JP2010009619A - Automated trading system and automated trading method - Google Patents

Abstract

<P>PROBLEM TO BE SOLVED: To provide a matching system operating in accordance with the deterministic matching principles required by the participants of an automated trading system. <P>SOLUTION: This system is 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. <P>COPYRIGHT: (C)2010,JPO&INPIT

Description

(Semi-deterministic automatic transaction system)
(Technical field)
The present invention relates to an automated trading system, and more particularly to an automated trading system that is designed to provide a flexible structure that can handle many different requirements.

(Background of the Invention and Prior Art)
All conventional automated trading systems used in today's automated exchanges and markets are highly reliable systems. The system works in a very well-understood manner, follows very well-understood rules and outputs a result that is easily expected when taking into account a particular sequence of input data. In fact, most automated systems operated by major exchanges that handle commodity trading contracts, including financial instruments (stocks, bonds, currencies, derivatives thereof, etc.) and derivative products, are completely deterministic or It uses a deterministic system. In this type of deterministic system, the output depends only on the sequence of input data received by the system. The input data is processed by a computerized automatic matching system and the output data is a well documented matching result, which depends only on the input data string. This architecture is an important requirement for most major investors who use trading systems that match orders. The reason for this is because they cannot take the risk of their orders or orders being handled in other ways.

  The problem with this type of deterministic automatic matching system is that the system must be able to work at the stated minimum level of performance under the worst-case environment and operating conditions expected by the system designer. is there. The system must be able to cope with many different incidents, such as power failure, large load fluctuation of input command, wrong input command (command), etc. without departing from predictable output. . Making a system that meets all these requirements is very expensive. Therefore, those who operate such expensive exchanges must bear a considerable amount for each action, transaction, and transaction performed by the system to cover the development operating expenses of the automated trading system. Will.

  Furthermore, when designing future automated trading systems, there is a tendency to have more and more functions in the verification system that is centrally located within the trading system. This approach provides many different services to customers connected to the system without having to provide each customer / user with complex software / hardware designed to perform these services. Is done. However, this results in a more complex central system that is required to operate reliably. The cost of developing such a reliable system that provides all the services required by the user will be very high. Thus, the cost of executing a transaction in this type of system will reach a level that is too high for some users. As a result, these users will either make a transaction elsewhere or may choose to do the transaction.

  Furthermore, urgent order matching can easily reduce the performance of matching services. Sometimes it happens that these services must be suspended for load reasons. This is rude and unsatisfactory because users think that all their orders are valid under all market conditions and are ready to trade. Future order types with more conditions and parameters will also raise expectations regarding valuation policies. In fact, users will slowly start to expect a more sophisticated view of the quality of service, because it is being realized in other areas of information technology. Thanks to the non-determinism of multi-threaded processes with “anytime” algorithms, they have been effectively banned from doing live transactions so far.

  Thus, in order to evaluate more complex orders, it may be desirable to provide best effort processing services in some cases, but the best effort service is excluded due to deterministic demands on the matching engine software. There is a need for a computerized automated trading system that can provide a wide range of services to users (customers). In addition, the system is developed and designed to fit within an acceptable level of cost at the same time, and there is a need to be able to safely match complex urgent orders without adversely affecting the matching engine of the trading system.

(wrap up)
It is an object of the present invention to provide a verification system that works according to the deterministic verification principle required by participants in automated trading systems. This system is designed around providing a very wide range of services to its users (customers), and at the same time it can be developed and designed to fit within an acceptable level of cost.

  This and other objects are achieved by the present invention as disclosed in the claims. That is, in an automatic trading system, the deterministic verification core unit of the trading system is supplemented by an agent / trade server designed to provide a certain range of additional functions. The agent trade server preferably works according to a best-effort scheme, so that it can be designed at low cost. The agent trade server is further designed to provide the user with functions that do not need to run or are too expensive to run in the deterministic core of the matching system. When the agent trade server works according to the best effort method, deterministic output cannot be guaranteed. The agent trade server supplies order entry data resulting from the input received from the user of the automated trading system to the deterministic core of the matching system. Designers of complex trading systems are given the option to provide centralized functionality to the system users without having to change the deterministic core architecture of the matching system. Since the agent / trade server works in a close relationship with the deterministic core of the trading system, it is preferable that the agent / trade server and the computer hosting the core of the deterministic matching system are physically close to each other.

    The invention will now be described in more detail by way of non-limiting examples with reference to the drawings.

An outline of an automatic transaction system including a deterministic matching core and a non-deterministic agent / trade server is shown. FIG. 2 illustrates various information flows that occur within the automated trading system of FIG. 1 when a user sends data having various contents to the trading system.

(Description of the preferred embodiment)
FIG. 1 shows a schematic diagram of an automatic transaction system. The system includes a matching core unit 1 made according to an architecture that gives the system complete deterministic functionality. The core unit may be, for example, a computer running SAXESS® software developed and sold by OM Technology AB, Sweden. The system also includes a multi-protocol gateway 2 that forms an interface between the core unit 1 and a number of input terminals 6. The terminal 6 is connected to the gateway 2 via the line 4. The track 4 is generally a leased or leased track, but other types of tracks, including Internet connections, can be used as long as they are adapted to handle the connection protocol used by the gateway 2. Line 4 can also be used to provide system users with multicast messages, such as price updates. The connection from the input terminal 6 to the core of the automatic transaction system via the rental line 4 and the gateway 2 is an example of how a conventional transaction system can be designed.

  In addition to the conventional system units, this system has a unit 3 that works in close relationship with the core unit 1 as shown in FIG. 1, and the core unit 1 is connected to the unit 3 via a large-capacity communication line 7. It is connected. The unit provides additional system services and uses an architecture that does not perform deterministic verification. Unit 3 continuously receives information relating to verification performed in the core unit. In FIG. 1, unit 3 is divided into several subunits. Each subunit is designed to provide a specific type of supplementary service.

  The subunit 3a is a computer that runs specialized software to find solutions to complex combination orders. The subunit 3b is referred to as a first type agent / trade server. This unit can be created, for example, using an agent (specialized software that works on behalf of the user) that can be configured by the user controlled by the master dispatcher. These agents use multithreading or similar non-guaranteed resource sharing under the server operating system. Users can reconfigure their agents, ie set various parameters contained therein (preferably should be), but are preferably not allowed to reprogram them. The subunit 3c is a second type of agent / trade server, and includes, for example, a user-programmable agent executing under resource management or a similar sharing mechanism. Furthermore, the subunit 3c preferably has an extensible shielding mechanism between each agent, so that even if one agent is programmed incorrectly or requests resources, it can affect other agents without control. I can't.

  The unit 3 is connected to the input terminal 8, but can be connected to the communication interface 9 via the external communication line 5 in the same manner as the input terminal 6. But that doesn't have to be the case. In general, Internet links are used for interactive sessions and various subscriptions (status updates, etc.).

  Note that the server 3a is not connected to the interface 9 among the subunits 3a, 3b, 3c. Therefore, the server 3a is not directly connected to the outside, but only an internal link with the deterministic core unit 1 is formed. This is true in a preferred embodiment. In another preferred embodiment, the unit 3a can also be connected to the interface 9.

  The flowchart of FIGS. 2a-2e illustrates various steps that are performed when a user sends an order to the trading system of FIG. FIG. 2a represents their willingness to enter the transaction by two participants submitting (at least) two separate order entry messages 201 and 203 to the deterministic core unit 1 matching subsystem, respectively. Then, the general flow of information in a conventional computerized automated transaction system is shown. The system we are using now has several buffers, log means and checkpoints between Gateway 2 and the verification subsystem to make the verification system core robust and deterministic. Is not the focus of the present invention and will not be discussed further here. If orders 201 and 203 are matched, the verification unit generates a broadcast message to inform participants involved in the transaction. Also, depending on the market transparency setting, a message 207 is used to inform other interested people (limited or everyone) via the dissemination service unit. The dissemination service unit broadcasts a message 209.

  FIG. 2b shows an example of the flow of information about the unit 3, in particular the subunit 3a. In the example shown in FIG. 2 b, several composite combination orders have been submitted from the input terminal via the input order 211. Furthermore, it is assumed that the order matching unit cannot assign transactions originating from these orders 211 immediately and deterministically. According to a typical scenario, the purchase order is in a combined auction procedure mode. Therefore, some orders are temporarily suspended under certain conditions. These orders are then promptly given to the core service extension in the best effort subsystem 3, ie in this example the subunit 3a. The core service extension proposes an assignment in a short and discontinuous time frame and returns the order to the matching unit with an assignment proposal message 213. If the verification unit can accept the proposed assignment, it executes accordingly and widely informs the outcome of the transaction using message 215 in the conventional manner as described above.

  FIG. 2 c shows the case where a participant, ie a user connected to the system via an input terminal, creates a trading agent in the Agent Trade Server (ATS) via message 217. ATS corresponds to the aforementioned subunit 3b. The communication means 217 is preferably not part of the core because it may compromise the paradigm position. The agent of the subunit 3b is supplied with market data from the deterministic core unit 1 continuously. The same market data would have been supplied to the participant from an external system via message 219, and can be so. The agent makes a decision based on its configuration parameters and the market data just received and sends the order 221 to the deterministic core via an appropriate interface such as a gateway or connector means. It is sent to the same flow as all other orders 223 delivered in this way. As described above with respect to FIGS. 2 a and 2 b, the matching unit evaluates everything on hand to create a transaction and market information message 225.

  FIG. 2d shows another part of unit 3, the agent of subunit 3c. The action of this agent is the same as that of subunit 3b described with respect to FIG. The difference is that the code (or script) executable by the participant can be uploaded to a predetermined agent trade server computer in the best effort unit 3 via order 227. The order 227 communication means is preferably not part of the core because it may compromise the paradigm position. Although the internal function of the subunit 3c is different from that of the subunit 3b, the interface with the core unit 1 is preferably the same. Thus, the information messages 229, 231, 233, 235 are consistent with the corresponding information flow of FIG. 2c.

  Finally, FIG. 2e is an overall view combining information flows in the system shown in FIG. That is, based on the robustness of the platform of the deterministic trading system, a complementary subsystem that works perfectly under the best-effort principle is formed, and the overall system performance for bandwidth management, resource management, fault tolerance and exception handling. Will improve. An overall system constructed in this way will provide a system that is always completely manageable in current services. A hybrid system where a new optional selective best effort service is included in a separate subsystem may be referred to as a best effort mechanism or an adjunct, but serves as a complement to a traditional deterministic trading system. I will.

  A case where the new subsystem is mainly used is when a user incorporates a potential order with a trigger configuration into a so-called agent instruction and uploads it to the ATS. ATS working under the best effort principle communicates with the trading system platform using one of the already available protocols. The ATS computer will generally be located physically close to the computer that hosts the traditional core software of the trading system (core). There will be a high speed local connection between the ATS and the core.

  When the ATS receives the agent instruction, it will either create a new thread to handle this new request or revise a previously created thread or process. A prerequisite for automatically enabling potential orders in ATS is to perform a Boolean operation on the set of scenario triggers. Inspired and inclusive scenarios are proposed by market operators and can be adjusted by each trader or investor. Scenarios will be stored in a personal gallery and selectively modified for each individual order. Agents in ATS will constantly evaluate the triggers in their commands against real-time market information received from the deterministic core unit.

  The disadvantage to traders who want to communicate their willingness early is that the connection between the core and the ATS is reliable, inexpensive and fast and is not offset or offset by the inherent advantages or premiums. By connecting directly at a short distance, market data is effectively sent to ATS much faster than anyone else. In some cases, therefore, ATS agents are in an advantageous position. This is a sufficient stimulus to encourage early order placement through ATS.

  Although the present invention has been described with reference to particular embodiments, those skilled in the art will recognize that the invention is not limited to these particular embodiments. In addition to these examples, various forms, examples, modifications, many changes, modifications, and equivalents can be used to embody the present invention. Thus, while the invention has been described with reference to a preferred embodiment, it is to be understood that this disclosure is only illustrative of the invention. Accordingly, the present invention is limited only by the appended claims.

Claims (1)

A computerized automated transaction system for trading financial products between traders connected to the system via a remote terminal and a data network,
A server that hosts a central verification unit that performs deterministic verification on orders entered into the system by the trader;
An auxiliary trading server connected to the verification unit and connectable to the remote terminal, receiving and storing orders entered into the system and working according to best effort principles;
Including computerized automated trading system.

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