Distributed Order Book Synchronization for Trade Match Engines
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Solution Overview
Problem
Existing financial instrument trading systems face significant delays due to geographic distance from match engines, causing traders located far away to be at a competitive disadvantage due to increased time for market data reception and order transmission.
Innovation Solution
Implementing synchronized order books at geographically remote locations connected by high-speed data networks, allowing for the exchange of status messages and utilizing blade servers and grid computing to create a highly scalable matching environment, which enables local matching of orders and minimizes transmission delays.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Reliability
If traders transmit orders to a centralized match engine located far away, then all orders can be matched in a single location, but transmission delays increase causing competitive disadvantage for remote traders
Solution Approach 1:
The patent divides the centralized match engine into multiple geographically distributed match engines located in different data centers. Each match engine maintains a local order book and can independently match orders, eliminating the need for all orders to travel to a single location. This segmentation reduces transmission delays for remote traders while maintaining matching functionality through inter-engine communication.
Solution Approach 2:
The patent introduces a message bus as an intermediary component that enables communication between distributed match engines. The message bus allows match engines to exchange order and trade information asynchronously, coordinating their actions without requiring direct peer-to-peer communication. This mediator enables the system to function as a unified multi-location platform while minimizing transmission delays.
2Loss of time
If multiple geographically distributed match engines are implemented, then transmission delays are reduced for remote traders, but system complexity increases due to synchronization requirements
Solution Approach 1:
The patent implements synchronized order books across all match engines, ensuring that each location maintains an identical copy of the order book state at any given time. This equipotential approach allows any match engine to process orders with the same information quality, eliminating the need for complex real-time synchronization protocols while maintaining system consistency.
Solution Approach 2:
The patent creates replicated copies of the order book at each match engine location rather than maintaining a single master copy. Each match engine works with its local copy, and changes are propagated to other engines through the message bus. This copying approach simplifies the architecture by allowing independent operation at each location while maintaining data consistency.
3Productivity
If order books are synchronized across remote locations, then local order matching becomes possible reducing delays, but network bandwidth consumption increases due to status message exchange
Solution Approach 1:
The patent implements selective synchronization where match engines exchange only the minimum necessary information required for order matching. Rather than continuously syncing all order book data, engines transmit only status messages containing critical information needed for local matching decisions. This partial action approach enables local processing while minimizing network bandwidth consumption.
Data Source
AI summary
Methods and systems are providing for minimizing the effects of transmission delays when providing orders for financial instruments. A plurality of order books and match engines may be maintained at geographically dispersed locations. The orders may be synchronized to provide the appearance of a single order book to traders and other users. The plurality of order books and match engines allow traders and other users to transmit orders to the match engine associated with the shortest transmission delay and to access orders pending at other match engines.