US 12,229,828 B2
Methods and systems for mass quoting at low latency
Timothy Gorham, Chicago, IL (US); David Edward Taylor, St. Louis, MO (US); and Jeremy Walter Whatley, Ballwin, MO (US)
Assigned to Exegy Incorporated, St. Louis, MO (US)
Filed by Exegy Incorporated, St. Louis, MO (US)
Filed on Feb. 16, 2022, as Appl. No. 17/673,580.
Claims priority of provisional application 63/149,904, filed on Feb. 16, 2021.
Prior Publication US 2022/0261902 A1, Aug. 18, 2022
Int. Cl. G06Q 40/04 (2012.01); G06Q 30/0201 (2023.01); G06Q 40/00 (2023.01); G06Q 40/06 (2012.01)
CPC G06Q 40/04 (2013.01) [G06Q 30/0201 (2013.01); G06Q 40/00 (2013.01); G06Q 40/06 (2013.01)] 29 Claims
OG exemplary drawing
 
29. A method for low latency scheduling of quote transmissions to trading venues, the method comprising:
streaming financial market data through a processor on which parallelized computational resources are deployed, where the parallelized computational resources include first logic resources and second logic resources that operate in parallel with each other, and wherein the financial market data pertains to a plurality of financial instruments;
managing, by the processor and based on the streaming financial market data, how a plurality of quotes are posted to one or more trading venues, wherein the quotes pertain to a plurality of the financial instruments;
wherein the managing step comprises:
evaluating, by the first logic resources, a plurality of canceling conditions in parallel to make decisions regarding whether any previously posted quotes are to be canceled via quote cancellation messages;
receiving a plurality of quote requests over time; and
scheduling, by the second logic resources, transmissions of the quote requests to the one or more trading venues over time based on a plurality of criteria, wherein the quote requests that are scheduled by the second logic resources over time include (1) a plurality of quote cancellation messages derived from the first logic resources and (2) a plurality of new quote messages, and wherein the criteria include prioritization criteria that prioritize one or more of the quote cancellation messages over one or more of the new quote messages with respect to scheduling their transmissions to the one or more trading venues.