Distributed ranking and matching of messages

Abstract

A method for managing messages in a computer system is described. The method comprising the steps of; receiving a plurality of order/quote messages via an input mechanism, ranking the order/quote messages based on the at least one ranking value parameter at a first ranking unit, sending at least one top ranked order/quote message from the first ranking unit to a matching unit, matching the top ranked order/quote messages at the matching unit. A computer system and a processor for inter alia performing the method are also enclosed.

1 . A computer system for managing order/quote messages comprising at least one ranking value parameter, the order/quote messages being sent by participants over a network and is received by an input mechanism, the computer system comprising:
 at least a first ranking unit associated with the input mechanism, for ranking the order/quote messages based on the at least one ranking value parameter,   a matching unit associated with the ranking unit, for matching the ranked order/quote messages,
 wherein the at least first ranking unit is separated from the matching unit so as to rank order/quote messages before they are sent to the matching unit. 
   
   
   
       2 . A computer system according to  claim 1 , wherein the order/quote message further comprising at least one of the following:
 a bid order,   an ask order.   
   
   
       3 . A computer system according to  claim 2 , wherein the ranking unit is configured to rank a first bid order with a second bid order, and to deliver a top ranked bid order to the matching unit. 
   
   
       4 . A computer system according to  claim 2 , wherein the ranking unit is configured to rank a first ask order with a second ask order, and to deliver a top ranked ask order to the matching unit. 
   
   
       5 . A computer system according to  claim 1 , further comprising a second level ranking unit associated with the at least first ranking unit and the matching unit, so as to rank a third incoming order/quote message with a top ranked order/quote message received from the at least first ranking unit before sending a second top ranked order/quote message to the matching unit. 
   
   
       6 . A computer system according to  claim 2 , comprising a bid ranking unit configured to rank bid orders and an ask ranking unit configured to rank ask orders. 
   
   
       7 . A computer system according to  claim 1 , wherein the first ranking unit further comprises a consolidator for consolidating top ranked order/quote messages so as to minimize overhead when sending the top ranked order/quote message to the matching unit. 
   
   
       8 . A computer system according to  claim 1 , further comprising a memory associated with the matching unit for storing top ranked order/quote messages. 
   
   
       9 . A computer system according to  claim 1 , comprising a first server comprising the ranking unit and a second server comprising the matching unit, the servers being connectable in a server system so as to rank and match the order/quote messages. 
   
   
       10 . A computer system according to  claim 1 , wherein the ranking is based on at least one of the following parameters:
 price parameter,   time parameter,   volume parameter,   participant type,   client category, and   yield.   
   
   
       11 . A computer system according to  claim 2 , comprising a ranking unit for ranking bid orders and a second ranking unit for ranking ask orders, both ranking units being associated with the matching unit. 
   
   
       12 . An electronic exchange comprising the computer system according to  claim 1 . 
   
   
       13 . A method implemented on a computer system for managing order/quote messages comprising at least one ranking value parameter, the trade messages being sent by participants over a network, the method comprising:
 receiving a plurality of order/quote messages via an input mechanism,   ranking the order/quote messages based on the at least one ranking value parameter at a first ranking unit,   sending at least one top ranked order/quote message from the first ranking unit to a matching unit,   matching the top ranked order/quote messages at the matching unit.   
   
   
       14 . A method according to  claim 13 , wherein order/quote messages comprising bid orders, the method further comprising the steps of:
 ranking a first bid order with a second bid order at the ranking unit, so that at least one bid order is ranked as the top bid order based on the ranking value parameter.   
   
   
       15 . A method according to  claim 13 , wherein the order/quote messages comprising ask orders, the method further comprising the steps of:
 ranking a first ask order with a second ask orders at the ranking unit, so that at least one ask order is ranked as the top ask order based on the ranking value parameter.   
   
   
       16 . A method according to  claim 13 , further comprising the step of storing the order/quote messages not ranked in top position in a first memory allocation associated with the ranking unit. 
   
   
       17 . A method according to  claim 13 , further comprising a step of storing the top ranked order/quote messages, if not matched, in a second memory allocation associated with the matching unit. 
   
   
       18 . A method according to  claim 13 , further comprising a second ranking step, ranking the order/quote messages based on a second ranking parameter if the first ranking resulted in two or more top rankings among the order/quote messages. 
   
   
       19 . A method according to  claim 18 , further comprising a third ranking step, ranking the order/quote messages based on a third ranking parameter if the second ranking resulted in two or more top rankings among the order/quote messages. 
   
   
       20 . A method according to  claim 18 , further comprising the step of consolidating the order/quote messages if the first ranking resulted in two or more top rankings and placing the top ranked orders in a consolidated order/quote message in a priority order based on the outcome from the second ranking. 
   
   
       21 . A method according to  claim 13 , further comprising the step of:
 upon match in the matching unit sending a deal message to the associated ranking units,   upon reception of the deal message at the ranking unit, the ranking unit sends a new top ranked order/quote message to the matching unit so that a top ranked order/quote message is present any time in the matching unit.   
   
   
       22 . A processor configured to rank and match orders received as input data, the processor comprising a first core dedicated to rank orders and a second core dedicated to match orders, the first core and second core is connectable so as to transfer input data there between. 
   
   
       23 . A processor according to  claim 22  wherein the first core comprises a process for ranking orders and the second core comprises a process for matching orders. 
   
   
       24 . A processor according to  claim 22 , further comprising a third core configured to rank orders. 
   
   
       25 . A processor according to  claim 22 , comprising three core units wherein the first core is configured to rank bid orders, the third core is configured to rank ask orders and the second core is configured to match the ranked bid orders and the ranked ask orders sent from the firs and third core over a bus to the second core. 
   
   
       26 . A computer readable medium comprising computer-executable instructions for causing an electronic exchange to perform the method as claimed in  claim 13 .