Delay-free matching for deemphasizing effects of speed differentials among price-makers
The invention relates to improved computer systems mitigating the effects of computational incongruencies of Electronic Trading Venue (“ETV”) computers based on selection of orders, received at the ETV via a network from the computers, using randomization and delay-free mechanisms. To address High Frequency Trading and improve the efficiency of the computer system of an ETV, the system may immediately, without introducing a batching or randomization delay, place maker orders into an electronic order book. If a taker order is received that is price-compatible with previously received maker orders in the electronic order book, the system may batch the maker orders in the electronic order book for randomization. As such, batching and randomization processes do not use network and computational resources of the computer system unless they are actually necessary, and are typically not employed when maker orders are canceled after their initial entry into the electronic order book.
1. A computer implemented method of providing delay-free matching in an electronic trading venue, the method being implemented in a computer system having one or more physical processors programmed with computer program instructions that, when executed by the one or more physical processors, cause the computer system to perform the method, the method comprising:
receiving a taker order for a financial instrument, the taker order specifying a price of the financial instrument that triggers matching with one or more maker orders for the financial instrument;
identifying multiple maker orders relating to the financial instrument in an electronic order book based on the price, each maker order placed in the electronic order book, without an intentional system-imposed delay resulting from an initial batching or randomization operation, upon receipt at the computer system and each having an electronic payload that includes a timestamp at which the maker order was received;
analyzing the payload of each of the multiple maker orders in the electronic order book to obtain their respective timestamps;
generating, responsive to receipt of the taker order, an order batch queue comprising at least a first maker order and a second maker order from among the multiple maker orders based on the analyzing, wherein generating the order batch queue comprises interrogating the payload of and batching together selected maker orders if their timestamps are within a first batching period;
shuffling an order of the selected maker orders in the order batch queue so as to arrive at a random ordering; and
matching at least one of the maker orders in the order batch queue with the taker order based on the randomizing.
2. The method of claim 1 , wherein generating the order batch comprises:
identifying a set of the multiple maker orders having respective timestamps that indicate they were received within a predefined length of time from one another, the set comprising the first maker order and the second maker order.
3. The method of claim 2 , the method further comprising:
prior to receiving the taker order, receiving the first maker order;
inserting, prior to entry into the electronic order book, a first timestamp indicating a time of receipt of the first maker order into a first payload of the first maker order;
prior to receiving the taker order, receiving the second maker order; and
inserting, prior to entry into the electronic order book, a second timestamp indicating a time of receipt of the second maker order into a second payload of the second maker order.
4. The method of claim 2 , the method further comprising:
prior to receiving the taker order, receiving the first maker order;
inserting, upon entry into the electronic order book, a first timestamp indicating a time of receipt of the first maker order into a first payload of the first maker order;
prior to receiving the taker order, receiving the second maker order; and
inserting, upon entry into the electronic order book, a second timestamp indicating a time of receipt of the second maker order into a second payload of the second maker order.
5. The method of claim 1 , the method further comprising:
receiving, by the computer system, the first maker order;
immediately placing, by the computer system, the first order into the electronic order book without the system intentionally delaying the first maker order based on batching.
6. The method of claim 1 , the method further comprising:
receiving a third maker order prior to generating the order batch;
immediately adding the third maker order to the order batch;
receiving a cancel of the third maker order; and
removing the third maker order from the electronic order book.
7. The method of claim 1 , the method further comprising:
storing an indication that the first maker order as having been batched, wherein the first maker order remains in the order batch queue until it is filled.
8. The method of claim 1 , wherein randomizing the batch queue comprises:
identifying a first market participant that submitted the first maker order;
identifying a second market participant that submitted the second maker order;
generating a random listing of the first market participant and the second market participant;
wherein matching at least one of the maker orders in the order batch queue with the taker order is based on the random listing.
9. A system of providing delay-free matching in an electronic trading venue, the system comprising:
a computer system comprising one or more physical processors programmed by computer program instructions that, when executed, programs the computer system to:
receive a taker order for a financial instrument, the taker order specifying a price of the financial instrument that triggers matching with one or more maker orders for the financial instrument;
identify multiple maker orders relating to the financial instrument in an electronic order book based on the price, each maker order placed in the electronic order book, without an intentional system-imposed delay resulting from an initial batching or randomization operation, upon receipt at the computer system and each having an electronic payload that includes a timestamp at which the maker order was received;
analyze the payload of each of the multiple maker orders in the electronic order book to obtain their respective timestamps;
generate, responsive to receipt of the taker order, an order batch queue comprising at least a first maker order and a second maker order from among the multiple maker orders based on the analyzing, wherein generating the order batch queue comprises interrogating the payload of and batching together selected maker orders if their timestamps are within a first batching period;
shuffle an order of the selected maker orders in the order batch queue so as to arrive at a random ordering; and
match at least one of the maker orders in the order batch queue with the taker order based on the randomization.
10. The system of claim 9 , wherein to generate the order batch, the computer system is further programmed to:
identify a set of the multiple maker orders having respective timestamps that indicate they were received within a predefined length of time from one another, the set comprising the first maker order and the second maker order.
11. The system of claim 10 , wherein the computer system is further programmed to:
prior to receipt of the taker order, receive the first maker order;
insert, prior to entry into the electronic order book, a first timestamp indicating a time of receipt of the first maker order into a first payload of the first maker order;
prior to receipt of the taker order, receive the second maker order; and
insert, prior to entry into the electronic order book, a second timestamp indicating a time of receipt of the second maker order into a second payload of the second maker order.
12. The system of claim 10 , wherein the computer system is further programmed to:
prior to receipt of the taker order, receive the first maker order;
insert, upon entry into the electronic order book, a first timestamp indicating a time of receipt of the first maker order into a first payload of the first maker order;
prior to receipt of the taker order, receive the second maker order; and
insert, upon entry into the electronic order book, a second timestamp indicating a time of receipt of the second maker order into a second payload of the second maker order.
13. The system of claim 9 , wherein the computer system is further programmed to:
receive the first maker order;
immediately place, by the computer system, the first order into the electronic order book without the system intentionally delaying the first maker order based on batching.
14. The system of claim 9 , wherein the computer system is further programmed to:
receive a third maker order prior to generating the order batch;
immediately add the third maker order to the order batch;
receive a cancel of the third maker order; and
remove the third maker order from the electronic order book.
15. The system of claim 9 , wherein the computer system is further programmed to:
store an indication that the first maker order as having been batched, wherein the first maker order remains in the order batch queue until it is filled.
16. The system of claim 9 , wherein to randomize the batch queue, the computer system is further programmed to:
identify a first market participant that submitted the first maker order;
identify a second market participant that submitted the second maker order;
generate a random listing of the first market participant and the second market participant;
wherein at least one of the maker orders in the order batch queue is matched with the taker order based on the random listing.
17. A non-transitory computer readable medium storing computer instructions for of providing delay-free matching in an electronic trading venue, the instructions, when executed by one or more physical processors of a computer system, program the computer system to:
receive a taker order for a financial instrument, the taker order specifying a price of the financial instrument that triggers matching with one or more maker orders for the financial instrument;
identify multiple maker orders relating to the financial instrument in an electronic order book based on the price, each maker order placed in the electronic order book, without an intentional system-imposed delay resulting from an initial batching or randomization operation, upon receipt at the computer system and each having an electronic payload that includes a timestamp at which the maker order was received;
analyze the payload of each of the multiple maker orders in the electronic order book to obtain their respective timestamps;
generate, responsive to receipt of the taker order, an order batch queue comprising at least a first maker order and a second maker order from among the multiple maker orders based on the analyzing, wherein generating the order batch queue comprises interrogating the payload of and batching together selected maker orders if their timestamps are within a first batching period;
shuffle an order of the selected maker orders in the order batch queue so as to arrive at a random ordering; and
match at least one of the maker orders in the order batch queue with the taker order based on the randomization.
18. The non-transitory computer readable medium of claim 17 , wherein to generate the order batch, the instructions further program the computer system to:
identify a set of the multiple maker orders having respective timestamps that indicate they were received within a predefined length of time from one another, the set comprising the first maker order and the second maker order.
19. The non-transitory computer readable medium of claim 18 , wherein the instructions further program the computer system to:
prior to receipt of the taker order, receive the first maker order;
insert, prior to entry into the electronic order book, a first timestamp indicating a time of receipt of the first maker order into a first payload of the first maker order;
prior to receipt of the taker order, receive the second maker order; and
insert, prior to entry into the electronic order book, a second timestamp indicating a time of receipt of the second maker order into a second payload of the second maker order.
20. The non-transitory computer readable medium of claim 18 , wherein the instructions further program the computer system to:
prior to receipt of the taker order, receive the first maker order;
insert, upon entry into the electronic order book, a first timestamp indicating a time of receipt of the first maker order into a first payload of the first maker order;
prior to receipt of the taker order, receive the second maker order; and
insert, upon entry into the electronic order book, a second timestamp indicating a time of receipt of the second maker order into a second payload of the second maker order.