Abstract: Methods and apparatus for generating and using multicast transaction messages in an exchange system are described. A unicast transaction message is received, e.g., by a gateway device which interacts with devices outside the exchange system. The gateway device generates a multicast transaction message from the unicast transaction message and sends transmits it to other devices in the exchange system. A multicast transaction message is received by the gateway device. The gateway generates a unicast transaction response message and sends it to the trader system which sent the transaction message to which the response corresponds. Traders are permitted to include information in a transaction message field which is not interpreted or used by the exchange to control message processing. The information in the uninterpreted field is echoed back to the trader system and allows the trader to correlate the transaction messages to one or more clients or to perform other operations.

Abstract: Methods and apparatus for implementing an electronic trading system which supports risk checking as part of standard message order processing is described. In accordance with the invention risk checking is moved into the exchange system, e.g., electronic communications network, responsible for servicing transaction/order messages and implementing trades. Thus, at least some level of risk checking is performed on transactions even if a broker allows a trader to submit orders directly to the ECN without first passing through a broker order/risk checking system. Brokers, clients and/or individual traders provide parameters used to perform various checks which are performed within the exchange on submitted orders. Various checks are broker level checks which test that orders placed by individual clients do not exceed constraints which are based on the aggregate of the holdings of the individual clients of a broker. Additional client level and trader specified risk checking may also be performed.

Abstract: Various embodiments are directed to gap fill methods and apparatus. In an exchange system a device in the exchange may request a message gap fill when it detects that it may be missing one or more messages. The gap fill message may include a range of message identifiers or message counter values identifying the messages which are being requested by the multicast gap fill message. A message logging system included in the exchange may include a plurality of message logging devices. A multicast gap fill message may specify a set of messages to be provided which is very large. Multiple devices may respond to the requesting device with the responding device providing one, multiple or all the messages. Replies to multicast gap fill request messages are sent in the form of unicast messages from directed to the device which sent the multicast gap fill request message.

Abstract: Features are directed to detecting a loss of message synchronization and/or messages e.g., between a trader system and an exchange system. Synchronization loss may be due to a connection being terminated for a period of time, a lost connection, etc., while a trading session is being maintained with the exchange system. Loss of message synchronization may relate to messages or other communication over a shared high speed low latency path within the exchange that is used for communicating transaction messages, e.g., order messages to be processed. To avoid introducing delays into communication with other traders who's transaction messages share the same high speed communications path within the exchange as the trader system with which message synchronization is lost, message gap fill to restore message synchronization with a trader system that lost synchronization is performed via a different communications path than the shared communications path used for communicating new transaction messages.

Abstract: Various embodiments are directed to gap fill methods and apparatus. In an exchange system a device in the exchange may request a message gap fill when it detects that it may be missing one or more messages. The gap fill message may include a range of message identifiers or message counter values identifying the messages which are being requested by the multicast gap fill message. A message logging system included in the exchange may include a plurality of message logging devices. A multicast gap fill message may specify a set of messages to be provided which is very large. Multiple devices may respond to the requesting device with the responding device providing one, multiple or all the messages. Replies to multicast gap fill request messages are sent in the form of unicast messages from directed to the device which sent the multicast gap fill request message.

Abstract: Methods and apparatus for numbering messages between a client, e.g., trader system, and exchange system are described. Client device (e.g., trader system) to exchange message numbering and exchange system to client device message numbering is supported and used. As part of each successful login, a client device is provided with a client to exchange system number to be used for first transaction message sent to the system after login. The first message from the client device is checked to make sure the number sent to the client device was used in the message. This approach places the burden on the client device, e.g., trader's system, not to send old messages with the new number. Messages from the exchange to the trader system are also numbered. Messages may include a field used to communicate information provided by a trader which is not interpreted by or used by the exchange system.