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Wire Speed Monitoring and Control of Electronic Financial Transactions

a technology of electronic financial transactions and wire speed monitoring, applied in the field of wire speed monitoring and control of electronic financial transactions, can solve problems such as prohibitive delays, and achieve the effects of minimizing latency, reducing latency, and reducing latency

Inactive Publication Date: 2014-09-25
DEUTSCHE BANK
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  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

AI Technical Summary

Benefits of technology

The present invention provides a hardware filter device that can process messages faster than existing software-only products. This allows broker-dealers to check and pass messages without storing them first. The device is designed to maximize the speed of order validation and pre-trade checks, ensuring minimal delays in processing orders. The invention operates at hardware speeds, processing message traffic on-chip without relying on software instructions in memory. This minimizes latency and enables rapid transaction handling, with the most latency-sensitive customers benefiting most from the invention.

Problems solved by technology

These software-only systems introduce latencies which can be prohibitive for particular customer types, such as those that require very high-speed transactions.

Method used

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  • Wire Speed Monitoring and Control of Electronic Financial Transactions
  • Wire Speed Monitoring and Control of Electronic Financial Transactions
  • Wire Speed Monitoring and Control of Electronic Financial Transactions

Examples

Experimental program
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example 1

[0104]The following example illustrates the use of the present invention for conducting risk management assessments with orders entering over the NASDAQ OUCH protocol. The example is by no means considered as restricting or limiting the present invention.

[0105]A message packet for a new order may have the following exemplary configuration:

Payload: 51 bytes, New order length = 48 bytes (agrees with OUCH spec)Order:00:31:55:4f:48:41:41:51:44:50:47:32:52:48:49:41:41:41:42:00:00:00:c8:5a:56:5a:5a:54:20:20:20:01:31:2d:00:00:01:86:9e:48:44:53:4e:59:41:4e:00:00:00:00:4eDecoded:00:31 - SoupTCP length = 49 bytes (number of bytes after this field until the nextpacket)55 - U (Unsequenced Data Packet) on SoupTCP4f - O - new order48:41:41:51:44:50:47:32:52:48:49:41:41:41: - 14 bytes for order token42: - B - buy order00:00:00:c8 - 200 shares5a:56:5a:5a:54:20:20:20 - ‘ZVZZT ’ - symbol01:31:2d:00 - 002000.0000 fixed point format with 6 whole numbers places followedby 4 decimal digits00:01:89:9e - M...

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PUM

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Abstract

An in-line hardware message filter device inspects incoming securities transactions. The invention is implemented as an integrated circuit (IC) device which contains computer code in the form of on-chip hardware instructions. Data messages comprising orders enter the device in exchange-specific formats. Messages that satisfy pre-determined risk assessment filters are allowed to pass through the device to the appropriate securities exchange for execution. The system functions as a passive device for all legitimate network traffic passing directly or indirectly between a customer's computer and a securities exchange's order-acceptance computer. Advantageously, the invention allows the broker-dealer to check and pass messages or orders as they come through the system without having to store the full message before making a risk assessment decision. The hardware-only nature of the invention serves to maximize the speed of order validation and to perform pre-trade checks in a cut-through or store-and-forward mode.

Description

[0001]This application claims the priority benefit of U.S. provisional patent application Serial No. 61 / 415,382, filed on Nov. 19, 2010, the contents of which are incorporated herein in their entirety by reference.I. BACKGROUND OF THE INVENTION[0002]1. Field of the Invention[0003]The present invention is directed to managing pre-trade risk of financial securities transactions. More specifically, the present invention is directed to a reprogrammable high-speed hardware device containing hardware-embedded computer code which parses and analyzes incoming securities orders to ensure that the orders are within the risk, compliance and regulatory parameters established by a broker-dealer or other financial institution.[0004]2. Description of the Related Art[0005]A broker-dealer is a term used in United States financial services regulations to describe a financial institution that trades securities for its own account or on behalf of its customers. Although many broker-dealers are independ...

Claims

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Application Information

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Patent Type & Authority Applications(United States)
IPC IPC(8): G06Q40/04
CPCG06Q40/04
Inventor GABER, KONSTANTINREIDER, GREGORYROTH, RALF
Owner DEUTSCHE BANK
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