EP3152732A1 - Börsenhandelssystem - Google Patents
BörsenhandelssystemInfo
- Publication number
- EP3152732A1 EP3152732A1 EP15727867.2A EP15727867A EP3152732A1 EP 3152732 A1 EP3152732 A1 EP 3152732A1 EP 15727867 A EP15727867 A EP 15727867A EP 3152732 A1 EP3152732 A1 EP 3152732A1
- Authority
- EP
- European Patent Office
- Prior art keywords
- trading
- order
- data processing
- trading platform
- orders
- Prior art date
- Legal status (The legal status is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the status listed.)
- Ceased
Links
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
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- 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
- G06Q40/02—Banking, e.g. interest calculation or account maintenance
-
- H—ELECTRICITY
- H04—ELECTRIC COMMUNICATION TECHNIQUE
- H04J—MULTIPLEX COMMUNICATION
- H04J3/00—Time-division multiplex systems
- H04J3/02—Details
- H04J3/06—Synchronising arrangements
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- H—ELECTRICITY
- H04—ELECTRIC COMMUNICATION TECHNIQUE
- H04J—MULTIPLEX COMMUNICATION
- H04J3/00—Time-division multiplex systems
- H04J3/02—Details
- H04J3/06—Synchronising arrangements
- H04J3/0635—Clock or time synchronisation in a network
- H04J3/0638—Clock or time synchronisation among nodes; Internode synchronisation
- H04J3/0647—Synchronisation among TDM nodes
- H04J3/065—Synchronisation among TDM nodes using timestamps
-
- H—ELECTRICITY
- H04—ELECTRIC COMMUNICATION TECHNIQUE
- H04J—MULTIPLEX COMMUNICATION
- H04J3/00—Time-division multiplex systems
- H04J3/02—Details
- H04J3/06—Synchronising arrangements
- H04J3/0635—Clock or time synchronisation in a network
- H04J3/0638—Clock or time synchronisation among nodes; Internode synchronisation
Definitions
- the present invention relates to an exchange trading system and a method for operating an exchange trading system.
- trading platform has as its core at least one so-called “matcher” (trading platform data processing device, i.e. an order bookkeeping and execution unit) in which orders are placed in one
- Order book can be saved or edited.
- the matcher is generally connected via at least one switch - with the dealers and on the other hand with an order processing system (back office) in which the order execution is completed and, for example, the corresponding financial transaction is processed.
- back office order processing system
- a trader If a trader is interested in a stock exchange transaction, he places an order on the trading platform. This contains the title concerned, information on whether the title should be sold or bought (buy / sell), the desired number (Quantity) and the price. The trading platform feels the order book. When an order arrives it is checked if there is an appropriate stored order. If not, the order will be placed in the order book stored and acknowledged to the client. If so, the trade is executed, entered in the sales book and both parties are informed. The information about the traded trade then goes anonymously (ie without information about who the two traders involved were) to all traders (broadcasf).
- a fast electronic commerce network should support these communication patterns. Especially in the case of transfer a) (trader -> trading system) fairness is important. Therefore, it may not be possible for one of the traders to manipulate this process and thereby gain benefits. Moreover, in such a system, the dealer who first has the information of a course change has an advantage. Again, so should the Fairness guaranteed. Without special complex measures, this is not possible with the use of traditional networks - even from the supercomputer sector. Furthermore, it should be ensured that the system can not be overloaded in such networks. Also, highly available communication systems should be available.
- Processing speed in the trading system and processing speed in the dealer system is crucial. There are therefore many efforts in the stock market environment to improve these various speeds.
- Such supercomputer networks are optimized on the one hand for point - to - point communication and on the other hand for multicast / broadcast.
- Point-to-point communication is particularly important to supercomputers because in many applications many "equal" computers work on a single task, often requiring communication with an "arbitrary" (given by the task) partner.
- multicast or broadcast a message is sent to a predefined group. It is in the Supercomputer world assumed that all partners receive the afterglow; If a single computer can not accept the message, the bill usually has to be stopped, because continuing to count in the absence of individual computers no longer makes sense.
- a network from the Supercomputer application has different properties to those required in the Exchange application. For example, it would be troublesome for an exchange application if, as in supercomputer networking, an other merchant computer is oversaturated with information due to an error or intentional action, so that it can no longer work properly. In the broadcast case, the whole system can come to a standstill and stop if a single one of the merchant computers does not accept the broadcast message, whether due to a technical problem or intentional.
- Another challenge is the intelligent inclusion of information on the dealer side. In a high performance system, there may be times when the Dealer data processing device will no longer be able to process and sort out the flood of information that comes on them.
- an exchange trading system which comprises:
- a plurality of merchant data processing devices A plurality of merchant data processing devices
- each merchant data processing device is capable of placing orders in the form of electronic messages to the trading platform and the trading platform is capable of storing those orders in an order book or at least partially executing on an appropriate order already stored in the order book; each merchant data processing device having a timer and being arranged to provide each order with a time indication which represents the time of delivery of the order; and wherein the system is arranged so that the trading platform processes incoming orders strictly in an order that corresponds to the time specification.
- a “merchant data processing policy” may be an integrated computer, but it does not have to be a “personal computer” entity. It can also be divided into several, possibly spatially separated, units; the same applies to other data processing devices described in this application.
- the trading system can - in all the aspects of the present invention - be constructed in a tree-like hierarchy with several levels, wherein the network nodes of the levels are each formed by switches with at least one "uplink” connection and multiple "downlink” connections.
- At least one merchant data processing device has a network interface (in particular a network card) via which the merchant data processing device is connected to the trading platform, and the timer is integrated in the network interface.
- the timers of all merchant data processing devices are identical and provided by the system operator. It can be provided, for example, that each dealer receives a network interface provided by the system operator that is identical for all merchants and can only communicate with the trading platform via this.
- the trading platform has a matcher as its core, i. a trading platform data processing device arranged to keep an order book and perform the function of matching, i. the merging of offers and demands for predefined rules (matching rules).
- the trading system has at least one network switch, and the merchant data processing devices are connected thereto by the matcher.
- the switch can serve as an aggregation switch for a network architecture resulting in the application described here.
- switch generally refers to a network node that allows selective forwarding to certain (single or multiple, possibly also to all) connected devices - in the present context, the switch allows at least one order received from a merchant data processing device
- a switch in the sense used here is a device ensuring this functionality, regardless of whether all the associated elements are physically adjacent to one another (and, for example, in a common housing) ) are arranged or not.
- the at least one switch can be understood as part of the trading platform, which does not mean that it is physically present at the location of the matcher.
- the ability of the trading platform to process incoming orders strictly according to the order given by the time is a feature of the trading platform itself, ie the trading platform is capable to process the incoming orders strictly in order of time.
- the order sorting (that is to say the determination of the sequence based on the time information) takes place in this switch, which then also has a buffer memory set up accordingly.
- the switch then always forwards the order with the oldest time first.
- the matcher the orders are then processed according to the sequence defined by the times.
- the sorting can also be carried out in a prioritizer and / or confirmed which part of the trading platform data processing device is or is connected upstream of it (for example, directly).
- such a prioritizer can also suppress the second of two identical incoming messages.
- the timer of the dealer data processing devices has an important function. There are several ways to take action to ensure that all merchant data processing initiations run the same time:
- the (eg identical for all) timer may have a free oscillator or run over the network clock;
- the timer can be repeatedly (eg periodically) synchronized via the trading platform or via a trusted external source, such as GPS;
- the network clock may be dictated by the trading platform.
- an exchange trading system which comprises:
- a trading platform and A plurality of merchant data processing devices;
- each merchant data processing device is capable of delivering orders in the form of electronic messages to the trading platform and the trading platform is capable of storing these orders in an order book or at least partially execute an order already stored in the order book and storing or at least partially execute the To acknowledge dealer data processing; wherein each merchant data processing device is adapted to monitor the number of unacknowledged messages delivered to the trading platform and is arranged so that a predetermined maximum number of such unacknowledged electronic messages is never exceeded.
- Unacknowledged messages are messages for which no acknowledgment has yet been received.
- the maximum number corresponds to a message credit available to each merchant data processing device.
- the number of messages that are on the way must not exceed a maximum number. This prevents a merchant data processing device from inadvertently or deliberately flooding the trading system with messages and thus clogging electronic data channels, which would create unequal conditions for the various subscribers. It can further be provided that the size of at least one message buffer memory of the trading system is matched to the maximum number, such that the buffer memory can not overflow.
- Such a buffer memory of the trading system may be in particular a buffer memory, which is used according to the first aspect of the invention for the order review.
- Such a buffer memory of the trading system may, for example, be a buffer memory of a switch. In doing so, it may be a dedicated (i.e., reserved for downlink to the dealer) buffer, the size of which will then be at least equal to that of the maximum number of messages.
- a cache may also be a centralized store for multiple merchants (i.e., either a central cache of a switch or a cache of a switch at a higher network level, itself connected to multiple switches).
- the preferred criterion "size of the buffer memory is matched to the maximum number, such that the buffer memory can not overflow" at least for the / Cache of the switch in which the sorting takes place.
- each network node there is sufficient buffer memory for all unanswered messages assigned to the network node
- the trading program is designed to be redundant, i. all components are duplicated so that in principle (at least) two trading platforms result.
- Redundancy itself is also known in stock exchange systems.
- a corresponding equivalent component is provided for the failure of a system-relevant component - for example of the matcher. If necessary, this is used instead of the failed component, but this requires switch-on and synchronization processes. The same applies to the transition back to the standard component, if it is functional again. In both cases, there is a time during which the system does not work; Also, the fair treatment of orders in the event of such a failure at a previously unknown location of the system is a challenge.
- the two trading platforms are now constructed identically and in normal operation both equally in use. All transactions are thus carried out on both trading platforms.
- the trading platforms are set up in such a way that simultaneous operation ensures that both matchers (or, in the case of a majority of matchers per trading platform, the matching matchers) have identical order books at all times. This can be ensured, for example, in particular by sorting the orders on the basis of the time specification according to the first aspect of the invention and / or possibly a credit system is used according to the second aspect. If random components play a role (eg with exactly identical time specifications in two orders), the pseudo-random number generators of the two trading platforms are configured identically and work with the same starting values.
- the switch used for connection to the merchant data processing devices is preferably redundant and therefore at least twice available. The same applies of course to the connections between the switches and from these to the trading platform or merchant data processing device.
- the switches of the two parallel systems are not interconnected, but only the lowest-level switches with the merchant data processing devices and possibly the top-level switch with both trading platform data processing devices. Each switch a lower one.
- Hierarchy level is then connected only with a switch of hierl layer hierarchy and not, for example, also with the corresponding switch of the second, parallel system - but such is not completely excluded.
- the top-level switches (the central switches, generally one per system) are connected to both trading platform data processing devices (or, if the tasks of the matcher are segmented across multiple matchers, each to both trading platform data processing devices of each segment).
- each matcher passes this order to its pendent (ie the other matcher) when it receives an order. In both cases, therefore, during normal operation of the trading system without failed network components, each job arrives twice at each competent matcher.
- a delay unit may each be provided, which may be the one entering the system of switches Message slightly delayed, from which a faster - because more direct - message transmission is expected.
- a prioritizer - for example of the type described above, or even without function of sorting by time - be present, which performs in embodiments that also correspond to the first aspect, a sorting by time (unless this has already been done in a switch) and in particular suppresses identical messages.
- a unit may exist (also) on the part of each merchant data processing device, which unit processes the further valid message (forwards, for example) and suppresses identical copies.
- Trading platform data processing organizations have a direct, "private" connection over which they can also be synchronized with each other.
- the invention also relates to methods for operating an electronic commerce system according to the first, second and / or third aspect of the invention.
- the merchant data processing devices receive copies of the respective merchants parts of the order book of interest.
- the fourth aspect of the invention described below is also of particular interest.
- a method for synchronizing a unit (eg, a dealer or a matcher) with the other ones of the system, for example, in the event that this unit failed due to a fault or was temporarily disconnected from the system.
- a unit eg, a dealer or a matcher
- packet-wise status data are continuously sent to all users (broadcast mode) during operation, with each packet containing part of the status data. This is done intermittently with the sending of up-to-date messages (orders, confirmations, information about orders / transactions to the market participants) until all data elements have been distributed, and status data is sent again.
- "intermittent" does not necessarily mean that state data and current messages are always sent alternately, for example, if the system is not busy, several status data packets can be sent one after the other before a current message is sent again, or possibly also vice versa.
- condition data is by definition current and correct.
- a data element can, for example, the number of papers offered a Know title at a certain price.
- the method of the fourth aspect may be used to synchronize merchant data processing devices and / or matchers (in a redundant system).
- use only for international data processing equipment in combination with another method for the matchers is an option, in addition to being favorable for both.
- the matcher may be set up as a dedicated logic circuit.
- a dedicated logic circuit is a hardware device or a group of hardware devices in which the logic functions by which signals or data are processed are implemented in a predetermined manner by predetermined and predetermined circuits in the hardware itself. This is in contrast to main processors of conventional computers (inclusive server computers) which are designed as 'generic', universally applicable microprocessors, which processes in a memory (presented as software) sequence of commands, in which case only this software and not the circuit itself earmarked is.
- FPGAs field programmable gate arrays
- ASICs application specific integrated circuits
- first, second, third and / or fourth aspects it can be provided that all authorizations of the merchant for each order are checked in real time before the execution of the order. Additionally or alternatively, it may be provided that the relevant limits for each trading participant (e.g., the total value of all orders in the book, etc.) are tracked and verified in real time prior to execution of the order. These two measures, which can be implemented individually or in combination, serve the potential for self-regulation in trade.
- FIG. 1 shows a schematic overview of a trading system
- FIG. 2 shows a trading system with several matchers
- 5 shows a redundant trading system with multiple matchers; and 6 shows the synchronization after the failure of a subscriber (for example a merchant) after a failure.
- FIG. A network architecture favorable for fast communication for stock exchange systems is shown in FIG. It is a hierarchical network that is optimally adapted to the communication needs of stock market applications.
- M denotes the matcher.
- S 0, o is the central switch through which the merchants (referred to here as clients Co, ... C n ) communicate with the matcher.
- clients Co referred to here as clients Co, ... C n
- Aus somnol
- Aus is also an optional further switch level with decentralized switches S ls0 , ... Si > m drawn, with at least one client (generally several clients) are attached to each of these decentralized switches. It is also an extension to even more levels and accordingly a more tree-like branched architecture possible.
- the distributed switch approach allows for good scalability and can be viewed when the central switch does not physically have enough interfaces to all of its vendors. It may be advantageous if each merchant is connected to the central switch via the same number of levels, since then the forwarding times are approximately identical, and in the approach discussed above with sorting according to a time, the waiting time before a request (eg order) up forwarded can be kept shorter.
- the switching logic of the at least one switch may be such as to allow only messages from a merchant data processing device to the trading platform data processing device, from the trading platform data processing device to a particular merchant data processing device, and from the trading platform data processing device to all merchant data processing devices electronic exchange trading resulting Kornmunikationsmuster is implemented equal in the logic of the network.
- a division of the function of the matcher in melirere matcher is possible, which is shown symbolically in Figure 2.
- Each matcher is then responsible for one or more titles. Forwarding to the correct matcher can be done by the top switch, for example, based on the destination address.
- the top-level switch (ie, the topmost network node) may also optionally have another output that stores all relevant messages forwarded through this switch in an archive A, and thus this information, for example, the back-office processing system for further processing provide.
- This option exists regardless of whether only one matcher or as in Figure 2 more matchers are used. When using multiple matchers, however, it is particularly favorable because it enables central archiving. Alternatively, each matcher can have its own archive.
- FIG. 3 The internal circuit of a switch S is shown symbolically in FIG.
- the structure shown in FIG. 3 is used, for example, in particular in the top-level switch, ie the topmost network node.
- switches of the underlying levels may be designed accordingly, whereby at least the broadcast function should also be implemented on the possible underlying levels.
- blocks belonging to so-called “uplinks” include a "U” in the designation, and “downlinks” (belonging to the merchant) a "D".
- a message (data packet, in particular with an order) is transmitted by the dealer Co. ..Cn via a transmitter Tx (a transmitter module). For example, a conversion to a serial data format takes place. This is received in switch S and converted again in parallel (KD x 0 ... KDRx ,,) and written into the buffer memory (UB 0 ... UB n ).
- a dedicated buffer memory is assigned to each first receiver (KDRx 0 ... KDRx), ie each downlink. In alternative embodiments, it would also be possible to provide central buffering.
- the first arbiter UA decides which packet is forwarded and accordingly controls the multiplexer UM.
- the data is now converted back into a serial protocol by the first switch transmitter KUTx, transmitted and converted back into a parallel format by a matcher receiver MRx. Via an optional matcher buffer MB, the message is sent to the matcher M.
- the matcher M a message (eg, the acknowledgment of a job) to a specific dealer Co ... Cn, it is converted back into a serial format via a matcher transmitter MTx, transmitted and received by the second switch receiver KURx and converted back to parallel format.
- the second arbiter DA now decides, based on the address, which dealer C0. ..Cn receive the message and closes the corresponding switch DDo, DD 1, ... or DDn. Then the message is sent via a second switch Transm itter KDTxo .. .KDTxn transferred to the appropriate dealer-receiver RxO ... Rxn and is now available to the dealer Cn for further processing.
- each dealer is equipped with a timer, here in the form of a precisely synchronized clock CLKo ... CLKn.
- the time reference for this clock can be specified by the matcher or the top network (the topmost switch) by periodically sending reference time messages, which then readjust the local clocks CLKo ... CLKn.
- the actual clock cycle can be generated both by a local oscillator and by the global network clock, which in turn is specified by the matcher M.
- each message is time-stamped by the client Co ... Cn, and the network system ensures that older messages always arrive first at the matcher; the network "sorts" the messages based on time. This function is done here by the first arbiter UA first forwarding the older message.
- a credit system can be introduced: The trading system assigns credit to all traders.
- a loan allows the merchant to send an order (or, more generally, a message).
- the number of credits is so great that when the system is unloaded, a single merchant can still work at full speed and will not overflow the individual buffers even when the system is heavily loaded.
- a credit is debited per message and credited again only when the message has been acknowledged by the matcher to the merchant.
- FIG. 4 A redundant system according to the third aspect of the invention is shown in FIG. 4.
- the principle of doubling is shown here using an exemplary embodiment in which the matcher is responsible for all titles.
- both the matcher M is doubled to M *, and the network with the switches Si, j with Si, j *.
- One of the two matchers M or M * can specify the time (time master, i.e. both the network clock and the reference time); the other matcher then takes over. If a matcher fails, he will make other matchers the time master, if he has not already been the time master before.
- time master i.e. both the network clock and the reference time
- both matcher have a completely identical structure, and in both, order bookkeeping and order execution take place independently of each other.
- the received message streams are forwarded to the other trading system (PS (t) and PS * (t)).
- PS (t) and PS * (t) In order that the own message streams are not preferred by the transmission, they are delayed by a delay time TD or TD *.
- the prioritizers P and P * now ensure that messages with earlier times are taken first.
- Priorizer P identical messages coming through the 2 independent networks) are suppressed.
- it can be guaranteed that identical, temporally ordered message streams are transmitted to the actual trading systems M and M *.
- Dealer data processing devices C 0 ... C n also two clocks CLK; CLK * be present.
- both matchers can keep informed about the time, and the information of the one matcher M is used to synchronize one clock CLK, while the other matcher M * synchronizes the other clock CLK *.
- only the one time base is used for the time specification of the message sent twice, so that the time specification on both channels is completely identical.
- a particular one of the two timepieces is responsible for the timing as long as it works, or it may be determined via appropriate algorithms, which is more reliable, etc.
- Fig. 5 The transfer to a system as shown in Fig. 2 with matchers Mi,. , .. M m with different responsibilities is readily possible and shown in Fig. 5.
- At least one matcher preferably all matchers, are / are duplicated and each connected to both topmost network nodes So , o, S o , o. If an archive A is connected to the highest network node, this can also be redundant, ie executed twice, which in Fig. 5 by the archive A ; is represented.
- the switches So, S or So ', S' of the two systems of switches are not connected to one another.
- the signals run independently in the two systems (and doubly as described above), but come together in the respective matchers.
- connections Cl ... Cm in Fig. 5 designate optional, "private" connections between the matchers corresponding to one another, which enable a direct exchange of data past the network.They can additionally or alternatively to the method described in more detail below according to the fourth aspect. be used to synchronize the matching matcher.
- this synchronization takes place in stages.
- the operation is shown in Fig. 6 by means of a simple linear Arrays explained; Most complex data structures can usually be composed by several such arrays.
- the array as shown in Fig. 6 may, for example, represent the order book for a particular title. Contained are the respective orders with the details of the order, for example, sorted according to their chronological order.
- the order book consists of various central data structures of fixed size, each with clearly defined data elements for the respective data structure.
- the gray-shaded fields show entries of the array which have already been re-synchronized after a failure, fields marked in white are not yet synchronized.
- entries of the order book and / or other relevant elements are continuously synchronized, regardless of whether or not a unit requires resynchronization at all.
- the synchronization takes place in particular by the matcher or, in the case of a redundant system, as long as the failure of one of the two matchers does not precede, by both matchers.
- the synchronization follows linear or logical linear along the data structure.
- each transaction in the trading system at least one single entry can be synchronized (time t). If the trading system is underutilized, multiple entries can be made. If a new transaction (for example, a change to an existing order, since a part has been converted by a purchase or sale) on an entry that has already been renewed (time t + 1 in FIG. 6), the corresponding entry becomes direct replaced. If an entry is made on a part that has not yet been renewed (time t + 2), it will simply be ignored. That's the way it goes AufsynchiOn is the new or re-incorporated into the trading system successive unit, while the unaffected units are affected in any way. When all the data elements of the trading system have been distributed, data distribution begins again.
- the trading system never has to "worry" as to whether one of the merchant data processing facilities Co, or partner trading systems is in the process of resynchronizing;
- the trading system simply does its job and any subsystem can autonomously re-synchronize itself. Thanks to this approach, a large number of dealers can also synchronize autonomously at the same time.
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Abstract
Description
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Applications Claiming Priority (2)
Application Number | Priority Date | Filing Date | Title |
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CH00867/14A CH709742A1 (de) | 2014-06-05 | 2014-06-05 | Börsenhandelssystem. |
PCT/CH2015/000084 WO2015184558A1 (de) | 2014-06-05 | 2015-06-03 | Börsenhandelssystem |
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EP3152732A1 true EP3152732A1 (de) | 2017-04-12 |
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EP15727867.2A Ceased EP3152732A1 (de) | 2014-06-05 | 2015-06-03 | Börsenhandelssystem |
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US (2) | US20170109824A1 (de) |
EP (1) | EP3152732A1 (de) |
CH (1) | CH709742A1 (de) |
SG (1) | SG11201610138WA (de) |
WO (1) | WO2015184558A1 (de) |
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2014
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2015
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- 2015-06-03 WO PCT/CH2015/000084 patent/WO2015184558A1/de active Application Filing
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Also Published As
Publication number | Publication date |
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US20200020033A1 (en) | 2020-01-16 |
SG11201610138WA (en) | 2017-01-27 |
CH709742A1 (de) | 2015-12-15 |
US20170109824A1 (en) | 2017-04-20 |
US11966973B2 (en) | 2024-04-23 |
WO2015184558A1 (de) | 2015-12-10 |
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