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 system, the method comprising:
receiving a plurality of messages from a plurality of participant computer systems each associated with a corresponding participant, each message of the plurality of messages comprising a trade order instruction for execution by a trading engine processor;
selectively applying, by the message processing gateway 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, and 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, execution of the trade order instruction is delayed for a delay period comprising a non-zero time.
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 system 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 delay period comprises a randomly selected time value.
5. The method of claim 1 , wherein the delay period comprises a time value selected from a range of time values up to 200 milliseconds.
6. The method of claim 1 , wherein the delay period comprises a time value of at least 3 milliseconds.
7. The method of claim 1 , wherein the at least one characteristic comprises participant identifier, and selectively applying the latency comprises determining whether the participant identifier is associated with a first group for which the latency is to be applied or a second group for which the latency is not to be applied.
8. The method of claim 7 , 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.
9. The method of claim 8 , wherein the queue is maintained at the message processing gateway system.
10. The method of claim 1 , wherein applying the latency comprises holding a message in a queue for the delay period.
11. 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 system.
12. A system, comprising:
a message processing gateway system comprising a processor configured to:
receive a plurality of messages from a plurality of participant computer systems each associated with a corresponding participant, each message of the plurality of messages comprising a trade order instruction 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, participant identifier, order attribute, order marker, instrument price, historical order to execution ratio associated with the corresponding participant, physical proximity of the participant computer system to the trading engine processor, and type of trading strategy;
transmit the message to the trading engine processor for execution,
wherein when the latency is applied, execution of the trade order instruction is delayed for a delay period comprising a non-zero time value.
13. The system of claim 12 , 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 system to the trading engine processor.
14. The system of claim 12 , wherein the at least one characteristic comprises either order type or trading strategy.
15. The system of claim 12 , wherein the delay period comprises a randomly selected time value.
16. The system of claim 12 , wherein the delay period comprises a time value selected from a range of time values up to 200 milliseconds.
17. The system of claim 12 , wherein the delay period comprises a time value of at least 3 milliseconds.
18. The system of claim 12 , wherein the at least one characteristic comprises participant identifier, and the processor is configured to selectively apply the latency, comprising determining whether the participant identifier is associated with a first group for which the latency is to be applied or a second group for which the latency is not to be applied.
19. The system of claim 18 , 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.
20. The system of claim 12 , wherein applying the latency comprises holding a message in a queue for the delay period.
21. The system of claim 20 , wherein the queue is maintained at the message processing gateway system.
22. The system of claim 12 , 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.
23. A non-transitory computer-readable medium storing code which, when executed by a processor of a message processing gateway system, causes the system to implement:
receiving a plurality of messages from a plurality of participant computer systems each associated with a corresponding participant, each message of the plurality of messages comprising a trade order instruction for execution by a trading engine processor;
selectively applying, by the message processing gateway 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, and 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, execution of the trade order instruction is delayed for a delay period comprising a non-zero time.