System and method for automated trading of financial interests
A derived order gives a participant simultaneous access to liquidity across multiple books, destinations, or marketplaces. The derived order can be placed and anchored in one trading venue and simultaneously replicated in another trading venue. A participant can place the derived order in the lit book as an anchor book and replicate the order in the hybrid book and/or the dark book, or alternatively, the participant can place the derived order in the hybrid book as an anchor book and replicate the order in the dark book. A trading engine can be configured to replicate an order in different books and guarantee that each order is only executed once. When an order is replicated, the trading engine can check the stored record to see where the order was placed, and then adjust or cancel an order in one book when it is being fulfilled in a different book.
1. A method implemented at a message processing gateway server system, the method comprising:
receiving, by the message processing gateway server system, a plurality of messages from a plurality of participant computers each associated with a corresponding participant, each message of the plurality of messages comprising a trade order instruction relating to an identified instrument for execution by a trading engine processor;
selectively applying, by the message processing gateway server system, to at least some messages a latency based on at least one characteristic of the trade order selected from the set of: order type, instrument type, instruction type, participant type, participant identifier, order attribute, order marker, instrument price, historical order to execution ratio associated with the corresponding participant, physical proximity of the participant computer to the trading engine processor, or type of trading strategy; and
transmitting, by the message processing gateway server system, the message to the trading engine processor for execution, wherein when the latency is applied, the message is held in a queue for a delay period comprising a non-zero time value up to 200 milliseconds prior to transmitting the message to the trading engine processor for execution.
2. The method of claim 1 , wherein the at least one characteristic comprises either historical order to execution ratio associated with the corresponding participant, or physical proximity of the participant computer to the trading engine processor.
3. The method of claim 1 , wherein the at least one characteristic comprises either order type or trading strategy.
4. The method of claim 1 , wherein the range of time values is from 3 milliseconds to 200 milliseconds.
5. The method of claim 1 , wherein the range of time values is from 5 milliseconds to 9 milliseconds.
6. The method of claim 1 , wherein determining whether the message was received from a participant associated with a first group of participants or a participant associated with a second group of participants comprises checking a record in a database to determine whether the participant identifier is associated with the first group or the second group.
7. The method of claim 1 , wherein the queue is maintained at the message processing gateway system.
8. The method of claim 1 , wherein the delay period is greater than a system delay time applied to messages due to routing of the plurality of messages within a network to the message processing gateway server system.
9. The method of claim 1 , wherein the second group of participants comprises participants identified as long term investors and the first group of participants comprises participants not identified as long term investors.
10. A system, comprising:
a message processing gateway server system comprising a processor configured to:
receive a plurality of messages from a plurality of participant computers each associated with a corresponding participant, each message of the plurality of messages comprising a trade order instruction relating to an identified instrument for execution by a trading engine processor;
selectively apply to at least some messages a latency based on at least one characteristic of the trade order selected from the set of: order type, instrument type, instruction type, participant type, order attribute, order marker, instrument price, historical order to execution ratio associated with the corresponding participant, physical proximity of the participant computer to the trading engine processor, or type of trading strategy; and
transmit the message to the trading engine processor for execution, wherein when the latency is applied, the message is held in a queue for a delay period comprising a non-zero time value up to 200 milliseconds prior to transmitting the message to the trading engine processor for execution.
11. The system of claim 10 , wherein the at least one characteristic comprises either historical order to execution ratio associated with the corresponding participant, or physical proximity of the participant computer to the trading engine processor.
12. The system of claim 10 , wherein the at least one characteristic comprises either order type or trading strategy.
13. The system of claim 10 , wherein the range of time values is from 3 milliseconds to 200 milliseconds.
14. The system of claim 10 , wherein the range of time values is from 5 milliseconds to 9 milliseconds.
15. The system of claim 10 , wherein the processor is configured to determine whether the message was received from a participant associated with a first group of participants or a participant associated with a second group of participants by checking a record in a database to determine whether the participant identifier is associated with the first group or the second group.
16. The system of claim 10 , wherein the queue is maintained at the message processing gateway system.
17. The system of claim 10 , wherein the delay period is greater than a system delay time applied to messages due to routing of the plurality of messages within a network to the message processing gateway system.
18. The system of claim 10 , wherein the second group of participants comprises participants identified as long term investors and the first group of participants comprises participants not identified as long term investors.
19. A non-transitory computer-readable medium storing code which, when executed by a processor of a message processing gateway server system, causes the system to implement the method of:
receiving a plurality of messages from a plurality of participant computers each associated with a corresponding participant, each message of the plurality of messages comprising a trade order instruction relating to an identified instrument for execution by a trading engine processor;
selectively applying to at least some messages a latency based on at least one characteristic of the trade order selected from the set of: order type, instrument type, instruction type, participant type, participant identifier, order attribute, order marker, instrument price, historical order to execution ratio associated with the corresponding participant, physical proximity of the participant computer to the trading engine processor, or type of trading strategy; and
transmitting the message to the trading engine processor for execution, wherein when the latency is applied, the message is held in a queue for a delay period comprising a non-zero time value up to 200 milliseconds prior to transmitting the message to the trading engine processor for execution.