JP2015201222A5

JP2015201222A5 -

Info

Publication number: JP2015201222A5
Application number: JP2015116229A
Authority: JP
Filing date: 2015-06-09
Publication date: 2016-08-18
Anticipated expiration: 2030-02-11

Claims

A data bus that connects the event engine and the matching engine so that they can communicate with each other, and a data bus that is configured to transmit commands from the event engine to the matching engine;
A matching engine,
Receiving orders for orders that individually define each side of a transaction for a financial instrument;
Adding each order to one of the buy and sell order queues of the financial product;
Determining that at least a first order in the buy order queue and a second order in the sell order queue match, and performing a transaction that satisfies the first order and the second order A matching engine configured to
An event engine,
Receives an event generation command ,
In response to receiving the event occurrence instruction, determining whether order adjustments meet at least one criterion associated with the occurrence of the event;
Determining whether at least one criterion related to the occurrence of the event that the order is conditioned is satisfied;
In response to the determination, an event engine that transmits an instruction to adjust the order to the matching engine via the data bus, and
Instructions for adjusting the order include instructions for adding an order that is not pending in the matching engine queue at the time of the event to the queue of the matching engine;
The order to add the order is an order that was in the matching engine queue before the occurrence of the event, and is deleted from the queue by the time of the occurrence of the event. Instructions to add the order with a priority based on a time associated with an order not in the matching engine queue;
The matching engine includes an instruction stack, and when the data bus and the matching engine receive an instruction to adjust an order by the matching engine, the matching engine holds an instruction to adjust the order in the instruction stack. Configured to be added before at least one instruction in the
The at least one instruction may send another order received by the matching engine to the at least one queue of the sell order and the buy order queue before the order is received by the matching engine. An instruction to add, wherein the instruction to add another order is an instruction not received from the data bus by the matching engine, and the order is not received from the data bus Is added before the instruction is executed based on receipt of an order of
Trading system.

The trading system of claim 1, wherein the at least one instruction pending in the instruction stack includes a second instruction for adjusting an order separate from an instruction for adjusting the received order.

The trading system according to claim 2, wherein the instruction to adjust the order includes at least one of an instruction to change a quantity of the order and an instruction to change a price of the order.

The trading system of claim 1, wherein the order adjusting order includes an order to add an alternative order.

The trading system of claim 4, wherein the instructions for adjusting the order include instructions for adding the alternative order having a priority based on the same time as the order.

The trading system of claim 1, wherein the event includes submission of an order on the opposite side of a trade for the financial product associated with a quantity that exceeds a threshold.

The trading system of claim 1, wherein the data bus is configured to transmit information to a memory location of the matching engine, and the matching engine is configured to read data from the memory location.

The event is
A change in the value of the second financial product,
Change in transaction volume of the second financial product,
Announcement of financial results by companies,
Submit orders on the opposite side of the transaction,
Regulatory changes that regulate the industry, and
Changes in corporate credit ratings
The trading system of claim 1, comprising at least one of:

9. The trading system according to any one of claims 1 to 8, wherein the event includes a reduction in quantity associated with an order on the opposite side of a trade for the financial instrument.

A method of operating an exchange,
Receiving an instruction of a condition from a remote computer by an event engine, wherein the condition defines an event, and when the event occurs, the condition is satisfied;
Receiving a first action command from the remote computer, the action defining an adjustment to an order for a financial instrument;
Receiving an event occurrence by the event engine;
Responsive to receipt of the occurrence of the event, sending an instruction to adjust the order to the matching engine of the exchange over a data bus that couples the event engine and the matching engine, the matching engine comprising: Is configured to identify an order match and fulfill a transaction that satisfies the matching order; and
Adjusting the order,
Instructions for adjusting the order include instructions for adding an order that is not pending in the matching engine queue at the time of the event to the queue of the matching engine;
The order to add the order is an order that was in the matching engine queue before the occurrence of the event, and is deleted from the queue by the time of the occurrence of the event. Instructions to add the order with a priority based on a time associated with an order not in the matching engine queue;
The matching engine includes an instruction stack, and when the data bus and the matching engine receive an instruction to adjust an order by the matching engine, the matching engine holds an instruction to adjust the order in the instruction stack. Configured to be added before at least one instruction in the
The at least one instruction may send another order received by the matching engine to the at least one queue of the sell order and the buy order queue before the order is received by the matching engine. An instruction to add, wherein the instruction to add another order is an instruction not received from the data bus by the matching engine, and the order is not received from the data bus Is added before the instruction is executed based on receipt of an order of
Method.

The method of claim 10, wherein the condition command and the operation command are received as a single communication.

Adjusting the order is an instruction based on receipt of at least one pending order not received from the data bus before the at least one pending instruction is executed in the instruction stack Adjusting the order by the matching engine,
The method of claim 10.

The method of claim 12, wherein the at least one instruction includes at least one of an instruction to add another order to a buy order queue and a sell order queue and an instruction to delete.

The method of claim 10, wherein adjusting the order includes the event engine sending information to a memory location in an instruction stack of the matching engine.

The memory location in the instruction stack includes the memory location associated with the order in a queue, and adjusting the order includes information about the order stored in the memory location by the event engine. Including changing the
The method according to claim 14.

The method of claim 10, wherein adjusting the order includes at least one of changing a quantity of the order and changing a price of the order.

The method of claim 10, wherein adjusting the order includes adding an alternative order to the queue of the matching engine.

The method of claim 17, wherein adding the alternative order to the queue includes adding the alternative order having a priority based on the same time as the order.

The method of claim 10, wherein the event includes submission of an order opposite to the order of a transaction associated with a quantity that exceeds a threshold.

20. A method as claimed in any one of claims 10 to 19, wherein the event comprises a reduction in quantity associated with an order on the opposite side of a trade for the financial instrument.

The event engine receives a command from a remote computer that an event has occurred,
The event engine determines by receiving the event generation instruction that an action conditioned condition is satisfied, the action being an adjustment to an order defining a side of a transaction for a financial instrument; Including
Responsive to the determination, sending instructions to the matching engine to adjust the order through a data bus that couples the event engine and the matching engine;
Instructions for adjusting the order include instructions for adding an order that is not pending in the matching engine queue at the time of the event to the queue of the matching engine;
The order to add the order is an order that was in the matching engine queue before the occurrence of the event, and is deleted from the queue by the time of the occurrence of the event. Instructions to add the order with a priority based on a time associated with an order not in the matching engine queue;
The matching engine includes an instruction stack, and when the data bus and the matching engine receive an instruction to adjust an order by the matching engine, the matching engine holds an instruction to adjust the order in the instruction stack. Configured to be added before at least one instruction in the
The at least one instruction may send another order received by the matching engine to the at least one queue of the sell order and the buy order queue before the order is received by the matching engine. An instruction to add, wherein the instruction to add another order is an instruction not received from the data bus by the matching engine, and the order is not received from the data bus Is added before the instruction is executed based on receipt of an order of
Method.

The method of claim 21, wherein sending an instruction to adjust the order includes sending an instruction to adjust at least one of a price and quantity of the order.

The method of claim 21, wherein sending an instruction to adjust the order includes sending an instruction to add an alternative order to the queue of the matching engine.

24. The method of claim 23, wherein the order adjusting order includes adding an alternative order to the queue having a priority based on the same time as the order.

The method of claim 21, wherein the event includes submission of an order opposite to the order of a transaction associated with a quantity that exceeds a threshold.

The method of claim 21, wherein sending the order reconciliation instruction comprises sending information to a memory location of the matching engine.

27. The method of claim 26, wherein the memory location comprises a memory location where the order is stored in a queue of the matching engine.

27. The method of claim 26, wherein sending the order reconciliation instruction comprises sending an instruction to the matching engine instruction stack.

29. A method according to any one of claims 21 to 28, wherein the event includes a reduction in quantity associated with an order on the opposite side of a trade for the financial instrument.

The matching engine is configured to send an instruction of a memory location where the order is stored to the event engine;
The transaction system according to claim 1.

The event engine is configured to record instructions of a memory location sent from the matching engine where the order is stored;
The transaction system according to claim 30.

The at least one instruction to add another order to the at least one sell queue and buy queue constitutes a price that is better than the price of the order;
The transaction system according to claim 31.

A data bus connecting the event engine and the matching engine so that they can communicate with each other, the data bus configured to be able to transmit commands from the event engine to the matching engine;
An instruction stack, wherein the data bus and the matching engine receive at least one instruction pending in the instruction stack when the matching engine receives an instruction to adjust an order from the event engine; A matching engine configured to be added before one instruction,
Receiving orders for orders that individually define each side of a transaction for a financial instrument;
Adding each order to one of the buy and sell order queues of the financial product;
Determining that at least a first order in the buy order queue and a second order in the sell order queue match;
Sending to the event engine an instruction of a memory location where the order is stored; and
Fulfilling a transaction that satisfies the first order and the second order;
A matching engine configured to perform
An event engine,
Receives an event generation command,
The event is
A change in the value of the second financial product,
Change in transaction volume of the second financial product,
Announcement of financial results by companies,
Submit orders on the opposite side of the transaction,
Regulatory changes that regulate the industry, and
Changes in corporate credit ratings
Including at least one of
Instructions to add orders that are not pending in the matching engine queue at the time of the event to the queue of the matching engine;
In response to receiving the event occurrence instruction, determining whether order adjustments meet at least one criterion associated with the occurrence of the event;
Determining whether at least one criterion related to the occurrence of the event that the order is conditioned is satisfied;
In response to the determination, send an instruction to adjust the order to the matching engine via the data bus;
An event engine configured to record instructions of memory locations sent from the matching engine where orders are stored;
Instructions for adjusting the order include instructions for adding an order that is not pending in the matching engine queue at the time of the event to the queue of the matching engine;
The order to add the order is an order that was in the matching engine queue before the occurrence of the event, and is deleted from the queue by the time of the occurrence of the event. Instructions to add the order with a priority based on a time associated with an order not in the matching engine queue;
The matching engine includes an instruction stack, and when the data bus and the matching engine receive an instruction to adjust an order by the matching engine, the matching engine holds an instruction to adjust the order in the instruction stack. Configured to be added before at least one instruction in the
The at least one instruction may send another order received by the matching engine to the at least one queue of the sell order and the buy order queue before the order is received by the matching engine. An instruction to add, wherein the instruction to add another order is an instruction not received from the data bus by the matching engine, and the order is not received from the data bus Is added before the instruction is executed based on receipt of an order of
Trading system.