Adaptive Volume Control for Trading Systems
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Solution Overview
Problem
Current financial instrument trading systems face challenges in managing message traffic, leading to resource strain and congestion, particularly during market events, due to the lack of flexible regulation of inbound message rates and the inability to adjust to real-time changes in market conditions.
Innovation Solution
Implementing a dynamic limit on the number of concurrent messages that can be processed, allowing for real-time adjustments based on available resources and market conditions, with the option to queue or reject excess messages, thereby preventing system overload and ensuring fair access to trading resources.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Productivity
If the system processes all incoming messages without limitation, then complete message handling is achieved, but system resources become strained and congestion occurs
Solution Approach 1:
The patent implements dynamic rate limiting that adjusts message processing capacity in real-time based on system conditions. The rate limiter monitors system resource usage and dynamically modifies the rate at which messages are processed, allowing the system to handle high throughput when resources are available while maintaining stability when resources are constrained. This dynamic adjustment resolves the contradiction by making processing capacity flexible rather than fixed.
Solution Approach 2:
The system changes the parameter of message processing rate based on system state. By monitoring resource usage metrics and adjusting the processing rate parameter accordingly, the system can optimize between throughput and stability. When resources are abundant, the processing rate parameter is increased to maximize productivity; when resources are strained, the parameter is decreased to maintain reliability.
2Reliability
If the system imposes strict limits on message processing, then system stability is maintained, but trading efficiency decreases due to rejected or queued messages
Solution Approach 1:
The rate limiting mechanism is designed to be dynamic rather than static, adjusting its constraints based on real-time system conditions. This allows the system to maintain stability through rate limiting while minimizing the impact on trading efficiency by relaxing limits when the system can handle additional load. The dynamic nature ensures that stability is maintained only when necessary.
Solution Approach 2:
The system implements feedback loops that monitor system resource usage and use this information to adjust message processing rates. This feedback mechanism ensures that rate limiting is applied only when system stability is at risk, rather than imposing constant restrictions that would reduce trading efficiency. The feedback-driven approach allows the system to adapt to changing conditions and optimize the balance between stability and efficiency.
3Speed
If the system processes messages at high rate during market events, then trading responsiveness is improved, but resource consumption increases and system overload occurs
Solution Approach 1:
The rate limiter dynamically adjusts processing speed based on real-time resource availability. During market events when high speed is needed, the system can process messages rapidly if resources are available. When resource consumption approaches dangerous levels, the rate limiter automatically reduces processing speed to prevent overload. This dynamic speed adjustment resolves the contradiction between responsiveness and resource consumption.
Solution Approach 2:
The system takes preliminary action by implementing rate limiting before system overload occurs. The rate limiter proactively monitors resource consumption and prevents excessive processing that would lead to system failure. This preliminary anti-action allows the system to maintain high processing speeds during market events while preventing resource exhaustion and system collapse.
Data Source
AI summary
The disclosed embodiments relate to regulation of receipt, rate or volume, and processing of messages, such as order, mass quote or other trade related messages by available trading system resources to minimize congestion, maximize efficient use, minimize unfair monopolization and ensure fair access to/allocation thereof. The disclosed embodiments may act as a governor limiting the maximum rate of message submission to the rate at which the submitted messages can be processed. In particular, the number of concurrent, i.e. received/accepted but not yet completed/processed/responded to, messages may be limited. As long as the limit is not exceeded, i.e. the rate of completion/processing meets or exceeds the receipt rate, no interruption may be imposed. However, once the limit is reached, subsequently received messages may be buffered or otherwise dropped. In this way, the limit may define the extent to which incoming messages may consume the concurrent processing capacity, or allocated portion thereof.