Systems and methods for providing up-to-date information for transactions

Abstract

In a system for executing transaction requests, a received request for a transaction in an item is delayed prior to matching that request with another request for transaction in that item by a delay based on a communication delay and/or a processing delay. The communication delay represents the time required to receive updated information about the item and the processing delay represents the time required to compute an updated item price using the received updated information.

Accordingly, we claim: 
     
         1 - 28 . (canceled) 
     
     
         29 . A method for a computerized exchange to process transactions while deterring or mitigating high-frequency trading, the method comprising the steps of:
 receiving at the exchange at time t 1 , data q affecting a price of an item;   estimating by the exchange that the data q was generated at an earlier time t 0 , by a data source distinct from the exchange, a difference t 1 −t 0 , designated as communication delay, being v units of time;   computing by a price computation processor at the exchange, at a time t 2  later than time t 1 , an updated price r of the item using the received data q, a difference t 2 −t 1 , designated as processing delay, being d units of time;   receiving at the exchange from a trading system distinct from both the exchange and the data source, at a time t t0 , a first electronic trading request for the item, the time t t0  being earlier than the time t 2  and later than the estimated time t 0 ; and   forwarding the first electronic trading request to a matching processor at the exchange via a buffer introducing a forwarding delay of p units of time, the forwarding delay p being a function of a sum of the communication delay v and the processing delay d, a time t 3 =t t0 +p being equal to or greater than t 2 .   
     
     
         30 . The method of  claim 29 , wherein:
 the data source comprises a quotation provider; and   the communication delay depends at least in part on at least one of: (i) the quotation provider from which the data q is received or (ii) a communication infrastructure between the quotation provider and the exchange.   
     
     
         31 . The method of  claim 29 , wherein the item is selected from a group consisting a stock, a bond, a currency, a crypto-currency, and a derivative instrument. 
     
     
         32 . The method of  claim 29 , wherein the price computation processor is configured to compute a national best bid and offer (NBBO) price of the item. 
     
     
         33 . The method of  claim 29 , wherein the first electronic trading request is selected from a group consisting of: a buy order, a sell order, an order revision, an order cancellation, a bid, an offer, a trading interest, and an indication of interest. 
     
     
         34 . The method of  claim 29 , wherein the forwarding delay p is in a range from 300 μs up to 400 μs. 
     
     
         35 . The method of  claim 29 , wherein:
 the communication delay v is based on, at least in part, at least one characteristic of a communication infrastructure between the exchange and the data source; and   the processing delay is based on, at least in part, at least one characteristic of the price computation processor.   
     
     
         36 . The method of  claim 29 , wherein the function of the sum of the communication delay v and the processing delay d comprises a fraction of the sum. 
     
     
         37 . The method of  claim 29 , further comprising matching by the matching processor the first electronic trading request with a second electronic trading request, the matching being based on, at least in part, the updated price r of the item computed by the price computation processor. 
     
     
         38 . A computerized exchange system for processing transactions while deterring or mitigating high-frequency trading, comprises:
 a communication interface for receiving at the exchange:
 (i) at time t 1 , from a data source distinct from the exchange, data q affecting a price of an item; and 
 (ii) at time t t0 , from a trading system distinct from both the exchange and the data source, a first electronic trading request for the item; 
   an order delaying module configured to estimate that the data q was generated by the data source at an earlier time t 0 , a difference t 1 −t 0 , designated as communication delay, being v units of time; and   a price computation processor configured for computing at a time t 2  later than time t 1  and later than time t t0 , an updated price r of the item using the received data q, a difference t 2 −t 1 , designated as processing delay, being d units of time,   the order delaying module being further configured to forward the first electronic trading request to a matching processor at the exchange via a buffer introducing a forwarding delay of p units of time, the forwarding delay p being a function of a sum of the communication delay v and the processing delay d, a time t 3 =t t0 +p being equal to or greater than t 2 .   
     
     
         39 . The system of  claim 38 , wherein:
 the data source comprises a quotation provider; and   the communication delay depends at least in part on at least one of: (i) the quotation provider from which the data q is received or (ii) a communication infrastructure between the quotation provider and the exchange.   
     
     
         40 . The system of  claim 38 , wherein the item is selected from a group consisting of a stock, a bond, a currency, a crypto-currency, and a derivative instrument. 
     
     
         41 . The system of  claim 38 , wherein the price computation processor is configured to compute a national best bid and offer (NBBO) price of the item. 
     
     
         42 . The system of  claim 38 , wherein the first electronic trading request is selected from a group consisting of: a buy order, a sell order, an order revision, an order cancellation, a bid, an offer, a trading interest, and an indication of interest. 
     
     
         43 . The system of  claim 38 , wherein the forwarding delay p is in a range from 300 μs up to 400 μs. 
     
     
         44 . The system of  claim 38 , wherein:
 the communication delay v is based on, at least in part, at least one characteristic of a communication infrastructure between the communication interface and the data source; and   the processing delay is based on, at least in part, at least one characteristic of the price computation processor.   
     
     
         45 . The system of  claim 38 , wherein the function of the sum of the communication delay v and the processing delay d comprises a fraction of the sum. 
     
     
         46 . The system of  claim 38 , wherein:
 the transactions matching processor is configured to match the first electronic trading request with a second electronic trading request, the match being based on, at least in part, the updated price r of the item computed by the price computation processor.