Abstract: A system may receive request electronic data messages and counter-request electronic data messages from various network participant nodes within a defined time interval. The system may extract data from the electronic data messages to generate input codes including indicators that characterize execution values and imputed variability levels for the electronic data messages and/or characterize the message types of the electronic data messages. The input codes are used to generate a time-interval-specific support vector machine for the defined time interval. The system may then generate dummy data including execution value and imputed variability level tuples. The dummy data is used to map boundary levels from the time-interval-specific support vector machine versus execution values.

Abstract: A system implements data compression for a plurality of data objects each having a respective fixed data constituent and a variable data constituent. The data compression includes selecting a first subset of the fixed data constituents and a second subset of the variable data constituents. The second subset of the variable data constituents having an end date in common and event timing in common. The system compresses the first subset of the fixed data constituents and the second subset of the variable data constituents by defining a representative data object for the fixed data constituent subset and the variable data constituent subset.

Abstract: A set of estimated allocations Nest(X1) through Nest(Xk) of portfolio positions to products X1 through Xk may be determined, with products X1 through Xk including portfolio products and spread-traded products based on some of the portfolio products. Utilizing the set of estimated allocations, an optimized liquidation cost LCopt may be designated. Data indicating at least a portion of a performance bond based on the optimized liquidation LCopt may be output.

Abstract: Networks, systems and methods for dynamically filtering market data are disclosed. Streams of market data may be buffered or stored in a queue when inbound rates exceed distribution or publication limitations. Inclusive messages in the queue may be removed, replaced or aggregated, reducing the number of messages to be published when distribution limitations are no longer exceeded.

Abstract: A system is configured to obtain constituent data streams for each data object of objects; to analyze the constituent data streams to allocate each constituent data stream to one of a set of primary groups; to assign the constituent data streams within each of the primary groups having aligned timing to a netting group of the primary group; to generate, for each netting group of each of the primary groups, continuous data streams by combining the constituent data streams within the netting groups; to define new data objects from the generated continuous data streams, each new data object specifying continuous data streams associated with a pair the primary groups; to incorporate a new data object into a set of data objects to effectuate adjustments to the set of data objects; and to cause the processor to incorporate store, the adjustments to the set of data objects.

Abstract: The disclosed embodiments relate to a latency floor mechanism for processing incoming orders to an electronic trading system which impart a delay on orders, not when they are received, but when they are matched by the match engine/CLOB thereby imparting zero added latency between order submission/modifications/cancellations and price market data publication by the electronic trading system because the disclosed randomization processing delay applies only to matched orders, which represent a small fraction of the market events.

Abstract: A method and system are disclosed for more efficiently constructing a volatility surface. The methodology results in measurable reduction in the quantity of storage memory space needed on a computer executing the novel methodology, reduces the measurable, on-demand computational load on the processor(s) of a computer executing the novel methodology, and permits as-of-day calculations of the volatility surface that were previously impossible to obtain in near real-time.

Abstract: A plurality of message transceivers coupled with each other via a portion of an electronic communications network characterized by a transmission latency are each operative to perform an action on data transaction messages received thereby. Upon receipt by any of the plurality of message transceivers of a first augmented data transaction message transmitted thereto by another of the plurality of message transceivers, the receiving message transceiver is configured to delay performance of the action on the first augmented data transaction message for an amount of time based on an extent to which a defined amount of time exceeds a transmission time, resulting from the transmission latency of the portion of the electronic communication network via which the first augmented data transaction message was conveyed, of the first augmented data transaction message between the transmitting and receiving message transceivers when the transmission time is less than the defined amount of time.

Abstract: The disclosed embodiments relate to systems/methods for low latency regulation of distributed, e.g., geographically and/or logically, transaction processing, such as trading of financial instruments, in accordance with centralized demand-based dynamically reallocated post-trade-based limits, e.g., credit/risk limits. In particular, the disclosed embodiments relate to monitoring credit demand across execution venues, as opposed to actual utilization, and, based thereon, modifying execution specific limits to reallocate of portions of a credit/risk allotment, such as a credit/risk limit, to multiple execution venues for use in approving transactions, which may implement order driven and/or quote driven markets, so as to dynamically rebalance the allocations to the execution venues based on demand/need, rather than utilization, thereby avoiding having to mitigate latencies in determining and responding to utilization.

Abstract: Systems and methods are provided for processing and distributing market data. Critical data, such as data showing that a market price has changed is distributed without further delay. When the market data does not result in a change in a market price or does not meet another critical criteria, the market data is aggregated with market data for similar events and distributed when the aggregated market data passes a quantity threshold.

Abstract: The disclosed embodiments relate to implementation of a trading system or trading system architecture having multiple transaction processors that execute financial transactions as well as scheduled tasks. The multiple transaction processors perform all actions independently of each other, but can be configured to execute the financial transactions or scheduled tasks in a controlled, coordinated, and/or synchronized manner based on time signal data augmented to the financial transactions or scheduled tasks by a transaction receiver/orderer.

Abstract: The disclosed embodiments relate to ensuring that a selected value, selected, for example, via interaction with a graphic user interface, of a dynamically changing parameter, such as a price, is used when generating an electronic data transaction request message in a data transaction processing system, such as an electronic trading system. The data transaction processing system being a system in which data items, such as financial contracts, e.g., futures contracts, are transacted or otherwise traded by a hardware matching processor that attempts to match electronic data transaction request messages with electronic data transaction request messages counter thereto for the same one of the data items based on multiple transaction parameters. A selected value is temporarily buffered allowing the represented value to update wherein a subsequently generated transaction may be based on the buffered value rather than an updated value.

Abstract: An illustrative computing device may include a processor and a non-transitory memory device for storing a data structure capable of being compressed, where the data structure includes a plurality of data elements and each of the plurality of data elements includes a date field and a quantity field. The computing device may process instructions to arrange the plurality of data elements in a consecutive series in date order based on a value stored in the date field of each data element, determine whether a gap appears in the consecutive series of data elements based on a value stored in the quantity field of each element, remove the determined gaps in each of the data elements, and repeat the determining and removing steps until a predetermined criterion has been reached.

Abstract: The disclosed embodiments relate to electronic trading system architectures, for processing incoming orders to an electronic trading system, which feature a latency floor mechanism which imparts a delay on incoming orders. In particular, the disclosed embodiments implement a latency floor mechanism which compensates for both latency variations among trader's ability to submit transactions and also variations in the volume of submitted transactions therefrom.

Abstract: The disclosed embodiments relate to implementation of an electronic framework, also referred to as a protocol or architecture, for electronically achieving, recording and implementing, via an electronic communications network, consensus among participants for the definition, implementation and operation of an electronic transaction processing system as a precursor to the operation of that transaction processing system in processing transactions according to the consensus among the participants. The disclosed consensus framework provides a system and protocol by which new electronic transaction processing systems may be developed and implemented among participants via an electronic negotiation and implementation of the operational rules therefore. The disclosed embodiments eliminate the need for out of band consensus negotiations and provide flexibility for participants to negotiate acceptable operational rules which can support complex transactional processes in an electronic environment.

Abstract: An apparatus and a computer implemented method for managing data streams to a terminal device according to peak levels is disclosed. A streaming device (e.g., exchange device) may provide the data streams in response to requests received from the terminal devices. A network device in the communication path between the streaming device and the terminal device may route the data streams.

Abstract: A computer implemented method for operating a token management system includes: generating the first plurality of request messages; generating a first plurality of public tokens; augmenting each of the first plurality of request messages with one of the first plurality of public tokens, the augmenting resulting in a first plurality of augmented request messages; transmitting the first plurality of augmented request messages to the first plurality of market participants; generating a second plurality of public tokens based on the first plurality of public tokens; querying a database of financial messages for any financial messages including any of the second plurality of public tokens; and associating a plurality of financial messages including any of the second plurality of public tokens with each other.

Abstract: The disclosed embodiments related to multilateral portfolio compression using general large-scale linear optimization which pre-processes a model to decrease model size using domain knowledge to remove variables to reduce dimensionality, thereby making the model faster to solve and improving numerical characteristics. but it would not remove, for example, as much as half of the model, but rather a smaller fraction. The disclosed pre-processing enables an approximate solution for large, linear optimization models by automatically iteratively and selectively partitioning them into independently easily solvable sub-models. The sub-models are themselves linear optimization models, which can be solved with any preferred algorithm or library. The solutions for each sub-model are aggregated to obtain an acceptable, e.g., approximate, solution for a large model without solving the full model.

Abstract: In a system including a primary process followed by a secondary process, which are performed serially and sequentially, i.e., in a FIFO manner, where the secondary process is downstream of the primary process, the disclosed embodiments relate to selective/conditional secondary processing of electronic data transaction request messages, which speeds up the primary processing of the electronic data transaction request messages, reduces the amount of computing resources wasted on calculating inaccurate information, and reduces the usage of network resources associated with publishing market data feeds and receiving new responsive messages.

Abstract: A streaming platform reader includes: a plurality of reader threads configured to retrieve messages from a plurality of partitions of a streaming platform, wherein each message in the plurality of partitions is associated with a unique identifier; a plurality of queues coupled to the plurality of reader threads configured to store messages or an end of partition signal from the reader threads, wherein each queue includes a first position that stores the earliest message stored by a queue; a writer thread controlled by gate control logic that: compares the identifiers of all of the messages in the first positions of the queues of the plurality of queues, and forwards, to a memory, the message associated with the earliest identifier; and wherein the gate control logic blocks the writer thread unless each of the queues contains a message or an end of partition signal.