METHOD AND APPARATUS FOR ORDER ENTRY IN AN ELECTRONIC TRADING SYSTEM

摘要

Orders received by an electronic trading system are processed in batches based on the instrument to which an order relates. An incoming order is assigned to a queue of a queue set that makes up the batch according to a random process. Where orders are received from related trading parties they are assigned to the same queue set according to their time of receipt. The batch has a random duration within defined minimum and maximum durations and at the end of the batch, the orders held in the queues are transferred to a matching thread of the trading system sequentially with one order being removed from each queue and a number of passes of the queues completed until orders have been removed.

主权项

1. A computerised method for submission of orders to an electronic trading system for matching, comprising the steps of:
receiving at a server, from parties trading on the electronic trading system, electronic order messages for trading an instrument; initiating a message batch having a defined duration; storing the received electronic order messages in a storage device of the server, the orders being stored in said storage device in an order unrelated to the order in which they were received at the electronic trading system; after expiry of the defined duration of the batch, submitting the stored order messages to a matching engine of the electronic trading system in the order in which they are stored in the storage device.