Match System that Uses a Non-Indexed Collection of Orders

Abstract

Match engine systems and methods that allow for rapid processing of orders are provided. Pending orders are arranged as a non-indexed collection of orders and may be stored in the cache memory of a processor. The physical locations of pending orders stored in the cache memory may correspond to the order in which they were received at a match engine. New orders are compared to orders in the non-indexed collection of orders in an attempt to match orders.

Description

[0001] The present application is a continuation-in-part application of U.S. Ser. No. 11 / 234,697, filed Sep. 23, 2005 and entitled “Non-Indexed In-Memory Data Storage and Retrieval,” the entire disclosure of which is hereby incorporated by reference.FIELD OF THE INVENTION [0002] The present invention relates to systems, methods and user interfaces that are utilized in connection with the trading of financial instruments. More particularly, the invention provides mechanisms for matching orders against a non-indexed collection of pending orders. DESCRIPTION OF THE RELATED ART [0003] Modern exchanges must process and monitor a large volume of trading data, such as orders for financial instruments. Financial instruments include options contracts, futures contracts, options on futures contracts, interest rate products, securities, equity contracts, etc. Large exchanges are required to process and store large amounts of trading data every second of the trading day. Moreover, upon executin...

AI Technical Summary

Benefits of technology

[0008] Aspects of the invention overcome at least some of the problems and limitations of the prior art by providing systems and methods that allow for the efficient storage and searching of large amounts of data. Pending orders may be arranged as a non-indexed collection of data records within one or more computer-readable media. Exemplary computer-readable media include processor cache memories, magnetic memories, hard disk drives, and optical disk drives. Solid-state memory modules allow for rapid queries due to the lack of moving parts, such as those associated with hard disk drives. The physical locations of pending orders stored in a computer-readable medium may correspond to the order in which the pending orders were received at a match engine and the order in which queries are performed. New orders are compared to orders in the non-indexed collection of orders in an attempt to match orders. Order matching may be performed without the speed limitations and overhead associated with indexed order collections.

Problems solved by technology

These requirements result in substantial chip clock cycles and lead to delayed query results.

Often the aggregation and retrieval of trading data is not efficient enough to allow adequate information to be retrieved within the desired timeframe.

Indeed, under traditional approaches, large amounts of trading data cannot be adequately analyzed in real-time, thereby preventing many uses of the data.

These and other attempts to more efficiently store and retrieve trading data do not adequately address the problem.

For example, precomputed indexes cannot be rapidly adapted for changing user needs or changing data.

When there is a need to analyze data from different angles or perspectives, these conventional systems fail to deliver results in a rapid fashion.

As the volume of orders increases, existing order matching systems struggle to compare and match orders in an efficient manner.

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