System and method for providing latency protection for trading orders

Abstract

A system for managing trading orders comprises a memory operable to store an order associated with a first price. The system further comprises a processor communicatively coupled to the memory and operable to identify a latency value. The processor is further operable to receive a counterorder and to identify a potential trade associated with the order and the counterorder, the potential trade based at least in part on the first price. If the latency value satisfies a configurable condition, the processor is further operable to initiate a configurable period of time. If the potential trade is not valid upon expiration of the configurable period, the processor is further operable to prevent the execution of the potential trade.

1 . (canceled) 
     
     
         2 . An apparatus comprising:
 a memory;   at least one processor configured to:   calculate a latency value that represents delays in transmission or processing of trading orders;   receive an order;   receive a counter-order;   identify a potential trade associated with the order and the counter-order;   determine whether the latency value satisfies a threshold time period;   responsive to determining that the latency value satisfies the threshold time period and responsive to identifying the potential trade, initiate a timer;   determine whether the potential trade is valid upon expiration of the timer; and   responsive to determining that the potential trade is not valid upon expiration of the timer, prevent execution of the potential trade.   
     
     
         3 . The apparatus of  claim 2 , wherein the at least one processor is further configured to generate a timer queue in the memory and insert a record of the potential trade in the timer queue. 
     
     
         4 . The apparatus of  claim 3 , wherein the at least one processor is further configured to keep the record of the potential trade in the memory until the timer expires. 
     
     
         5 . The apparatus of  claim 2 , wherein expiration of the timer is configurable. 
     
     
         6 . The apparatus of  claim 2 , wherein the at least one processor is configured to determine that the potential trade is not valid in response to determining that the counter-order was cancelled before the timer expired. 
     
     
         7 . The apparatus of  claim 2 , wherein the at least one processor is further configured to generate an inbound queue in the memory and insert the counter-order in the inbound queue in response to receiving the counter-order. 
     
     
         8 . The apparatus of  claim 7 , wherein the at least one processor is further configured to remove the counter-order from the inbound queue in response to determining that the potential trade is no longer valid. 
     
     
         9 . The apparatus of  claim 2 , wherein the at least one processor is further configured to calculate the latency value based at least in part on a time it takes to acknowledge receipt of a given trading order transmitted from a server. 
     
     
         10 . A method comprising:
 calculating, by at least one processor, a latency value that represents delays in transmission or processing of trading orders;   receiving, by the at least one processor, an order;   receiving, by the at least one processor, a counter-order;   identifying, by the at least one processor, a potential trade associated with the order and the counter-order;   determining, by the at least one processor, whether the latency value satisfies a threshold time period;   responsive to determining that the latency value satisfies the threshold time period and responsive to identifying the potential trade, initiating, by the at least one processor, a timer;   determining, by the at least one processor, whether the potential trade is valid upon expiration of the timer; and   responsive to determining that the potential trade is not valid upon expiration of the timer, preventing, by the at least one processor, execution of the potential trade.   
     
     
         11 . The method of  claim 10 , further comprising generating, by the at least one processor, a timer queue in a memory and insert a record of the potential trade in the timer queue. 
     
     
         12 . The method of  claim 11 , further comprising keeping, by the at least one processor, the record of the potential trade in the memory until the timer expires. 
     
     
         13 . The method of  claim 10 , wherein expiration of the timer is configurable. 
     
     
         14 . The method of  claim 10 , further comprising determining, by the at least one processor, that the potential trade is not valid in response to determining that the counter-order was cancelled before the timer expired. 
     
     
         15 . The method of  claim 10 , further comprising generating, by the at least one processor, an inbound queue in a memory and insert the counter-order in the inbound queue in response to receiving the counter-order. 
     
     
         16 . The method of  claim 15 , further comprising removing, by the at least one processor, the counter-order from the inbound queue in response to determining that the potential trade is no longer valid. 
     
     
         17 . The method of  claim 10 , further comprising calculating, by the at least one processor, the latency value based at least in part on a time it takes to acknowledge receipt of a given trading order transmitted from a server.