Symbolic Language for Trade Matching

Abstract

A symbolic modeling language for trade matching providers techniques to describe the specialized operations of a match engine in a form that can be understood by business analysts and readily translated into program code and test cases by developers and testers. Associated techniques for calculating implied markets and testing can expedite match engine development, testing and maintenance.

We claim: 
     
         1 . A method of testing a match engine comprising:
 generating a model of a first match engine, wherein generating the model comprises a set of expressions in a domain specific visual modeling language (DSVL),   selecting a set of trading scenarios in a format associated with the DSVL, the trading scenarios comprising any sequence of messages that the match engine is capable of receiving, regardless of whether these messages result in a trade;   coupling to executable code corresponding to a second match engine;   converting the trading scenarios into instructions compatible with the executable code;   providing the instructions to the executable code for execution of the trading scenarios;   executing the trading scenarios with the model of the first match engine; and   comparing the results of executing the trading scenarios by the model of the first match engine and the second match engine.   
     
     
         2 . The method of  claim 1  wherein the instructions comprise XML code. 
     
     
         3 . The method of  claim 1  wherein the model of the first match engine comprises a reference for the functionality of the second match engine. 
     
     
         4 . A system for testing a match engine comprising:
 a match engine having an input port for receiving data corresponding to instructions and an output port for transmitting first result data, the result data comprising the results of processing instructions;   a testing sub-system comprising:
 a user interface for receiving a trading scenario in a visual language, the visual language being governed a rule set; 
 a first processing resource coupled to the interface for converting the trading scenario to instructions corresponding to the trading scenario in a second language; 
 a communication resource coupled to the input port of the match engine for transmitting the instructions to match engine and further coupled to the output port of the match engine for receiving the first result data; 
 a second processing resource for processing the instructions according to the rule set of the visual language and generating second result data; 
 a comparator for comparing the first result data to the second result data. 
   
     
     
         5 . The system of  claim 4  wherein the visual language is a DSVL. 
     
     
         6 . The system of  claim 4  wherein the second language is XML. 
     
     
         7 . The system of  claim 4  wherein the communication resource comprises a network. 
     
     
         8 . The system of  claim 4  wherein the first processing resource and second processing resource are implemented with a single processor. 
     
     
         9 . The system of  claim 4  wherein the user interface is implemented on a personal computer. 
     
     
         10 . The system of  claim 4  comprising a first data store for storing the trading scenario. 
     
     
         11 . The system of  claim 10  wherein the first data store is coupled to at least one of the interface and the first processing resource. 
     
     
         12 . The system of  claim 4  comprising a second data store for storing the instructions. 
     
     
         13 . The system of  claim 12  wherein the second data store is coupled to at least one of the first processing resource, the second processing resource and the communication resource. 
     
     
         14 . The system of  claim 4  comprising a second data store for storing first result data. 
     
     
         15 . The system of  claim 14  wherein the second data store is coupled to at least one of the second processing resource and the comparator.