High performance trading data interface and trading data distribution protocol

US8543488B2 · kind B2 · utility

Assignee

• Lime Brokerage LLC · US

Inventors

• Vitali Vinokour · Brookline, US
• Robert M. France · Carlisle, US
• Daniel Bergman · Brooklyn, US
• Raymond Chow · Richmond, CA
• Chad L. Cook · Uxbridge, US
• Richard J. Lavoie · Waltham, US
• Scott McClure · Somerville, US
• Arian J. Radmand · Natick, US
• Rupert Webb · Norwood, US

Key dates

• Filing date: Apr 15, 2011
• Grant date: Sep 24, 2013
• Expiry date: Jul 14, 2031

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/06
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

A network enables monitors, trading platforms and libraries to share information about customers' trading activities and locally recalculate customer trading limits resulting from these trading activities. A low-latency interface between a customer server, such as a server that employs algorithmic trading methods to generate buy and sell orders for securities, and a brokerage server that validates such securities trading orders is optimized for handling the securities trading orders. The interface supports a trading command set specifically designed for orders from customer trading application programs, and the interface formats received trading commands into compact messages that are sent over a high-speed communication link to the brokerage server. The interface receives order acknowledgement messages and the like from the brokerage server and invokes callback routines in the customer trading application program to report status information.