Consolidated Exchange Feed for Order Entry and Market Data
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Solution Overview
Problem
Current financial instrument trading systems face inefficiencies and inequities due to redundant communications and latency disparities in separate data feeds for market impacting and non-market impacting messages, leading to potential market manipulation and increased infrastructure costs.
Innovation Solution
The system consolidates market impact reflecting response messages with other market impact messages and transmits them via a single feed, using unique identifiers to maintain anonymity and reduce bandwidth, thereby eliminating redundant communications and latency disparities.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Reliability
If separate data feeds are used for market impacting and non-market impacting messages, then message routing and delivery can be specialized, but infrastructure complexity and latency disparities increase
Solution Approach 1:
The patent merges separate order entry response feed and market data feed into a single consolidated feed. The system combines order entry responses (including market impacting messages) with market data messages and transmits them through one unified communication channel, eliminating the need for multiple specialized feeds while maintaining reliable message delivery through standardized handling procedures.
Solution Approach 2:
The consolidated feed serves multiple functions simultaneously: it delivers order entry responses, market data updates, and market impacting messages all through a single communication infrastructure. This multi-functional approach replaces the need for specialized feeds while maintaining the reliability required for different message types.
2Loss of information
If separate data feeds are maintained for different message types, then message specificity is preserved, but bandwidth consumption and infrastructure costs increase
Solution Approach 1:
The system combines multiple message types (order entry responses and market data) into a single feed, reducing redundant bandwidth consumption. By consolidating communications, the system eliminates duplicate transmissions while preserving all necessary information through structured message formatting that maintains integrity across the unified feed.
3Speed
If market impacting messages are sent separately, then latency can be optimized for critical messages, but market manipulation risks and regulatory concerns increase
Solution Approach 1:
The consolidated feed merges market impacting messages with general market data transmissions, ensuring all participants receive critical information simultaneously through the same channel. This approach maintains speed by using efficient unified routing while eliminating manipulation risks associated with separate privileged feeds.
4Productivity
If redundant communications are eliminated by consolidating feeds, then bandwidth efficiency improves, but message routing complexity increases
Solution Approach 1:
The system segments messages within the consolidated feed by type and applies specific routing logic for different categories. Order entry responses, market data, and market impacting messages are handled with appropriate priority and formatting rules, making the routing complexity manageable through structured segmentation rather than monolithic processing.
Data Source
AI summary
Systems and methods for communication of financial messages from an Exchange to market participants whereby messages directed to particular market participants may be consolidated with other messages directed to all market participants and communicated via the same communications medium while preserving the anonymity of those market participants to which messages are particularly directed. Accordingly, redundant communications are eliminated, reducing the overall volume of communicated data and the resources necessary in support thereof; inhibition of any one market participant intentionally or unintentionally influencing the market via exposure of their activities, or otherwise unfairly impinging on the exposed activities of other market participants, is maintained; and inequitable information access is eliminated as the consolidated messages are transmitted to all market participants substantially simultaneously over the same medium thereby minimizing or eliminating any advantage or opportunity one market participant may have to receive market information ahead of the other market participants.