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    financial method and system

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    US11741542

    Uploaded by

    Erin Gok
    financial method and system

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    © All Rights Reserved
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    USOIITAI542B2 «2 United States Patent (10) Patent No: US 11,741,542 B2 Maynard (45) Date of Patent: — *Aug. 29, 2023 (64) FPGA CIRCUIT FOR PROCESSING 66) References Cited ELECTRONIC MESSAGES IN A eS os DISTRIBUTED COMPUTER SYSTEM US. PATENT DOCUMENT'S 820741 m2 72012 Maynard (71) Applicant: Nasdag ISH, LILC, New York, NY Duwi br Sols Sean ws) (Coutinved) (72) Inventor: Greg J. Maynard, Port Washington, FOREIGN PATENT DOCUMENTS NY US) wo o00s0s74zmoo WO wovostert az © too sose 19 (73) Assignee: Nasdag ISE, LLC, New York, NY ws) (OTHER PUBLICATIONS Mes, Gath “FPGA asl owteey markt dala et (*) Notice: Subject to any disclaimer, the tem ofthis Fycesing 200, IEE. TIEEE Syposum op ih Por Patent i extended or ase under 35 ic eramens 83-9. DOI 10.1109 1H0T1200917 Cer USC. 1840) by 138 dys ro This patent is subject o 9 terminal dis- (Comtinved) claim. Primary Examiner — Ambre A. Alain ey at eo (04) torn, Agent, oF Firm — Nixon & Vanderhye PC: 7 ABSTRACT (22) Pile: Reb. 2, 2001 A distributed computer sytem includes a matcher server dhat sores an onder book of pening orders snd a astoway that routes an order message to the matcher server for Itching The gateway aloo fcuves individ quote mos US 202100158446 AL May 27,2021 ‘Sues band nto a mse quote mestaue ach Indl Shue menage ining» pice value forone ofa plurality Fiereatistrument idee The gateway route the Related US. Application Data fuss quote message © fe progummable gate ary (6) Continuation of application No. 151690,698, fled on xs heres and stones date or cach svi te Avg. 30, 2017, now Pa. No. 10915,953, which i638 peaage to data tte Ite nthe memory ofthe ‘Contino TGA The parsed data onnized in te data siete deconing to both the insturent wentifer and a cent sy men ‘Seni cheepdro alt ee mans gue G06Q 4004 (201201) that each include a price value and a eoresponding insta (63) (2) ‘meat identifier without fist being routed through the sososssmnnisne G6Q 4004 (2013.01) matcher server or the gateway and updates the data structure (58) Fleld of Classification Search The FPGA delivers, in response to query seat as part ofthe usp 705/37 matching process perlomned on the matcher server forthe Se application file for complete search history. (Continved) reg yt 380 US 11,741,542 B2 Page 2 ing the instrument 16 Claims, 9 Drawing Sheets Related U.S. Application Data ‘continuation of application No, 13/834,843, filed on Mar. 15, 2013, now abandoned. 66) References Cited USS. PATENT DOCUMENTS. 20060050072 AL_ 32006. oglaey 20080133395 AL* 6 2008 Jimener 4069 4000 70837 200910182685 AL* 7/2009 Taylor .c269 4005 TOS36 R 201U0L79050 A1* 72011 Parsons 6069 4006 T0n7ss 20120005801 AL* 42012 ‘Taylor 6069 4000 70935 20140270342 AL 972014 Maynard (OTHER PUBLICATIONS Lockwood Jone al A Low-Lateney Library in FPGA Hardware {by High-Fequoney Tring (HFT), 2012, 2012 EEE 20d Annus! Symposium on High-Performance Inerconneets, pp. 9-16. DOL 0tlop OTL. 2012.15 (sar 2012) US. Appl No 15690. ied Aug. 30, 2017, Inventor: Maya Fil Olice Action dae Jul 9, 2020 in co-pending U'S. ARB No, 15160608 1 pages Ofce Action dated Mar. 20, 2020 in co-pending US. Appl No. 15190,698 1 pages International Search Report dated Ag. 22,2014 in corresponding CT Application PCTUSIA23185, 4 pages. * cited by examiner U.S. Patent Aug, 29, 2023 Sheet 1 of 9 US 11,741,542 B2 AN 100 Ba FIG. 1 Ag Mass Quote Message Ci Bi At US 11,741,542 B2 Sheet 2 of 9 Aug. 29, 2023 U.S. Patent seneg eeq 08% ue | —— 002 YOUMS ~OLe - Gt Ol Sie Oe 80% [ C ll ‘ C / Jeng i: seneg seyoreyy f<———>| YOUMS fe} Aemaqed YOUMS e—_———>} yepesy @ ‘Sls US 11,741,542 B2 Sheet 3 of 9 Aug. 29, 2023 U.S. Patent ~ SLE Va St ~Gbe JONES sJByoIe st emayen \ OSE washg BuipeiL re 7 We 10889001g lenis peed eae jee Aemy even 7 We l senieg ropes, € ‘Old US 11,741,542 B2 Sheet 4 of 9 Aug. 29, 2023 U.S. Patent f 21geL oe JaAles, Jaye \ ose waists Super, poe 08 Gaxen exe yous, ae ropes, 5 4 US 11,741,542 B2 Sheet 5 of 9 Aug. 29, 2023 U.S. Patent | I I | I | | 1 1 | I l ae 1 op apy Oty Wt I Oty sed |, +» | Craven aun | jeueyy emy | NXN ELEN) ‘prayew oven | LoreW lauen | Zoyen leven | LEEW HEN ely Sgiy Sg Ngiy Noty Nour A “wy old US 11,741,542 B2 Sheet 6 of 9 Aug. 29, 2023 U.S. Patent J8NBS Ll Aemayeg Jeune “ose —gggumeigeupen Super, 4Jenieg Jape $ ‘Ola U.S. Patent Aug, 29, 2023 Sheet 7 of 9 US 11,741,542 B2 FIG. 6 | | Receive trading state message Does message affect trading Update Matcher Server U.S. Patent Aug. 29, 2023 Sheet 8 of 9 US 11,741,542 B2 FIG. 7 Receive update order and trade information 705 Update instrument information Pull market data information 715 | Write and send market data U.S. Patent Aug. 29,2023. Sheet 9 of 9 US 11,741,542 B2 FIG. 8 805 Y Receive quote message 810 Respond with acknowledgment message 8S Matcher Server finishes |“ processing quote | | Respond with quote trade message US 11,741,542 B2 1 FPGA CIRCUIT FOR PROCESSING ELECTRONIC MESSAGES IN A. DISTRIBUTED COMPUTER SYSTEM ‘This application i a continuation oF U.S. patent applica tion Ser. No, 15/690,698, fled Aug. 30, 2017, which is a ‘continuation of US. patent application Ser. No. 13834,843, filed Mar. 15, 2013, the eontents of which are incorporated herein by reference, BACKGROUND Technical Field of the Related Ant Disclosed are systems and methods for receiving and Processing messages. Background Discussion ‘Modem exchanges provide marketplace where investors ‘can buy and sella variety of instruments Inthe past, these markets operated By having brokers for buyers and sellers physically located on a trading Boor with transactions con- “ducted face-to-face. Because Face-to-face transactions tke place ata relatively slow pace, the speed at which orders and ‘ther messages are received atthe exchange did not impact the liquidity or perfomance of the market, increasingly. financial exchanges conduct wansaetions within computer ied systems where orders to buy and sll instruments takes place automaticaly. "Marts also disseminate price information inthe form of ‘a market data feed. Price information consists ofthe best hid tnd offer price for each financial instrament bought or sold fon each market. There are many types of products in the financial world, bot the dhree with the highest transaction volumes are Stocks, Futures and Options, "Astock market is where investors buy or sell equity shares ‘in companies or in Fxchange Traded Funes that own groups ‘of shares. The hest bid aid lowest offer in each stock is broadcast as market data, Traders can enter orders that match sutomaticaly with each other to ereate a trde, or brokers ‘can agree to do a trade and just report the trade to the ‘exchange. The market dats frm the stock markets in the US. js measured in thousands of updates per second. Putures markets are where producers of commodities, such as wheat o¢ coal, sell their products to commodity users, such as bakers or power stations. Ona futures market investors buy and sell contracts to purchase or deliver 8 ‘commodity a a future date fora specific price. The traders ‘ean then place buy and sell orders to trade amounts of the ‘commodity at the apreed price on the agreed date. This means that for each commodity, such as wheat, there are ‘multiple futures contracts that traders can buy’ and sll with different delivery dates and diferent exercise prices. single commodity may be traded on a fitures exchange via dozens of contacts depending on how far out in time the ‘exchange lists the contracts. As such, futures have more variations thatthe stock market, and more data. Chicago Mercantile Exehange (“CME”), for example, lists tures on about 50 different produets which have about 12 contracts ‘each, and s0 the CME suppons trading on at least 600 different contracts. The CME also has « great deal of data because it lists options onthe futures ‘Options are contracts to buy or sell a specie underiying financial instrament at a Toru date fora specific price. The ‘contact specifies the price at which the contract may be ‘exercised and an expiration date. As used herein, a product 0 o 2 refers to a range of derivative instruments (e32, option contracts) that relate to the same underlying instrument, for ‘example, all options on an TBM stock. An Instrument refers to ane stock, or one option or future contract into which forers ean be entered and traded ‘Within one product there cart be thousands of option instruments with diferent strike prices and exercise dates. In ‘order to ensure that adequate liquidity exits in market, cexclianges designate certain entities as market makers. A ‘market maker is someone that enters bids and offers, know as quotations into the market against which the orders from ‘ler market participants can trade. The exchange requires that the Market Makers provide quotes in all or « certain number of instruments in each peoduet for whieh itis assigned By way of background, markets rely on the skills of market professionals known as market makers, who are responsible for maintaining ligt in the market. market ‘makers fulfill this responsibility by ensuring that there is always a two-sided market through providing prices (quo- tations) at which they are both willing to buy (bid) and sel (oer) a particular option contract and honoring those quo- ‘ations when trading with incoming onder. In an electronic market, market makers provide constant quotes price to buy and a price to sell 2 particular financial instriment. As used herein, nancial instrument includes a derivative instrament, such as an options contact {o purchase or sell a quantity of an underlying instrument or example, shares of stock. As used herein, a product refers toa range of derivative insieuments (8, option contacts) tat relate fo the same underlying instrument, for example, all options on an TBM stock, Some market makers for an ‘options market provide quotes in all instruments (i, all fptions traded on the market). As the market moves, the ‘market makers update ther quotes aovordingly. The quotes are live and ean be trade against by any other party. Options fre particularly challenging for market makers because a very lage number of instruments may’ be traded on a single exchange. For instance, the Intemational Stock Exchange (OSE) at present trades 500,000 different instruments-—and {his number grows over time, Many market makers submit Jin quotes forall $00,000 instruments, To maintain accu- rae price forall heir quotes, market makers need to be able ‘o update their quotes quickly ISE provides market makers ‘with special mass quote functions dat allow them to update their quotes in many instruments in a single message. The ‘number of Mass Quote messages that can be processed by ISH i limited by the speed of the servers aml networks. For example, at present, SE will accept up to 40,000 Mass Quote update messages from a single market maker in 3 single second. But when the stock market moves quickly, ‘ven this large capacity is not suficient for the market ‘makers to move al their quotes in all instruments. “Addtionally, exchanges try 1a improve liquidity by autho- izing numercis market makers to participate in each pro ic. There are some products with over 3,000 different ‘options instruments, There can be 30 markel makers in one product, all wying (o enter their bid and offer quotes for ‘options instuients into the market an maintin their prices f the market is moving up and down, To avoid having {quotes trade at disadvantageous prices and 10 assure that their quotes remain marketable, Gich market maker must ‘update thousands of insttmments any times per second BRIEF DESCRIPTION OF THE DRAWINGS ‘The present invention will be understood more fully with reference tothe drawings. The drawings are povided forthe purpose of illustation and are not intended to limit the invention US 11,741,542 B2 3 FIG, 1 illustrates a simple mass quote message according ‘o an embodiment of the invention, FIG. 2 shows a conventional system used to process ‘orders and quotes FIG. 3 depicts an example of @ system with @ matcher server comprising or operatively connected 1 a cieuit such ‘san integrated circuit, FPGA board of ASIC aad configured to process away market prices. FIG. 4 depicts an example of @ system with @ matcher server comprising or operatively connected to an FPGA board and configured to process mass quote messages. TIG. 44 depicts an example of storage format locate in ‘an FPGA boat, FIG. § depicts an example of a system with # matcher server comprising or operatively connected to an FPGA board and configured to process order messoges FIG. 6 depicis an example of system with « matcher server comprising or operatively connected to an FPGA board and configured to process underying trading state messages. IG. 7 depiets a block diagram ofthe process used by an PPGA board to generate market data FIG. 8 shows a block cigram of the process used to send acknowledgement messages from an FPGA board SUMMARY, In an embodiment, disclosed is as system, method, and means and computer program products for reiving and processing messages fora financial exchange comprising: & matcher server, and a integrated circuit component config- ured to receive and process information associated with @ financial instrament operatively connected to the matching server, wherein the integrated eieuit component is eonfia- tured to receive and store a plurality of messages frm at last ‘one computer server, each message of the plurality of messages being comprised of atleast one message type. The ‘megrated circuit component can comprise an FPGA or an ASIC. The message type ean an away market price update ‘of the financial instrament, including a price from other ‘markets for instrament, and wherein the integrated circuit ‘component stores the most recent away market prices and ‘exchange codes for the each instrument. The server cat be ‘configured to @ query to the integrated circuit component ‘and the integrated circuit componeat is configured to pro- vide the most recent away market prices forthe financial instrument in response to the query. The plurality of mes- sages can be roovived via a consolidated market data fee. TInan embodiment, the type of messoge forthe plurality of messages can inchide a mass quote message, each mass ‘quote message being seat from one ofa plurality of market makers, and each mass quote message including a plurality ‘of quotes for the Financial instruments, The integrated, circuit component can be configured to receive the mass ‘quote messages and wherein the integrated eirevit compo- rent ean be configured to parse each of the mass quote messages to separate out the plurality of quotes for the financial instruments and store the most recent quote for ‘each market maker for each ofthe financial instrumeats, The Jnograted circuit component comprises a data storage for ‘mat for storing information comprising information assoc sted sith financial instruments and market makers. The ‘orage format ean be a table, where each row of the table ‘corresponds to each of a phirality of financial instraments ‘and wherein each column corresponds to each ofa plurality ‘of market makers; or each row of the fable corresponds t0 ‘each of a platy of market makers and wherein each 0 o 4 column comesponds to each of a plurality of financial instruments, The integrated circuit component ean conlig- ‘ured to store at least one of the mass quote messages from teach market maker in # corresponding column or row of a table, with portions af the mass qnote message correspond ing to the plurality of financial instruments stored in core sponding column or rows of the table Ta an embodiment, the integrated circuit component can be configured to generate market data from the plurality’ of ‘quotes, The matcher server can be configured to send a query {0 the integrated cireuit component, and the integrated circuit component is configured to provide the most recent information stored in the integrated cireuit component cor responding to the financial instrament, and wherein the matcher server uses the most recent information to dete rine if an ander has been processed. The inteprated circuit ‘component can be configured to send acknowledgement scssages in response to the reveiptof quote messages, The acknowledgement messages art include sequence numbers, ‘wherein the sequence numbers represent one or more quotes being processed by the matcher server and a more recent quote is received by the integrated circuit component Tnan embodiment, the plurality of message types includes can trading state messages, and wherein the integrated circuit component can be configured to receive the trading Sate messages, determine ifthe trading sate of the under Jying market as changed and if the trading state of under Jing market has changed, send a notice (0 the matching server relating to the contents ofthe trading sate message ‘In an embodiment, the plurality of message types can include underlying price messages comprising underiying financial instrument price information, and the integrated circuit component can he configured to: receive the under Jing financial instrament price messages; ead the under- Iying Financial instrament price messages for an update in the price of the underiying financial instrument; and update information relating tothe wnderiying financial instrument price. In an embodiment, disclosed is a method for generating market data by an integrated circuit component comprising: receiving order information from a matcher server, elec- tronically updating 2 quote for financial instrament order in «data record: pulling all information relating to market data from insteuments contained in the data record; and ‘gener the market data from the pulled information. The integrated circuit component can comprise an FPGA or an ASIC. The method Tor generating market data by the inte- arated circuit eomponent can further comprise: upon uplat- ing a quote, determining a best bid anda lowest offer ofall the quotes and the orders; and generating 3 market data message for the instrument, The method for generating ‘market data by the integrate, cireuit component ean further comprise: updating « plurality of quotes via a mass quote ‘message, and generating a futher update fr eah instrument {quote comprising information that each quote updated and thatthe best bid or ofér for the instrument changed. The method for generating market data by the inteprated circuit ‘component can further comprise: upon receipt of order and ‘rade information foran iasrument fom the matcher server, ‘updating the order information forthe instrument, updating the trade statistics for the instrumeat, and adding teaded {quantity against each quote that traded in the instrament. The method for generating market data by the integrated circuit component ean farther comprise; examining, the ‘orders, quotes, trade statistics and trading state for the fnstrament, and generating a market data message for this instrument US 11,741,542 B2 5 In.an embodiment, diselosed isa method for detennining the state ofan underlying market using an integrated circuit ‘component comprising: receiving trang state messages in the integrated circuit component, wherein the trading sates Indicates thatthe state of an underlying financial instrument has changed; and if wading state of underlying market has ‘changed, sending a notice from the integrated circuit com= nent t0 a matcher server relating to the contents of the Trading stale message. The integrated circuit component ‘comprises an FPGA or an ASIC. DETAILED DESCRIPTION OF EXAMPLE EMBODIMENTS, It js noted that in this disclosure and particularly in the ‘claims and/or paragraphs, tems such as“ prised,” “comprising.” and the like can have the meaning tributed to i in U.S, patent law: tht is, they ean meaa “includes,” “included,” including,” “including, but not fim> ited 10" aad the ike and allow for elemeats not explicitly recited, Tem such as “consisting essentially of” and “con sisis essentially of” have the meaning ascribed to them ia US. patent law that i, they allow for elements not expic: ity rocited, but exclude elements that are found ia the prior ant oF that affect a basic or novel characteristic of the ‘invention, These and other embodiments ae disclosed or are apparent from and encompassed by, the following deserip- tion, As used herein, the indefinite article“ oe “an” and the Phrase “at lest one” shall be consider, where applicable, to include within its meaning the singular and the plural, that The detailed description describes various embodiments ‘of the present invention for illustration purposes and ‘embodiments of the present invention include the methods described and may be implemented using one or more appara, such a processing apparatus coupled 10 elee~ tronic media, Fmbodimients ofthe present invention may be stored on an electronic media (electronic memory, RAM, ROM, FPPROM) or programmed as computer code (eg source eode, abject code o any suitable programming language) tbe excouted by one or more processors oper ating in conjunction with one or more electonie storage ria, ‘To provide faster processing speeds for some types of rmestages, disclosed herein are embodiments of systems and methods that incluxe using integrated circuits such as field programmable gate anrays (*FPGA") application-specitic Imegrated circuits (*ASIC") or other Iogical and program- rable circuits o consolidate data from messages, including market data feed and mass quote messages, and 0 speed the process of identifying relevant portions of those messapes Although embodiments are described in terms of an FPGA, the embodiments are aot limited to FPGAs but also include other integrated citeuits such as ASICs that ean be config ured to process data as described herein. The embodiments are not limited to options exchanges, bt could be applied to ‘ther types of exchanges including those tht trade st futures contracts, curteney contracts, commodities, cutren- ‘ies, or other assets “Embodiments of the invention will be desribod in terms ‘of an automated exchange market far stock options; options being contracts for the purchase or sale of a listed sseurity ata particular stike price to be exercised ona patiular date jin the future, The invention is not limited to markets for stock options and includes markets for derivative instra- ments on any underlying instrament, including cquity socks, curencies, futures, commodities, exchange traded 0 o 6 ‘nds, bonds and the like, Embodinents ofthe invention ean be adapted to any eaviroument where lange numbers of trades, messages, of mass quotes are submitted by high frequency traders. ‘An automated exchange aeconting tthe invention is administered by a business entity, for example, the Interna- ‘ional Securities Exchange LLC (ISM of New York, N-Y., ‘which authorizes certain persons as members. The business entity may authorize different types of members or pati pans, such asa primary market maker (PMM) and one or ‘more competitive market makers (CMMs) to enter quota- ‘ions in particular classes of options. Market makers are authorized to maintain a two-sdesl market in one oF more instruments by providing fa quotes to buy and sell, Tt is to be understood thatthe names, types and arrange tf participants and quotes are used as examples for purposes of illustration. Tt is to be understood that the Particular arrangement of participants and quotes may be varied and remain within the seope of the invention. The ‘embodiments deseribed herein conform to the rules imposed bys certain ype of business enti. Isto beuinderstod that fn exchange which conforms to a different set of rules is ‘nevertheless within the scope of the invention. Further, it is tobe understood thatthe term “exchange” does no mit the ‘use of the invention to an entity thats registered exchange, that i 10 say, the invention may be administered by other types of business entities, such as Blectronie Communica- ‘dons Networks (CNS), broker-dealers, associations or oth- ‘Peseribod herein are embodiments of systems, methods, and computer programs therefor for receiving and process” ‘ng messages fora financial exebange comprising & mateh- ing server and an FPGA component configured to receive ‘and procest information associated with financial product ‘operatively connected to the matching server, wherein the FPGA component is configured to receive and store a plurality of messages from at least one computer server, cach ‘message ofthe plurality of messages being comprised of at least ane message type. In embodiments, the system routes the consolidated ‘options price feed and the consolidated stock feed to an FPGA. The FPGA scans these feeds and generates filtered stock update messages and filed Options update mes- sages. These output messages are then sent (0 a message ‘galevay that outes the message to the right matcher server ‘The matcher server reads these messages and. stores the updated away market prices. These prices are used when processing orders ‘An FPGA hardware solution in the system generates market data feeds. When a tansaetion is processed by the smateher server in the system, a report at the price and size ofthe transaction must be sent © the Options Price Repot- ing Auhority (COPRA"). The matcher server passes infor ‘mation about changes in the market to the market data server. The market data server generates the market data information, formats this information into the extemal for- ‘at, then writes the message fo the network, The market data server uses an FPGA to write market data to the retwork ‘An exemplary advantoge of embodiments disclosed bere i inereased capacity of exchanges by using an FPGA ddovice to process certain messages. Conventional exchanges Jack the capacity 10 exceute and process the millions of ‘messages sent to the exchange each second, Conventional exchanges also nest to increase their capacity’ to read ‘messages sent to the exchange while also delivering market data feeds to clients, Unlike conventional exchanges, the US 11,741,542 B2 1 FPGA is configured not just to format and write the market data with the FPGA, but the FPG. is configured to update the quotes from the market maker ia its memory” and ‘generate the data that isto be written, format it, and then “To explain, an exemplary “Optimise” system imple mented by the Intemational Securities Exchange (*ISE") is best-in-class” for capacity aod complex functionality, yet there exists a growing and significant need to improve the ‘capacity and reduce the Intency for the market makers. AS the underlying stock markets get faster and faster, the market makers find that they need to update their prices in the ‘options markets faster. Conventional systems ean provide ‘apaciy inthe ring of 30,000 mistages per second, heyond ‘which the throughput rate is limited by throtles. However, market makers find that this capacity is not enough © ‘maintain their prices in the 480,000 instruments traded on the exchange To adjust for the espacity limitations, exchanges have to set Tims forthe daroughput ofthe market makers to keep the servers lightly loaded. Ifthe server is more than 50% busy, then throtling occurs in the system and it can start 0 develop queues of messages waiting to he processed. This poses pmblem as it increases the latency observed by the traders “Another problem arises when market makers take advan tage of the throttles to trade against other market makers when there are sudden moves inthe market. AS the stock market moves, the market makers star to send in the ‘quotes and are soon slowed down by the throttles. The fgaresive market makers then fie off random orders tying to finda market maker who cannot move his quotes because he is blocked by the throttle. ARer a market maker has been ‘caught by this trick afew times they become wary and widea. ‘out their quotes, This in tum makes a market that must throttle incoming messapes less. competitive, Increased ‘capacity to process market maker quotes is vital to the ‘compoitveness of an exchange, "Another exemplary advantage of the embodiments dseribed herein is the ability 0 take a small number of ‘imple functions that are statistically a large percentage of the tial work done by a matcher server and move these onto an FPGA, leaving all complex functions on the matcher server. In options exchanges the vast majority of messages processed by the system are muss quote messages {rom ‘marker makers, Other messages include aay option market prices, underlying stock prices, and orders, but these mes- sage types make up Tess than a quarter of all messages in ‘conventional systems. ‘Another exemplary advantage of embodiments of the disclosed trading system is the ability to inform users as (0 the state of their quote with greater accuracy, i. conventions systems, when a trader reveives an acknowledgement mes- sage, it does not mean thatthe previous quote did nt trade, but rather thatthe new quote was processed. There may be a trade message in transit forthe previous quote, The trade message and the acknowledgement message are sent via

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