Live profile

Abstract

Systems and methods for reconstructing the state of a market are provided. Orders are arranged as a non-indexed collection of orders and may be stored in the cache memory of a processor. The physical locations of orders stored in the memory may correspond to the order in which they were received at a match engine. A computer device simulates the processing of orders between any time periods to reconstruct the activity state of an entity across a trading platform and one or more order books.

1 . A computer implemented method of reconstructing at least a portion of an order book for a financial market, the method comprising:
 (a) storing a non-indexed collection of substantially sequential orders in a solid-state processor memory;   (b) receiving the identification of an initial state of the at least a portion of the order book at a first time;   (c) receiving the identification of a second time after the first time; and   (d) utilizing the non-indexed collection of substantially sequential orders at the processor to simulate the processing of orders received between the first time and the second time to reconstruct the state of the at least a portion of the order book for the financial market at the second time.   
     
     
         2 . The method of  claim 1 , wherein (b) comprises recreating the state of the at least a portion of the order book from a startup time using pending orders prior to the startup time and orders between the startup time and the first time. 
     
     
         3 . The method of  claim 1 , wherein the orders comprise an order for any of a futures contract, an options contract, a security, an equity product or combinations thereof. 
     
     
         4 . The method of  claim 1 , further comprising displaying the state of the at least a portion of the order book at the second time. 
     
     
         5 . The method of  claim 1 , wherein the non-indexed collection of substantially sequential orders contains records having a fixed length. 
     
     
         6 . The method of  claim 1 , wherein the non-indexed collection of substantially sequential orders contains records having substantially equal length. 
     
     
         7 . The method of  claim 1 , wherein (d) comprises simulating the matching of new received orders to orders resting in the non-indexed collection of substantially sequential orders. 
     
     
         8 . The method of  claim 1 , wherein (d) comprises reconstructing a state of a trader's order book. 
     
     
         9 . The method of  claim 8 , wherein (d) comprises reconstructing the profit and loss state of the trader. 
     
     
         10 . The method of  claim 8 , wherein (d) comprises reconstructing a net position state of the trader. 
     
     
         11 . The method of  claim 1 , wherein (a) comprises separating order records into fields and physically grouping like fields. 
     
     
         12 . The method of  claim 11 , wherein one field comprises an account number. 
     
     
         13 . The method of  claim 11 , wherein (a) comprises assigning an ordered list of keys to values included in at least one field. 
     
     
         14 . A computer-readable medium containing computer-executable instructions for causing a processor to reconstruct at least a portion of an order book for a financial market by performing the steps comprising:
 (a) storing a non-indexed collection of substantially sequential orders in a solid-state processor memory;   (b) receiving the identification of an initial state of the at least a portion of the order book at a first time;   (c) receiving the identification of a second time after the first time; and   (d) utilizing the non-indexed collection of substantially sequential orders to simulate the processing of orders received between the first time and the second time to reconstruct the state of the at least a portion of the order book for the financial market at the second time.   
     
     
         15 . The computer-readable medium of  claim 14 , wherein (d) comprises reconstructing a state of a trader's order book. 
     
     
         16 . The computer-readable medium of  claim 15 , wherein (d) comprises reconstructing the profit and loss state of the trader. 
     
     
         17 . The computer-readable medium of  claim 15 , wherein (d) comprises reconstructing a net position state of the trader. 
     
     
         18 . The computer-readable medium of  claim 14 , wherein (b) comprises recreating the state of the at least a portion of the order book from a startup time using pending orders prior to the startup time and orders between the startup time and the first time. 
     
     
         19 . The computer-readable medium of  claim 14 , wherein the orders comprise an order for any of a futures contract, an options contract, a security, an equity product or combinations thereof. 
     
     
         20 . The computer-readable medium of  claim 14 , wherein (a) comprises separating order records into fields and physically grouping like fields.