Atomic Order Matching in Electronic Auction Systems
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Solution Overview
Problem
Electronic asset trading systems face instability and processing errors due to the high influx of orders at the start of an auction, requiring substantial memory, processing, and bandwidth resources, which increases costs and can lead to data bottlenecks and jitter errors.
Innovation Solution
Implementing a PreOpen state before the auction commences, where orders are received and matched by price and size, and then switched to a LockIn state to determine possible order matches and perform atomic matching at the start of the auction, reducing resource requirements and ensuring timely processing.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Productivity
If the computing system receives and processes a high influx of orders at the start of an auction, then order processing speed and accuracy are improved, but system stability deteriorates and resource requirements increase substantially
Solution Approach 1:
The patent segments the order processing function into two distinct phases: a Pre-Open state where orders are received and matched preliminarily, and a Lock-Open state where final atomic matching occurs. This segmentation allows the system to distribute processing load over time, preventing the instability caused by concentrating all processing at the auction start moment while maintaining high overall processing speed.
2Manufacturing precision
If the computing system allocates substantial memory, processing, and bandwidth resources to handle high order influx, then order processing accuracy is improved, but system cost increases
Solution Approach 1:
The patent implements preliminary order matching during the Pre-Open state before the auction officially commences. By performing preliminary sorting, filtering, and matching of orders in advance, the system reduces the computational burden during the critical auction start moment. This allows accurate processing without requiring excessive real-time resources, thereby reducing system complexity and cost while maintaining processing accuracy.
3Loss of time
If the computing system processes orders at high speed with limited resources, then processing time is reduced, but processing errors and data bottlenecks increase
Solution Approach 1:
The system performs preliminary order validation, sorting, and matching preparation during the Pre-Open state before the high-speed auction processing begins. This preliminary action ensures that when orders are processed at high speed during the auction, the data is already organized and validated, reducing processing errors and bottlenecks while maintaining fast processing times.
Solution Approach 2:
The Pre-Open state acts as an intermediary phase between order submission and final auction matching. During this intermediate state, orders are preliminarily processed and validated, serving as a buffer that prevents data bottlenecks and errors from propagating to the high-speed auction processing phase, thereby maintaining both speed and accuracy.
Data Source
AI summary
Method, apparatus and system may control determining possible order matches of orders for an auction of an asset at a top of an order book by price, size and a pro rata matching process prior to a time that the auction commence, and atomic matching the possible order matches at the time that the auction commences.