Patent ID: 9547874
Date: 2017-01-17
CPC Classifications: G06Q

Claim:
1. A method for parallel algorithmic trading and overseeing trading activity, running on a central processor and on a number of general processor cores, comprising: 1.1) identifying a list of financial instruments for parallel calculations; 1.2) identifying a list of financial instruments for reference calculations; 1.3) determining a union of the list (1.1) and the list (1.2); 1.4) receiving a set of market data messages through the central processor; 1.5) extracting trading and quote information from the set (1.4) into data series corresponding to the financial instruments of the union (1.3) by using, in parallel, a number of general processor cores that is preferably equal to the number of messages in the set (1.4); 1.6) formulating an algorithm for processing the data series (1.5); 1.7) generating buy/sell/cancel orders according to the algorithm (1.6) by using, in parallel, a number of general processor cores that is preferably equal to the number of financial instruments in the list (1.1); 1.8) sending through the central processor the orders (1.7) to order entry gateways; 1.9) receiving through the central processor signals confirming an execution or a cancellation of the orders (1.7); 1.10) using the signals (1.9) along with the data series (1.5) as inputs for the algorithm (1.6); 1.111 updating the results of calculations of the steps (1.51 and (1.71 on receiving each new set of messages (1.4); and 1.112 wherein inputs of the algorithm (1.6) include the data series (1.5) that are specific for particular market makers.