Patent ID: 7685044

Claim:
A low-latency system for receiving electronic trade orders from a computer-implemented client trading engine and transmitting the electronic trade orders to one or more exchange servers of an exchange where the trade orders are to be executed, the system comprising: a low latency system that communicates with the client trading engine and that communicates with the one or more exchange servers, wherein the low latency system comprises at least one server, and wherein the low latency system is configured to: receive a trade order from the client trading engine; perform one or more pre-order risk checks on the trade order, wherein the one or more pre-order risk checks are different from and computationally less expensive than post-order risk checks performed on the trade order by a post-order risk checking data center that comprises at least one server; transmit the trade order to the one or more exchange servers when the trade order passes the one or more pre-order risk checks, wherein the one or more exchange servers implement a message protocol and maintain a message sequence number; and maintain a single protocol session between the client trading engine and the one or more exchange servers such that consistent message sequence numbering is maintained between the client trading engine and the one or more exchange servers in the event the trade order fails the one or more pre-order risk checks, wherein configuration of the low latency system to maintain consistent message sequence numbering upon pre-order risk check failure comprises: modifying the trade order received from the client trading engine; and sending the modified trade order to the exchange servers, wherein the trade order is modified so that the one or more exchange servers reject the trade order.