Abstract: Systems and methods of pauseless end-of-interval rollovers are described to provide rollover processing with fault tolerance. A system may execute first and second instances of a matching engine for fault tolerance. Each instance by design is deterministically programmed to perform paused end-of-interval (EOI) rollover processing in which orders may be received without blocking by transmitting loopback messages that indicate to-be-expired messages. The sequencer may sequence the loopback messages along with new order messages. Each instance may continue to receive sequenced messages, which may include loopback messages it or the other instance sent, and expire the order corresponding to the loopback message or the counterpart loopback message, wherein expiration of the order occurs on both the first instance and the second instance without blocking new messages from the sequencer.

Abstract: The disclosure relates to systems and methods for symbology-based obfuscation. A system may access an input data value obtained from an input data message. The system may obtain a symbology encoding based on the input data message, the symbology encoding including a precision parameter. The system may generate an output data value based on the input data value and the symbology encoding, the output data value obfuscating the input data value based on the precision parameter defined in the symbology encoding. The system may prepare an output data message based on the output data value that obfuscates the input data value. The system may transmit the output data value obfuscating the input data value to one or more recipients to obfuscate the input data value while providing an indication of the input data value within the precision parameter.

Abstract: Computer-readable media, systems and methods may propagate lower layer data, in headers that would otherwise be deleted, to upper layers in a network protocol stack that uses a multi-layer communication model. For example, high precision network-level timestamps that indicate a time that binary data is received at a network switch may be propagated upward for online application-level processing. Network switches may ordinarily insert network-level timestamps in frame headers that are ordinarily removed prior to propagation upward. The network-level timestamps may be propagated via in-band propagation or out-of-band propagation.

Abstract: The disclosure relates to non-blocking messaging in an electronic trading venue (ETV) in which a matching engine sends groups of price-compatible contra-orders to a credit engine. Doing so may improve the ETV's efficacy and performance by eliminating the need for multiple roundtrips of messages in the case of a failed credit check, and/or by allowing the ETV to more faithfully implement its matching rules. Upon sending an order to the credit engine the matching engine marks it as ‘uncertain’ to indicate that additional requests received on it (e.g., cancels) must also be forwarded to the credit engine. When all pending requests on an order have been acknowledged by the credit engine the matching engine unmarks it as such. In addition to credit checking the credit engine may also perform computations related to advanced order types (e.g., icebergs) indicating the output of such in its acknowledgements to the matching engine.

Abstract: Systems and methods of a deterministic credit system are disclosed to provide high-performance credit-checking while reducing the need for horizontal scaling or implementing larger system architecture. The systems and methods presented herein may achieve this in several ways, for example, by: storing credit lines in memory; optimizing the storage of those lines in memory and performing precomputations on them so as to minimize operations performed on them; and minimizing disk and network I/O by (i) sequencing and persisting inputs to the credit checking computations and (ii) ensuring those computations are deterministic, consequently eliminating the need to persist or transmit the outputs of those computations.

Abstract: User-defined matching of objects is disclosed in which an electronic exchange obtains and executes user-defined rules code that overrides default exchange program code for matching objects at the electronic exchange. The electronic exchange may provide an Application Programming Interface (“API”) that exposes various immutable fields that are used to match objects. The API may also include default program code that may be overridden by the user-defined rules code, which may be implemented as a class extension or interface executed by the electronic exchange.

Abstract: Computer-readable media, systems and methods may propagate lower layer data, in headers that would otherwise be deleted, to upper layers in a network protocol stack that uses a multi-layer communication model. For example, high precision network-level timestamps that indicate a time that binary data is received at a network switch may be propagated upward for online application-level processing. Network switches may ordinarily insert network-level timestamps in frame headers that are ordinarily removed prior to propagation upward. The network-level timestamps may be propagated via in-band propagation or out-of-band propagation.