Abstract: The invention relates to systems and methods for distributing market data. In one implementation, the system may generate a new encryption key at each market data update, and use that key to encrypt each market participant's data in that update before it is sent. Among other factors, characteristics of modern computer networks may cause participants to be sent (and to receive) their encrypted data in that update at different times. After the participants have all been sent their data in that update the system may then simultaneously transmit to those participants the key that will enable them to decipher their data. In an implementation, the key may be transmitted via a multicast transport protocol which can be used to ensure all recipients receive it at the same time. In this manner the invention may ensure that although participants receive their data in a given update at different times, they are unable to decipher that data until substantially the same time.

Abstract: An electronic trading venue (ETV) may prioritize maker orders that specify or are associated with cancel delay values by selecting a maker order to be matched with taker orders before competing maker orders, at the same price level for a given instrument, that have smaller or no cancel delay values. Such prioritization may occur even if the competing maker orders were received before the maker order. A cancel delay value indicates an amount of time that must pass after a request to cancel a maker order is received before the ETV actually cancels the maker order. Thus, in exchange for prioritization, maker orders will be subject to a cancelation delay that starts after a cancel request is received and during which a maker order will not be canceled. Takers may benefit from this by being able to match with a maker order before it can be canceled.

Abstract: The invention relates to a system and method for providing a latency floor for an electronic trading venue in which market participants who can respond within the value the floor and choose to compete in a specific race to make or take a price may each have a substantially equal chance of winning that race. The system may detect and distinguish individual “races” that occur on an electronic trading venue. Upon detection of the first order (or message) in such a race, the system may create a batch and a timer for that race. As orders pertaining to that race are received, they are added to its batch. Upon the timer reaching a predetermined value, typically the value of the floor, the race is determined to have ended and the orders are drained from the batch for processing (e.g., against the instrument's central limit order book (CLOB)).

Abstract: An electronic trading venue (ETV) may prioritize maker orders that specify or are associated with cancel delay values by selecting a maker order to be matched with taker orders before competing maker orders, at the same price level for a given instrument, that have smaller or no cancel delay values. Such prioritization may occur even if the competing maker orders were received before the maker order. A cancel delay value indicates an amount of time that must pass after a request to cancel a maker order is received before the ETV actually cancels the maker order. Thus, in exchange for prioritization, maker orders will be subject to a cancellation delay that starts after a cancel request is received and during which a maker order will not be canceled. Takers may benefit from this by being able to match with a maker order before it can be canceled.

Abstract: The invention relates to systems and methods for distributing encrypted market data updates to market participants via private multicast channels. Among other factors, characteristics of modern computer networks may cause participants to be sent (and to receive) their encrypted data for that update at different times. Thus, after the participants have all been sent their data for that update the system may then simultaneously transmit to those participants the key that will enable them to decipher their data via a public multicast channel such that all recipients receive the key at the same time. In this manner the invention may ensure that although participants receive their data in a given update at different times, they are unable to decipher that data until substantially the same time.

Abstract: The invention relates to systems and methods for distributing market data. In one implementation, the system may generate a new encryption key at each market data update, and use that key to encrypt each market participant's data in that update before it is sent. Among other factors, characteristics of modern computer networks may cause participants to be sent (and to receive) their encrypted data in that update at different times. After the participants have all been sent their data in that update the system may then simultaneously transmit to those participants the key that will enable them to decipher their data. In an implementation, the key may be transmitted via a multicast transport protocol which can be used to ensure all recipients receive it at the same time. In this manner the invention may ensure that although participants receive their data in a given update at different times, they are unable to decipher that data until substantially the same time.

Abstract: The invention relates to systems and methods for distributing market data. In one implementation, the system may generate a new encryption key at each market data update, and use that key to encrypt each market participant's data in that update before it is sent. Among other factors, characteristics of modern computer networks may cause participants to be sent (and to receive) their encrypted data in that update at different times. After the participants have all been sent their data in that update the system may then simultaneously transmit to those participants the key that will enable them to decipher their data. In an implementation, the key may be transmitted via a multicast transport protocol which can be used to ensure all recipients receive it at the same time. In this manner the invention may ensure that although participants receive their data in a given update at different times, they are unable to decipher that data until substantially the same time.

Abstract: Disclosed is a system and method for incentivizing participants on an electronic trading venue to post competitively priced bids or offers onto that venue. Participants that post such bids and offers are rewarded by a venue implementing the invention by being sent more frequent (and/or enhanced) market data updates over participants who do not, while those bids and offers remain active and competitive. Participants that receive more frequent market data updates from a venue may have an informational advantage in their trading over those participants that receive less frequent updates.

Abstract: The invention relates to improved computer systems mitigating the effects of computational incongruencies of Electronic Trading Venue (“ETV”) computers based on selection of orders, received at the ETV via a network from the computers, using randomization and delay-free mechanisms. To address High Frequency Trading and improve the efficiency of the computer system of an ETV, the system may immediately, without introducing a batching or randomization delay, place maker orders into an electronic order book. If a taker order is received that is price-compatible with previously received maker orders in the electronic order book, the system may batch the maker orders in the electronic order book for randomization. As such, batching and randomization processes do not use network and computational resources of the computer system unless they are actually necessary, and are typically not employed when maker orders are canceled after their initial entry into the electronic order book.

Abstract: A system and method is disclosed for realistic performance testing of a computer network (e.g., a computer network of an electronic trading venue) based on a customizable test scenario, designed by users, executed using a plurality of independent computer nodes each connected to the computer network via its own physical connection to a network device (e.g., network switch) of the computer network. Using the system, developers may design a test scenario that includes testing parameters, which include computer executable code for transmission to and execution at the plurality of computer nodes. The computer executable code may simulate network traffic between devices of market participants and the electronic trading venue.

Abstract: A system and method is disclosed for quantifying temporal fairness on an electronic trading venue as a scalar value with unit time. The system may, for an instrument traded on the venue, construct some pluralities of time deltas associated with each pair of market participants in a plurality of such that are active on the instrument. The system may populate these pluralities of time deltas by determining the amount of time that elapses between when the first and second participant in a pair each send (or are sent) a similar message to (or from) the venue. Through analysis of these pluralities of time deltas the system may find two minimum values, fords and fmktdata, the sum of which may quantify temporal fairness for the instrument on the venue. The resultant sum may inform the value of a latency floor deployed for the instrument on the venue.

Abstract: The invention relates to a system and method for providing a latency floor for an electronic trading venue in which market participants who can respond within the value the floor and choose to compete in a specific race to make or take a price may each have a substantially equal chance of winning that race. The system may detect and distinguish individual “races” that occur on an electronic trading venue. Upon detection of the first order (or message) in such a race, the system may create a batch and a timer for that race. As orders pertaining to that race are received, they are added to its batch. Upon the timer reaching a predetermined value, typically the value of the floor, the race is determined to have ended and the orders are drained from the batch for processing (e.g., against the instrument's central limit order book (CLOB)).

Abstract: The invention relates to a system and method for providing a latency floor for an electronic trading venue in which market participants who can respond within the value the floor and choose to compete in a specific race to make or take a price may each have a substantially equal chance of winning that race. The system may detect and distinguish individual “races” that occur on an electronic trading venue. Upon detection of the first order (or message) in such a race, the system may create a batch and a timer for that race. As orders pertaining to that race are received, they are added to its batch. Upon the timer reaching a predetermined value, typically the value of the floor, the race is determined to have ended and the orders are drained from the batch for processing (e.g., against the instrument's central limit order book (CLOB)).

Abstract: The invention relates to improved computer systems that mitigate the effects of computational incongruencies of computers connected to an Electronic Trading Venue (“ETV”) based on selection of orders, received at the electronic training venue via a network from the computers, using randomization and delay-free mechanisms. To address High Frequency Trading and improve the efficiency of the computer system of an ETV, the system may immediately, without introducing a batching or randomization delay, place maker orders into an electronic order book. If a taker order is received that is price-compatible with previously received maker orders in the electronic order book, the system may batch the maker orders in the electronic order book for randomization.

Abstract: A system and method is disclosed for realistic performance testing of a computer network (e.g., a computer network of an electronic trading venue) based on a customizable test scenario, designed by users, executed using a plurality of independent computer nodes each connected to the computer network via its own physical connection to a network device (e.g., network switch) of the computer network. Using the system, developers may design a test scenario that includes testing parameters, which include computer executable code for transmission to and execution at the plurality of computer nodes. The computer executable code may simulate network traffic between devices of market participants and the electronic trading venue.

Abstract: Disclosed is a system and method for incentivizing participants on an electronic trading venue to post competitively priced bids or offers onto that venue. Participants that post such bids and offers are rewarded by a venue implementing the invention by being sent more frequent (and/or enhanced) market data updates over participants who do not, while those bids and offers remain active and competitive. Participants that receive more frequent market data updates from a venue may have an informational advantage in their trading over those participants that receive less frequent updates.

Abstract: An electronic trading venue (ETV) may prioritize maker orders that specify or are associated with cancel delay values by selecting a maker order to be matched with taker orders before competing maker orders, at the same price level for a given instrument, that have smaller or no cancel delay values. Such prioritization may occur even if the competing maker orders were received before the maker order. A cancel delay value indicates an amount of time that must pass after a request to cancel a maker order is received before the ETV actually cancels the maker order. Thus, in exchange for prioritization, maker orders will be subject to a cancellation delay that starts after a cancel request is received and during which a maker order will not be canceled. Takers may benefit from this by being able to match with a maker order before it can be canceled.

Abstract: Disclosed is a system and method for processing code orders that specify orders to be processed on an electronic trading venue (ETV) based on computer code referenced by or included with the code orders. Market participants may define, associate and submit executable code with each order message they send to the ETV. Upon receipt of a code order, and before that message itself is processed by the ETV against the instrument's limit order book, the ETV may evaluate all of the code associated with active code orders in that limit order book and process any resulting orders. Responsive to the completion of this evaluation, the ETV may update the state of the limit order book to reflect the new prices and quantities of them. Responsive to the completion of the update, the ETV may process the new message, which triggered evaluation of the code orders against the limit order book.

Abstract: A system and method is disclosed for quantifying temporal fairness on an electronic trading venue as a scalar value with unit time. The system may, for an instrument traded on the venue, construct some pluralities of time deltas associated with each pair of market participants in a plurality of such that are active on the instrument. The system may populate these pluralities of time deltas by determining the amount of time that elapses between when the first and second participant in a pair each send (or are sent) a similar message to (or from) the venue. Through analysis of these pluralities of time deltas the system may find two minimum values, fords and fmktdata, the sum of which may quantify temporal fairness for the instrument on the venue. The resultant sum may inform the value of a latency floor deployed for the instrument on the venue.

Abstract: The invention relates to systems and methods for distributing market data. In one implementation, the system may generate a new encryption key at each market data update, and use that key to encrypt each market participant's data in that update before it is sent. Among other factors, characteristics of modern computer networks may cause participants to be sent (and to receive) their encrypted data in that update at different times. After the participants have all been sent their data in that update the system may then simultaneously transmit to those participants the key that will enable them to decipher their data. In an implementation, the key may be transmitted via a multicast transport protocol which can be used to ensure all recipients receive it at the same time. In this manner the invention may ensure that although participants receive their data in a given update at different times, they are unable to decipher that data until substantially the same time.