and commodity contracts including commodity derivatives use a system that is completely deterministic. In such a deterministic system, the output depends only on the input data sequence(s) received by the system.
• the input data is processed by the automated, computerized, matching system, and the output data is a well-documented matching result, which only depends on the series of input data.' This architecture is a key requirement for most major investors using a trading system for matching orders. The reason for this requirement is that they cannot take the risk to have their orders treated any other way.
• a problem with such a deterministic, automated matching system is that it must be designed to perform at a specified lowest level of performance under the worst circumstances and operating conditions envisaged by the system designer.
• the system must be able to cope with a number of different events, such as power failure, a highly variable load of input commands, and faulty input commands, without departing from the predictable output.
• Designing a system that meets all such requirements is very expensive.
• a party operating such an expensive exchange will hence have to charge a considerable amount for each transaction carried out by the system in order to cover the expenses for developing and operating the automated exchange system.
• contingency order matching can easily degrade the performance of the matching service.
• these services must be suspended. This is a crude maneuver, and will not suffice as users expect all their orders kept active and ready to trade at all various market conditions.
• Future order types with more conditions and parameters will also increase the expectations on the evaluation policy. In effect, users will slowly start to expect a more refined view on Quality-of-Service as is true in other areas of Information Technology.
• the non- deterministic nature of multi-threaded processes with "anytime" algorithms has so far effectively kept them banned from live exchanges.
• the system further being designed to centrally provide a very broad range of services to its users (clients) and which system at the same time can be developed and designed in a manner that keeps costs at an acceptable level.
• the deterministic matching core unit of the exchange system is supplemented with an agent trade server designed to provide a range of additional services.
• the agent trade server is preferably run in accordance with a best-effort principle, thereby making it possible to design at low cost.
• the agent trade server is further designed to provide users with functionality that is not necessary or too expensive to implement in the deterministic core of the matching system.
• the agent trade server feeds the deterministic core of the matching system with order input data resulting from the input received from the users of the automated trading system.
• the designer of a complex trading system is given an option to provide centrally-located functionality to the users of the system without having to change the deterministic core architecture of the matching system. Since the agent trade server is working in close connection with the deterministic core of the trading system, it is preferred to physically co-locate the agent trade server computer(s) with the computer(s) hosting the core of the deterministic matching system.
• Fig. 1 is a general view of an automated exchange system including a deterministic matching core unit and a non-deterministic agent trade server.
• Figs. 2a - 2e illustrate different information flows within the automated exchange system of Fig. 1 when user transmits data having various contents to the exchange system.
• a general view of an automated exchange system is shown.
• the system comprises a matching core unit 1 designed in accordance with an architecture that gives the system a completely deterministic behavior.
• the core unit can for example be a computer executing the SAXESS ® Software developed and sold by OM Technology AB, Sweden.
• the system also comprises a multi-protocol gateway 2 forming an interface between the core unit 1 and a number of input terminals 6.
• the terminals 6 are connected to the gateway 2 via lines 4.
• the lines 4 are typically leased lines, but also other types of lines including an Internet connection can be used as long as the gateway is designed to handle the protocol of the used connection.
• the lines 4 can also be used to provide users of the system with multicast messages, e.g. price updates.
• the connection from an input terminal via a leased line connecting to the core of the automated trading system via a gateway is an example of how a conventional trading system can be designed.
• the system as depicted in Fig. 1 is provided with a unit 3 operating in close relation with the core unit 1, and is connected thereto via high capacity communication lines 7.
• the unit provides additional system services and uses an architecture that does not ensure deterministic matching.
• the unit 3 continuously receives information relating to the matching taking place in the core unit.
• the unit 3 is sub-divided into different sub-units. Each sub-unit is designed to provide a particular type of additional service.
• the sub-unit 3a is a computer running software specialized in finding solutions to complex combination orders.
• the sub-unit 3b is termed an agent trade server of a first type.
• the unit can, for example, be designed with user- configurable agents (specialized software acting on behalf of a user) controlled by a master dispatcher that utilize multi-threading or similar non-guaranteed resource sharing under the operating system of the server.
• the users are able to (and preferably should) reconfigure their agents, i.e. set various parameters therein, but they are preferably not allowed to reprogram them.
• the sub-unit 3c is an agent trade server of a second type, with user-programmable agents for example executing under resource management or similar sharing mechanism. Further, the sub-unit 3c is preferably provided with an extensive shielding mechanism in-between individual agents, so that one individual faulty programmed or resource-demanding agent cannot affect the others in an uncontrolled way.
• the unit 3 is connected to input terminals 8, which may be, but do not have to be, the same as the input terminals 6 via external communication lines 5, to a communication interface 9, typically via Internet links for the interactive sessions and the subscriptions of various kinds (status updates etc.).
• the server 3a is not connected to the interface 9 and hence does not have any direct external connections, only internal links to/ from the deterministic core unit 1. This is in accordance with one preferred embodiment. In other preferred embodiments the unit 3a may equally well be connected also to the interface 9.
• FIG. 2a shows the general information flows in a conventional automated, computerized, exchange system when two participants explain their willingness to enter into trade via (at least) two separate order input messages, 201 and 203 respectively, submitted to the matching subsystem of the deterministic core unit 1.
• a conventional automated, computerized, exchange system when two participants explain their willingness to enter into trade via (at least) two separate order input messages, 201 and 203 respectively, submitted to the matching subsystem of the deterministic core unit 1.
• the matching unit will generate a broadcast message 205 informing the participants involved in the trade, and, depending on market transparency settings, also generate a message 207 used for informing other interested parties (to limited or full extent) via a dissemination service unit that broadcasts a message 209.
• FIG. 2b an example of information flow involving the unit 3, and in particular the sub-unit 3a, is shown.
• several complex combinatorial orders are submitted from input terminals via input orders 211.
• the order-matching unit cannot immediately and deterministically allocate deals from these orders 211.
• a typical scenario is that the orderbook is in the mode of a combinatorial auction procedure. Hence, a number of orders are temporarily blocked under certain conditions.
• the orders are then swifdy given to a core services extension in the best-effort sub-system 3, i.e., the sub-unit 3a in this example, which proposes an allocation within a short and discrete time frame, hands the orders back to the matcher with the allocation proposal message 213. If the matcher can accept the proposed allocation, it executes accordingly and disseminates in the results of the trade in a conventional way as previously described with a message 215.
• Fig. 2c shows the case when a participant, i.e. a user connected to the system via an input terminal, has configured a trading agent in an Agent Trade Server (ATS) via a message 217.
• ATS Agent Trade Server
• the ATS corresponds to the sub-unit 3b as described above. It is preferred that the means for communication 217 is not part of the core, since that could compromise the paradigm stance.
• the agent of the sub-unit 3b is continuously fed the same market data from the deterministic core unit 1 exactiy as the participant would have been, and can also be, fed through external systems via messages 219.
• the agent makes a decision based on its configuration parameters and the market data it has received and may put an order 221 to the deterministic core through proper interfaces such as a gateway or connector facility, thus routed into the same stream as all other arriving orders 223.
• the matcher unit evaluates everything at hand and produces deals and market information messages 225, as described above in conjunction with Figs. 2a and 2b.
• Fig. 2d illustrates another part of the unit 3, the agent of the sub-unit 3c.
• the behavior of the agent is the same as that of the sub-unit 3b described in conjunction with Fig. 2c.
• the participant can upload executable code (or scripts) to a predefined agent trade server computer in the best-effort unit 3 via orders 227.
• the means for communication of the orders 227 is not part of the core, since that could compromise the paradigm stance.
• the inner workings of the sub-unit 3c are different to the sub-unit 3b, they preferably have identical interfaces to the core unit 1.
• the information messages 229, 231, 233 and 235 therefore correspond to the corresponding information flows depicted in Fig. 2c.
• Fig. 2e is an overall view of the combined information flow in a system as depicted in Fig. l.Thus, building upon the robustness of the deterministic exchange system platform, a complementary subsystem operating fully under the best- effort principle is formed, increasing the overall system performance with respect to bandwidth management, processing resource management, fault tolerance, and exception handling.
• the overall system formed in this manner will have a continued complete tractability in the current services.
• the hybrid system where the new, optional best-effort services are contained in a separate subsystem, which can be termed the best-effort appurtenance, will complement in a conventional deterministic exchange system.
• a cardinal use case for the new subsystem is when the user uploads a latent order combined with a trigger configuration, combined into a so-called agent instruction, to the ATS.
• the ATS operating under the best-effort principle, communicates with the exchange system platform using one of the already available protocols.
• the ATS computer will typically be placed physically close to the computer hosting the traditional central software of the exchange system (the core), and between the ATS and the core will be a high-speed, local connection.
• the ATS upon receiving the agent instruction, will create a new thread to handle this new request, or revise a previously spawned thread or process.
• a precondition for the automatic activation of a latent order in the ATS is a Boolean operation on a set of scenario triggers. Inspirational generic scenarios can be proposed by the marketplace operator, and then adjusted by each trader or investor. The scenarios could be saved in personalized galleries, and optionally calibrated for each individual order.
• the Agent in the ATS will continuously evaluate the triggers in its instruction against real-time market information received from the deterministic core unit.
• the drawback for the trader with communicating trade intention early can be more than offset by the inherent premium in the reliable, cheap, high-speed connection between the core and the ATS.
• the proximity and direct connection is effectively feeding the ATS with market data much faster than anyone else, thus putting the agents in the ATS at an advantage in certain cases. This may be inciting enough to stimulate an early submission of orders via the ATS.

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• 2003
  • 2003-02-21 SG SG200602973-0A patent/SG153655A1/en unknown
  • 2003-02-21 AU AU2003206570A patent/AU2003206570B2/en not_active Expired
  • 2003-02-21 WO PCT/SE2003/000287 patent/WO2003077177A2/fr active Application Filing
  • 2003-02-21 EP EP03705621A patent/EP1483706A1/fr not_active Ceased
  • 2003-02-21 JP JP2003575319A patent/JP5047452B2/ja not_active Expired - Lifetime
• 2009
  • 2009-10-05 JP JP2009231661A patent/JP5216737B2/ja not_active Expired - Lifetime
• 2010
  • 2010-02-09 AU AU2010200452A patent/AU2010200452A1/en not_active Ceased

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