Abstract: The disclosed embodiments relate to implementation of a trading system, which may also be referred to as a trading system architecture, having improved performance which further assures transactional determinism under increasing processing transaction loads while providing improved trading opportunities, fault tolerance, low latency processing, high volume capacity, risk mitigation and market protections with minimal impact, as well as improved and equitable access to information and opportunities.

Abstract: Systems and methods for blending a plurality of swaps may include determining a fixed rate for use in blending a plurality of swaps, each of the plurality of swaps having matching economics and a different associated fixed rate. A computing device may determine a first remnant swap for blending fixed rate components of the plurality of swaps using the fixed rate. In some cases, the computing device may determine second remnant swap for blending floating rate components of the plurality of swaps based on the first remnant swap.

Abstract: A computer system may access data corresponding to a portfolio that comprises interest rate swaps and may calculate parameters for a compressed swap. The computer system may determine, based at least in part on the parameters for the compressed swap, a performance bond requirement attributable to the interest rate swaps. The computer system may compare the performance bond requirement to account data associated with a holder of the portfolio and may perform one or more additional actions based on the comparing.

Abstract: A performance measurement indexing system indexes a data store containing data entries indicative of message processing by an application. The application includes a plurality of checkpoints, and the data store contains data logged upon each message traversing the checkpoints in the application. The performance measurement indexing system determines which data entries relate to messages that satisfy a delay condition, and limits queries run on the data store to those data entries, thereby increasing the speed and efficiency with which queries can be serviced.

Abstract: The disclosed embodiments relate to implementation of a trading system, which may also be referred to as a trading system architecture, having improved performance which further assures transactional determinism under increasing processing transaction loads while providing improved trading opportunities, fault tolerance, low latency processing, high volume capacity, risk mitigation and market protections with minimal impact, as well as improved and equitable access to information and opportunities.

Abstract: A system and a method automatically enable unconstrained inputs of data including a price that relate to a proposed new or modified trade orders between counterparties for submission to an electronic trading system that enforces constraints on the inputs relating to the proposed trades that can be submitted by the counterparties.

Abstract: The disclosed embodiments relate to communication of messages from a database to participants whereby messages, or at least a portion of the content thereof, indicative of changes in the database, due to one or more transactions between two or more participants, are structured so as to reduce redundant data therein and prioritize the transmission of that portion of the message which summarizes the event and result thereof. Further, these event reporting messages may further consolidate, or otherwise be combined with, the corresponding directed reporting messages communicated to the particular participants participating in the reported transaction while preserving the anonymity of those participants to which messages are particularly directed.

Abstract: The disclosed embodiments relate to implementation of a trading system, which may also be referred to as a trading system architecture, having improved performance which further assures transactional determinism under increasing processing transaction loads while providing improved trading opportunities, fault tolerance, low latency processing, high volume capacity, risk mitigation and market protections with minimal impact, as well as improved and equitable access to information and opportunities.

Abstract: The disclosed embodiments relate generally to complex data stream control and entitlement. Specifically, the disclosed embodiments provide systems and methods for ensuring that only authenticated/verified participants receive data streams. A third party, e.g., a party other than the data provider or the data recipient, who is nevertheless associated with both the data provider and the data recipient, may be involved in controlling whether data streams from the data provider can reach the data recipient. Thus, a third party may logically sit between the data provider and the data recipient, and may decide whether the data recipient should receive data streams. The disclosed embodiments implement data generation, flow, control and permissioning between multiple entities via digital assets accessed and manipulated on a shared data structure.

Abstract: The disclosed embodiments relate to a mechanism for allowing concurrent access, e.g. write operations, to a data structure, e.g. a file, which may have limited capacity, by multiple processes or threads and, in particular, for allowing concurrent, or otherwise substantially simultaneously, appending of data to the file thereby. Each process/thread requests the amount of space it needs to append its data. Upon request, the disclosed mechanism allocates and reserves the requested amount of space and allows the requesting process/thread to commence its append operation. Subsequent to the commencement of the append operation, another thread is then free to request space for its needs and commence its append operation concurrently, or otherwise substantially simultaneously, with the previous append operation, i.e. before the prior append operation is completed.

Abstract: A processing module may be centralized and coupled to multiple inputs from customers, and behave deterministically, e.g., programmed to depend on state, inputs and outputs. The rapid speed of automated trading systems implementing such a centralized, deterministic module, where all users can access a central limit order object, can quickly result in an object state that does not reflect a true consensus or desirable state. Accordingly the resulting problem is a problem arising in computer systems due in part to the high speeds of computer systems. The solutions disclosed herein are, in one embodiment, implemented as automatic responses and actions by a computing system.

Abstract: Systems and methods are provided for a clearing framework for clearing a non-deliverable interest rate swap. The clearing framework includes an application programming interface (API) including functions for processing trade messages including information used by a clearing house computing system in clearing non-deliverable interest rate swaps; one or more user interface screens comprising information corresponding to one or more non-deliverable interest rate swaps and one or more user interface screens comprising information of cleared interest rate swaps, one an API for reporting clearing information, wherein the one or more functions comprise a first messaging function to confirm clearing of the one or more non-deliverable interest rate swaps and a second messaging function to request consent to clear the one or more non-deliverable interest rate swaps.

Abstract: A plurality of message transceivers coupled with each other via a portion of an electronic communications network characterized by a transmission latency is 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: A data transaction processing system includes a quarantine system that delays messages configured to accept a delay before being processed by the data transaction processing system. During periods of heavy network traffic, the imposed delay reduces network congestion by distributing/load leveling messages according to available computing resources. Separating messages over time also reduces the processing latency of the data transaction processing system. Messages that are routed and delayed through the quarantine system may be executed at a better transactional value than other non-delayed messages.

Abstract: A computer implemented method is described for validation of a service. A graph data structure is statically analyzed beginning prior to deployment of the service and continues after deployment. The method uses the static analysis to determine that a build exposing the service deviates from a pre-declared whitelist of dependencies. The method rejects insertion of the build into the graph data structure responsive to the determination in accord with a deny-by-default security posture.

Abstract: The disclosed embodiments relate to systems and methods for triangulation of options and futures. An exchange receives a volatility quoted order. The system attempts to match the order within a volatility order book. If there is a match, the system attempts to mitigate the risk of the order by implying an order into the futures market. If there is not a match, the system implies an order into a premium quoted option order book. The exchange automatically maintains the order based on changes in the underlying futures market and a stored quoting model.

Abstract: The disclosed embodiments relate to systems and methods for generating an optimal solution for determining a value for one or more base data objects. A plurality of solutions include one or more composite data objects transacted by a transaction system processor. The composite data objects include the one or more base data objects. An optimal solution is generated by using data indicative of a level of activity and a number of sources for each of the plurality of composite data objects.

Abstract: A monitoring system monitors processing of incoming messages and logs data related to performance of an application that processes the messages. The monitoring system temporarily associates reusable identifiers with the messages and logs data upon each message traversing different points in the application. Each of the identifiers is sized such that the storage space necessary to store the identifier is less than the storage space necessary to store an identifier sized to uniquely identify all of the plurality of messages, and the identifiers and the logged data are configured to minimize a performance penalty of monitoring the application. The monitoring system parses the data, e.g., during post-processing, to determine, from a plurality of data entries that refers to the same identifier, a subset of the data entries where the same identifier was associated with the same message.

Abstract: Systems and methods are provided to increase the rate at which a system can accept and process data transaction request messages. The system includes a pre-processer that filters incoming data transaction request messages prior to transmitting the messages for further processing, for example, by a matching engine. The pre-processer quickly identifies whether a new arriving data transaction request is transactable. If the new arriving data transaction request is not transactable, then the data transaction request will be transmitted and stored in a main data structure and not transmitted to the matching engine.

Abstract: The disclosed embodiments relate to reduction of computational resources of an electronic trading system required for management of electronic tradeable instruments via instantiation of data objects in a memory including both data inherited from and data linked to a master data object stored in an external data structure or database. The combination of both inherited and referenced attributes may uniquely define each instance to enable the electronic trading system to manage and process transactions for a large number of tradeable instrument variations with minimal computational resources. Thereby, the disclosed embodiments enable the listing en mass and scheduling of a large number of financial instruments for trading to cover, for example, various currency patterns, pricing sources and fixing times.