| CPC G06Q 40/04 (2013.01) | 19 Claims |
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1. A system comprising:
a plurality of hardware match engines, each characterized by a current state and operative to attempt to match an incoming order from a participant for at least one transaction for an associated financial instrument with at least one other previously received but unsatisfied order for a transaction counter thereto, to at least partially satisfy one or both of the incoming order or the at least one other previously received order, wherein a match changes the current state of the hardware match engine; and
a logic component external to and coupled between the plurality of hardware match engines and the participant such that an incoming order from the participant to any of the plurality of hardware match engines flows through the logic component to be forwarded thereto, the logic component operative to, prior to forwarding the incoming order to the hardware match engine and an actual match being identified, derive a risk of loss value unique to the incoming order based on a hypothetical matching of the incoming order as if the incoming order were to be matched by the hardware match engine and at least partially satisfied by at least one other previously received but unsatisfied order which, if completed, would change the current state of the hardware match engine, the derived the risk of loss being further based on a probability that the incoming order will be satisfied by one or more subsequently received orders, there being no derived risk of loss when the incoming order is determined not to hypothetically match any previously received but unsatisfied orders, and, based thereon, determine that the incoming order is invalid when the derived risk of loss exceeds a threshold, and based thereon, prevent the incoming order from being forwarded to the hardware match engine, thereby preventing a change in the current state thereof and avoiding reverting the current state of the associated hardware match engine, caused by matching an incoming order determined to be invalid; and
wherein the logic component is further operative to automatically compute a synthetic solicitation of another order in place of the incoming order which, if satisfied, would result in the derived risk of loss not exceeding the threshold, and transmit the computed synthetic solicitation to the hardware match engine to cause the hardware match engine to transmit the synthetic solicitation to a plurality of participants so as to cause submission of the other order.
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