IP Library › Granted Patent US 12,229,828
Granted Patent B2
US 12,229,828 · App. 17/673,580 · Granted Feb 18, 2025

Methods and systems for mass quoting at low latency

Inventors: Timothy Gorham (Chicago, IL); David Edward Taylor (St. Louis, MO); Jeremy Walter Whatley (Ballwin, MO)
Assignee: Exegy Incorporated
G06Q40/04G06Q30/0201G06Q40/00G06Q40/06
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Quick Facts
Patent No.
US 12,229,828
App. No.
17/673,580
Granted
Feb 18, 2025
Kind
B2
Abstract

Disclosed herein are automated trading engine embodiments that operate on market data and re-engineer trading logic to operate on computational resources that are capable of providing highly parallelized and pipelined processing operations to improve tick to trade latency. As an example, logic resources for the automated trading engine can implement market making strategies that post and cancel quotes on markets. These logic resources can include logic for scheduling the transmissions of quotes to the markets according to various criteria.

Claims (47)

1. An apparatus for low latency scheduling of quote transmissions to trading venues, the apparatus comprising:

a processor configured to generate a plurality of quotes for transmission to one or more trading venues, wherein the quotes pertain to a plurality of financial instruments, the processor having parallelized computational resources, wherein the parallelized computational resources comprise first logic resources and second logic resources that operate in parallel with each other;

wherein the first logic resources are configured to evaluate a plurality of canceling conditions in parallel to make decisions regarding whether any previously posted quotes are to be canceled via quote cancellation messages; and

wherein the second logic resources are configured to (1) receive a plurality of quote requests over time and (2) schedule transmissions of the quote requests to the one or more trading venues over time based on a plurality of criteria, wherein the quote requests that are scheduled by the second logic resources over time include (1) a plurality of quote cancellation messages derived from the first logic resources and (2) a plurality of new quote messages, and wherein the criteria include prioritization criteria that prioritize one or more of the quote cancellation messages over one or more of the new quote messages with respect to scheduling their transmissions to the one or more trading venues.

2. The apparatus of claim 1 wherein the parallelized computational resources are further configured to monitor transmission metrics with one or more trading venues, and wherein the criteria comprise the monitored transmission metrics as compared to permitted transmission metric limits with the one or more derivatives trading venues.

3. The apparatus of claim 2 wherein the monitored transmission metrics comprise transmission rates, and wherein the permitted transmission metric limits comprise permitted transmission rate limits.

4. The apparatus of claim 1 wherein the criteria include additional prioritization criteria that define a scheduling of transmissions of the quote requests according to priorities associated with the financial instruments that pertain to the quote requests.

5. The apparatus of claim 4 wherein the priorities for the financial instruments are explicitly defined by a plurality of configuration parameters for quote generation.

6. The apparatus of claim 4 wherein the priorities are defined by one or more metrics associated with the financial instruments that pertain to the quotes.

7. The apparatus of claim 6 wherein the metrics comprise current trading volumes for the financial instruments.

8. The apparatus of claim 6 wherein the financial instruments comprise derivative financial instruments, and wherein the metrics comprise distances of strike prices for the derivative financial instruments from current prices for underlying instruments with respect to the derivative financial instruments.

9. The apparatus of claim 6 wherein the financial instruments comprise derivative financial instruments, and wherein the metrics comprise rates of price changes for prices of underlying instruments with respect to the derivative financial instruments.

10. The apparatus of claim 1 further comprising a pending buffer in which data about the quote requests are queued while awaiting transmission to the one or more trading venues, and wherein the second logic resources are configured to sequence the quote requests for transmission based on the data in the pending buffer.

11. The apparatus of claim 10 wherein the second logic resources are further configured to (1) detect receipt of a new quote request for a quote pertaining to a financial instrument for which there is already data from a previous quote request stored in the pending buffer that is awaiting transmission to the one or more trading venues and (2) replace the previous quote request data in the pending buffer with the new quote request data in response to the detection so that the new quote request retains a place in the transmission sequence of the quote requests that was held by the previous quote request.

12. The apparatus of claim 1 wherein the new quote messages comprise new mass quote messages.

13. The apparatus of claim 1 wherein the new quote messages comprise new mass quote update messages.

14. The apparatus of claim 1 wherein the financial instruments comprise derivative financial instruments.

15. The apparatus of claim 1 wherein the quotes comprise joining quotes.

16. The apparatus of claim 1 wherein the quotes comprise bettering quotes.

17. The apparatus of claim 1 wherein the second logic resources are further configured to analyze a plurality of the quote requests in parallel to prioritize the quotes for scheduled transmission to the one or more trading venues.

18. The apparatus of claim 1 further comprising a posted quotes memory, and wherein the second logic resources are configured to store data about the quotes that were successfully transmitted to the one or more trading venues in the posted quotes memory.

19. The apparatus of claim 1 wherein the processor comprises a field programmable gate array (FPGA), and wherein the first and second logic resources are implemented as a hardware logic circuit on the FPGA.

20. The apparatus of claim 1 wherein the processor comprises an application-specific integrated circuit (ASIC), and wherein the first and second logic resources are implemented as a hardware logic circuit on the ASIC.

21. The apparatus of claim 1 wherein the processor comprises a graphics processing unit (GPU), and wherein the first and second logic resources are implemented on the GPU.

22. The apparatus of claim 1 wherein the processor is configured to receive streaming financial market data pertaining to the financial instruments;

wherein the parallelized computational resources further comprise third logic resources that operate in parallel with the first and second logic resources;

wherein the third logic resources are configured to compute theoretical best bid and offer (BBO) prices for a plurality of the financial instruments based on the streaming financial market data; and

wherein the canceling conditions include conditions that are based on a plurality of the computed theoretical BBO prices.

23. The apparatus of claim 22 wherein the streaming financial market data comprises (1) streaming derivatives market data for a plurality of derivative financial instruments and (2) streaming underlying market data for a plurality of financial instruments that underly the derivative financial instruments.

24. The apparatus of claim 23 wherein the previously posted quotes include an existing quote on a subject derivative financial instrument;

wherein the subject derivative financial instrument has a corresponding underlying financial instrument;

wherein the streaming underlying market data comprises new pricing information for the corresponding underlying financial instrument;

wherein the third logic resources are configured to compute a new theoretical BBO price for the subject derivative financial instrument based on the new pricing information for the corresponding underlying financial instrument; and

wherein the canceling conditions include conditions that define a cancellation of the existing quote on the subject derivative financial instrument if the existing quote falls within an exclusion boundary that is based on the new theoretical BBO price for the subject derivative financial instrument.

25. The apparatus of claim 23 wherein the parallelized computational resources further comprise fourth logic resources that operate in parallel with the first, second, and third logic resources;

wherein the fourth logic resources are configured to generate a plurality of quotes for transmission to the one or more trading venues via the second logic resources based on the streaming financial market data.

26. The apparatus of claim 1 further comprising a pending buffer in which data about the quote requests are queued while awaiting transmission to the one or more trading venues, and wherein the second logic resources are configured to draw quote requests for transmission to the one or more trading venues based on the queued data in the pending buffer; and

wherein the cancellation conditions include conditions that define a cancellation of one or more of the previously posted quotes if a size of the pending buffer exceeds a defined threshold.

27. The apparatus of claim 1 wherein the cancellation conditions include conditions that define a cancellation of one or more of the previously posted quotes if new pricing information for a financial instrument corresponding to the one or more previously posted quotes falls within a defined cancellation zone.

28. The apparatus of claim 27 wherein the new pricing information is based on a price delta threshold.

29. A method for low latency scheduling of quote transmissions to trading venues, the method comprising:

streaming financial market data through a processor on which parallelized computational resources are deployed, where the parallelized computational resources include first logic resources and second logic resources that operate in parallel with each other, and wherein the financial market data pertains to a plurality of financial instruments;

managing, by the processor and based on the streaming financial market data, how a plurality of quotes are posted to one or more trading venues, wherein the quotes pertain to a plurality of the financial instruments;

wherein the managing step comprises:

evaluating, by the first logic resources, a plurality of canceling conditions in parallel to make decisions regarding whether any previously posted quotes are to be canceled via quote cancellation messages;

receiving a plurality of quote requests over time; and

scheduling, by the second logic resources, transmissions of the quote requests to the one or more trading venues over time based on a plurality of criteria, wherein the quote requests that are scheduled by the second logic resources over time include (1) a plurality of quote cancellation messages derived from the first logic resources and (2) a plurality of new quote messages, and wherein the criteria include prioritization criteria that prioritize one or more of the quote cancellation messages over one or more of the new quote messages with respect to scheduling their transmissions to the one or more trading venues.

Assignments (2)
SECURITY INTEREST Recorded Dec 18, 2025
From: EXEGY INCORPORATED
To: FIRST-CITIZENS BANK & TRUST COMPANY
Reel/Frame 073257/0796 →
ASSIGNMENT OF ASSIGNOR'S INTEREST Recorded Oct 28, 2022
From: GORHAM, TIMOTHY; TAYLOR, DAVID EDWARD; WHATLEY, JEREMY WALTER
To: EXEGY INCORPORATED
Reel/Frame 061580/0325 →
Continuity (2)
Provisional Application 63149904 · Feb 16, 2021
Related Publication 20220261902A1 · Aug 18, 2022
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