Order delivery in a securities market

Abstract

A method of processing delivery messages in a security processing architecture includes receiving an expression of interest to enter into a transaction to buy or sell a security, matching the expression of interest with other expressions of interest, sending a message to a market participant that a match exists, recording a delivery in a delivery log file, recording the delivery in a delivery work in process (WIP) file, and receiving a response message from the market participant.

1 . A method executed over a network of computer systems for processing delivery messages in an electronic trading venue comprising:
 receiving an expression of interest to enter into a transaction to buy or sell a security;   matching the expression of interest with other expressions of interest to provide a match;   prior to executing the match, sending by one or more computers, over a network, to at least one other computer system, a message to a market participant that the match between the expression of interest and another of the expressions of interest exists;   recording by the one or more computers, a delivery of the message in a delivery log file;   recording by the one or more computers, the delivery of the message in a delivery work in process (WIP) file;   receiving by the one or more computers a response message from the market participant the response message indicating whether the order is a partially accepted order, a fully accepted order, or a declined order; and   processing by the one or more computers the match in accordance with the response message.   
     
     
         2 . The method of  claim 1  wherein the securities processing system is a multi-parallel architecture including a plurality of security processors, each security processor handling a fraction of the securities in a market. 
     
     
         3 . The method of  claim 1  wherein the expression of interest is a quote. 
     
     
         4 . The method of  claim 1  wherein the expression of interest is an order. 
     
     
         5 . The method of  claim 1 , wherein processing further comprises:
 writing partial executions or fully accepted executions based on the received response message to an execution trigger; and   sending the execution trigger to a delivery sender component.   
     
     
         6 . The method of  claim 1 , further comprising:
 performing a time-out when the response message arrives after a predetermined amount of time after the message is sent.   
     
     
         7 . The method of  claim 1 , further comprising:
 detokenizing the response message; and   determining whether the response message is a partially accepted execution, a fully accepted execution, a declined execution or has timed-out.   
     
     
         8 . The method of  claim 1 , further comprising for fully accepted and partially accepted executions:
 updating the delivery WIP file;   writing an execution trigger; and   writing a matching trigger.   
     
     
         9 . The method of  claim 1 , further comprising for messages that are neither fully accepted or partially accepted executions:
 determining if the response is for a declined delivery or has timed-out;   determining if the order is a preference order.   
     
     
         10 . The method of  claim 9 , further comprising:
 writing a matching trigger for preference orders.   
     
     
         11 . The method of  claim 9 , further comprising:
 rejecting non-preference orders.   
     
     
         12 . The method of  claim 7 , further comprising:
 receiving the matching trigger;   determining if the order is accepted or rejected.   
     
     
         13 . The method of  claim 12 , further comprising:
 executing accepted orders.   
     
     
         14 . The method of  claim 9 , further comprising:
 reopening orders previously purged upon receipt of a reinstate order transaction.   
     
     
         15 . An article comprising a machine-readable storage device that stores executable instructions for validation within a securities processing system, the instructions causing a machine to:
 receive an expression of interest to enter into a transaction to buy or sell a security;   match the expression of interest with other expressions of interest to provide a match;   prior to executing the match, send a message to a market participant that a the match between the expression of interest with another of the other expressions of interest exists;   record a delivery of the message in a delivery log file;   record the delivery of the message in a delivery work in process (WIP) file;   receive a response message from the market participant the response message indicating whether the order is a partially accepted order, a fully accepted order, or a declined order; and   process by the one or more computers the match in accordance with the response message.   
     
     
         16 . The article of  claim 15  wherein the securities processing system is a multi-parallel architecture including a plurality of security processors, each security processor handling a fraction of the securities in a market. 
     
     
         17 . The article of  claim 15  wherein the expression of interest is a quote. 
     
     
         18 . The article of  claim 15  wherein the expression of interest is an order. 
     
     
         19 . The article of  claim 15 , further comprising instructions causing a machine to:
 write partial executions or fully accepted executions based on the received response message to an execution trigger; and   send the execution trigger to a delivery sender component.   
     
     
         20 . The article of  claim 19 , further comprising instructions causing a machine to:
 perform a time-out when the response message arrives after a predetermined amount of time after the message is sent.   
     
     
         21 . The article of  claim 15 , further comprising instructions causing a machine to:
 detokenize the response message; and   determine whether the response message is a partially accepted execution, a fully accepted execution, a declined execution or has timed-out.   
     
     
         22 . The article of  claim 15 , further comprising for fully accepted and partially accepted executions:
 update the delivery WIP file;   write an execution trigger; and   write a matching trigger.   
     
     
         23 . The article of  claim 15 , further comprising instructions causing a machine to:
 for messages that are neither fully accepted or partially accepted executions:   determine if the response is for a declined delivery or has timed-out;   determine if the order is a preference order.   
     
     
         24 . The article of  claim 23 , further comprising instructions causing a machine to:
 write a matching trigger for preference orders.   
     
     
         25 . The article of  claim 24 , further comprising instructions causing a machine to:
 reject non-preference orders.   
     
     
         26 . The article of  claim 20 , further comprising instructions causing a machine to:
 receive the matching trigger;   determine if the order is accepted or rejected.   
     
     
         27 . The article of  claim 25 , further comprising instructions causing a machine to:
 execute accepted orders.   
     
     
         28 . The article of  claim 25 , further comprising instructions causing a machine to:
 reopen orders previously purged upon receipt of a reinstate order transaction.   
     
     
         29 . A securities processing system comprising:
 a memory that stores executable instructions for validations;   the securities processing system executes the instructions to:   receive an expression of interest to enter into a transaction to buy or sell a security;   match the expression of interest with other expressions of interest to provide a match;   prior to executing the match, send a message to a market participant that a the match between the expression of interest with another of the other expressions of interest exists;   record a delivery of the message in a delivery log file;   record the delivery of the message in a delivery work in process (WIP) file;   receive a response message from the market participant the response message indicating whether the order is a partially accepted order, a fully accepted order, or a declined order; and   process by the one or more computers the match in accordance with the response message.   
     
     
         30 . The system of  claim 29  wherein the securities processing system is a multi-parallel architecture including a plurality of security processors, each security processor handling a fraction of the securities in a market. 
     
     
         31 . The system of  claim 29  wherein the expression of interest is a quote. 
     
     
         32 . The system of  claim 29  wherein the expression of interest is an order. 
     
     
         33 . The system of  claim 29 , further comprising instructions to:
 write partial executions or fully accepted executions based on the received response message to an execution trigger; and   send the execution trigger to a delivery sender component.   
     
     
         34 . The system of  claim 33 , further comprising instructions to:
 perform a time-out when the response message arrives after a predetermined amount of time after the message is sent.   
     
     
         35 . The article of  claim 29 , further comprising instructions to:
 detokenize the response message; and   determine whether the response message is a partially accepted execution, a fully accepted execution, a declined execution or has timed-out.   
     
     
         36 . The article of  claim 29 , further comprising for fully accepted and partially accepted executions instructions to:
 update the delivery WIP file;   write an execution trigger; and   write a matching trigger.   
     
     
         37 . The system of  claim 29 , further comprising instructions to:
 for messages that are neither fully accepted or partially accepted executions:   determine if the response is for a declined delivery or has timed-out;   determine if the order is a preference order.   
     
     
         38 . The system of  claim 37 , further comprising instructions to:
 write a matching trigger for preference orders.   
     
     
         39 . The system of  claim 38 , further comprising instructions to:
 reject non-preference orders.   
     
     
         40 . The system of  claim 34 , further comprising instructions to:
 receive the matching trigger;   determine if the order is accepted or rejected.   
     
     
         41 . The system of  claim 39 , further comprising instructions to:
 execute accepted orders.   
     
     
         42 . The article of  claim 39 , further comprising instructions to:
 reopen orders previously purged upon receipt of a reinstate order transaction.