Patent ID: 11961140
Assignee: CHICAGO MERCANTILE EXCHANGE INC.
Field: IT methods for management (Electrical engineering)
Classification: CPC G | IPC G

Claim 0:
1. A computerized method for submission of orders to an electronic trading system for matching, comprising the steps of:
receiving at a server via an electronic communications network, from a party trading on the electronic trading system, a first electronic order message comprising an order for trading an instrument;
searching, at the server by a processor thereof, an order book database to identify a previously received, but not yet fully satisfied, order, in a set of previously received, but not yet fully satisfied, orders stored in the order book database that matches at least one portion of the order of the received first electronic order message;
determining, by the processor, that a status of the identified order
indicates that it is available and based thereon:
engaging, by the processor, the identified order and the order of the received first electronic order message for a defined engagement delay duration and storing data indicative thereof in the order book database; and
after expiry of the engagement delay duration, removing, by the processor, the engaged identified order and the order engaged thereto from the order book database and completing a transaction therebetween; and

receiving at the server via the electronic communications network subsequent to the receiving of the first electronic order message, from a party trading on the electronic trading system, a second electronic order message comprising an order for trading the instrument;
searching, at the server by the processor thereof, the order book database to identify a previously received, but not yet fully satisfied, order, in the set of previously received, but not yet fully satisfied, orders stored in the order book database that matches at least one portion of the order of the received second electronic order message;
determining, by the processor, that a status of the identified order indicates that it is engaged and based thereon:
determining, by the processor, a delayed engagement probability parameter value which, based on a probability function, randomly may or may not exceed a threshold delayed engagement probability value;
upon determining, by the processor, that the delayed engagement probability parameter value is greater than the threshold delayed engagement probability value, searching, by the processor, the order book database for another previously received, but not yet fully satisfied, order in the set of previously received, but not yet fully satisfied, orders that matches the at least one portion of the order of the received second electronic order message, the identified order and the order engaged thereto remaining unmodified;
upon determining, by the processor, that the delayed engagement probability parameter value is less than a threshold delayed engagement probability value:
replacing, by the processor, the order that is currently engaged with the identified order with the order of the received second electronic order message; and
searching, by the processor, the order book database for a previously received, but not yet fully satisfied, order in the set of previously received, but not yet fully satisfied, orders that matches at least one portion of the previously engaged order; and

wherein the defined engagement delay is applied selectively in that only engaged orders are subject to the defined engagement delay and orders of the received first and second electronic order messages are not delayed when an order is not identified in the set of previously received, but not yet fully satisfied, orders stored in the order book database.