JP6793224B2 - トランザクションの最新情報を提供するシステム及び方法 - Google Patents
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Description
NBBOは、現在30.00x30.05であり、NBBOが29.95x30.00に更新され、すなわち、最新価格(r)は、29.95のx30.00である。投資家(すなわち、参加者)は、10,000XYZを@30.04で買うオーダブックに控えている非表示注文(non-displayed order)を有する。自らの参加者の一部に比べて、受信データを処理し、XYZ株の価格を更新することがより遅い市場は、全米最良売り気配から0.04ドルの差がある30.04ドルの古い価格で、高速参加者に控え買い注文に対する売り注文の約定を許可し、買い手に余分な400ドルの負担を強いる可能性がある。一方、プラットホーム100は、照合エンジン112によって売り注文が照合される前に、更新されたNBBOを判定し、したがって、買い注文が30.00ドル、すなわち、最新の全米最良売り気配より高く約定されることを許さない。
NBBOは、現在10.00x10.04であり、中間価格は、10.02である。投資家は、10.02と判定される10,000XYZ@中間ペッグ(MIDPOINT PEG)としてオーダブックに控えている注文を有する。NBBOが10.03x10.04に更新され、新たな中間価格が10.035になる。自らの参加者の一部に比べて、受信データを処理し、XYZ株の価格を更新することがより遅い市場は、全米最良買い気配から0.01ドルの差があり、新しい中間価格より0.015ドル不利な10.02ドルの古い中間価格で、高速参加者に中間ペッグ売り注文に対する買い注文を許可してしまう可能性がある。一方、プラットホーム100は、照合エンジン112によって買い注文が照合される前に、更新されたNBBOを判定し、したがって、中間ペッグ売り注文に対して、最新の正確な中間価格である10.035ドルでの約定しか許可しない。
Claims (18)
- コンピュータ化された取引所が、高頻度取引を阻止、あるいは軽減しながらトランザクションを処理する方法であって、
前記取引所が、時間t1において、アイテムの価格に影響を与えるデータqを受信することと、
前記取引所が、前記データqが時間t1よりも早い時間t0で前記取引所とは異なるデータソースによって生成されたこと、およびv単位時間の通信遅延として示される時間差がt1−t0であることを推定することと、
前記取引所の価格算出プロセッサが、時間t1よりも遅い時間t2において、前記受信したデータqと、d単位時間の処理遅延として示される時間差t2−t1を用いて、前記アイテムの更新された価格rを算出することと、
前記取引所が、当該取引所および前記データソースとは異なる取引システムから、前記時間t2よりも早く前記推定された時間t0よりも遅い時間tt0において、前記アイテムに対する第1の電子取引要求を受信することと、
前記取引所が、p単位時間の送り出し遅延を導入するバッファを介して、前記第1の電子取引要求を照合プロセッサに送り出すことと、を含み、
前記送り出し遅延pは、通信遅延vと処理遅延dの合計の関数であり、時間t3=tt0+pがt2以上である、方法。 - 請求項1において、
前記データソースは、相場提供業者を含み、
前記通信遅延は、少なくとも部分的に、(i)前記データqを提供した相場提供業者あるいは(ii)前記相場提供業者と前記取引所との間の通信インフラストラクチャの少なくとも1つに依存する、方法。 - 請求項1において、
前記アイテムは、株、債券、為替、暗号通貨、およびデリバティブ商品で構成されるグループから選択される、方法。 - 請求項1において、
前記価格算出プロセッサは、前記アイテムの全米最良気配(NBBO)価格を算出するように構成される、方法。 - 請求項1において、
前記第1の電子取引要求は、買い注文、売り注文、注文変更、注文取消、ビッド、オファー、取引関心、および関心の表明からなるグループから選択される、方法。 - 請求項1において、
前記送り出し遅延pは、300μsから400μsまでの範囲内にある、方法。 - 請求項1において、
前記通信遅延vは、少なくとも部分的に、前記取引所と前記データソースとの間の通信インフラストラクチャの少なくとも1つの特性に基づき、
前記処理遅延は、少なくとも部分的に、前記価格算出プロセッサの少なくとも1つの特性に基づく、方法。 - 請求項1において、
前記通信遅延vと前記処理遅延dの合計の関数は、前記合計の分数を含む、方法。 - 請求項1において、さらに、
前記照合プロセッサが、少なくとも部分的に、前記価格算出プロセッサによって算出された前記アイテムの前記更新された価格rに基づいて、前記第1の電子取引要求を第2の電子取引要求と照合することを含む、方法。 - 高頻度取引を阻止、あるいは軽減しながらトランザクションを処理する、コンピュータ化された取引所システムであって、
取引所において、(i)時間t1で、前記取引所とは異なるデータソースから、アイテムの価格に影響を与えるデータqと、(ii)時間tt0において、前記取引所および前記データソースの両方とは異なる取引システムから、前記アイテムに対する第1の電子取引要求と、を受信する通信インタフェースと、
前記データqが時間t1よりも早い時間t0で前記取引所とは異なるデータソースによって生成されたこと、およびv単位時間の通信遅延として示される時間差がt1−t0であることを推定するように構成された注文遅延モジュールと、
時間t1および時間tt0よりも遅い時間t2において、前記受信したデータqと、d単位時間の処理遅延として示される時間差t2−t1を用いて、前記アイテムの更新された価格rを算出するように構成された価格算出プロセッサと、を備え、
前記注文遅延モジュールは、さらに、p単位時間の送り出し遅延を導入するバッファを介して、前記第1の電子取引要求を前記取引所における照合プロセッサに送り出すように構成され、
前記送り出し遅延pは、通信遅延vと処理遅延dの合計の関数であり、時間t3=tt0+pがt2以上である、システム。 - 請求項10において、
前記データソースは、相場提供業者を含み、
前記通信遅延は、少なくとも部分的に、(i)前記データqを提供した相場提供業者あるいは(ii)前記相場提供業者と前記取引所との間の通信インフラストラクチャの少なくとも1つに依存する、システム。 - 請求項10において、
前記アイテムは、株、債券、為替、暗号通貨、およびデリバティブ商品からなるグループから選択される、システム。 - 請求項10において、
前記価格算出プロセッサは、前記アイテムの全米最良気配(NBBO)価格を算出するように構成される、システム。 - 請求項10において、
前記第1の電子取引要求は、買い注文、売り注文、注文変更、注文取消、ビッド、オファー、取引関心、および関心の表明からなるグループから選択される、システム。 - 請求項10において、
前記送り出し遅延pは、300μsから400μsまでの範囲内にある、システム。 - 請求項10において、
前記通信遅延vは、少なくとも部分的に、前記取引所と前記データソースとの間の通信インフラストラクチャの少なくとも1つの特性に基づき、
前記処理遅延は、少なくとも部分的に、前記価格算出プロセッサの少なくとも1つの特性に基づく、システム。 - 請求項10において、
前記通信遅延vと前記処理遅延dの合計の関数は、前記合計の分数を含む、システム。 - 請求項10において、
前記照合プロセッサは、少なくとも部分的に、前記価格算出プロセッサによって算出された前記アイテムの前記更新された価格rに基づいて、前記第1の電子取引要求を第2の電子取引要求と照合するように構成された、システム。
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