Dynamic Market Data Publication Rate Control
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Solution Overview
Problem
Existing methods for publishing market information to trader client devices in electronic trading often result in overwhelming network capacity, leading to latency and inefficiencies, particularly in high-liquidity markets where rapid changes occur, as they either send data at fixed intervals or in real-time without considering the client's processing capacity.
Innovation Solution
A computer-implemented method that uses a feedback-oriented network link to ensure market information is published only when the client device is ready to process it, utilizing a dynamic and adaptive approach to match data publication rates with the client's processing capacity, employing a TCP connection with acknowledgment signals to confirm readiness and publishing the most current market data.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Reliability
If market information is sent at a fixed time interval, then the network data pipeline is kept from becoming clogged, but market data is not delivered to the trader in a timely manner
Solution Approach 1:
The patent applies dynamics by transitioning from fixed time interval scheduling to a dynamic feedback-based rate control mechanism. The system continuously adjusts the market data publication rate based on real-time feedback signals from the client device, allowing the system to adapt to varying network conditions and client processing capacities. This resolves the contradiction by enabling timely data delivery when network conditions permit while preventing pipeline clogging when capacity is limited.
Solution Approach 2:
The patent implements feedback by establishing a communication loop where the client device sends feedback signals to the network device indicating its readiness state. This feedback mechanism allows the system to adjust data publication timing based on actual client capacity, resolving the tension between maintaining pipeline stability and achieving timely data delivery. The feedback signal triggers immediate publication when the client is ready, eliminating unnecessary delays.
2Speed
If market updates are sent every time there is a change to market data parameters, then quicker response to market changes is achieved, but network bandwidth is overwhelmed and market updates are queued causing increased latency
Solution Approach 1:
The system uses feedback signals from the client device to control the publication rate of market updates. When the client indicates it is ready to receive data, the system publishes updates immediately upon market changes. When the client is not ready, the system waits for feedback before publishing, preventing queue buildup and maintaining low latency. This feedback mechanism resolves the contradiction by enabling fast response to market changes without overwhelming the network.
Solution Approach 2:
The patent changes the publication rate parameter dynamically based on network conditions and client readiness. Instead of using a fixed high frequency or strict real-time publishing, the system adjusts the effective publication interval based on feedback signals. This parameter adaptation allows the system to maintain high response speed when network capacity permits while avoiding bandwidth overload when capacity is constrained, thereby reducing publication latency.
3Measurement precision
If the trader's system processes massive amounts of market information updates, then accurate and current market data is maintained, but the processing capacity of the trader's system is overwhelmed
Solution Approach 1:
The feedback signal mechanism allows the network device to monitor client readiness and adjust data publication accordingly. When the client indicates it can process more data, the system publishes updates immediately to maintain accuracy. When the client is approaching capacity limits, the system pauses publication until the client is ready, preventing system overload while maintaining data accuracy. This feedback-based control resolves the contradiction between maintaining measurement precision and preserving processing capacity.
Data Source
AI summary
A method and apparatus for publishing market data for a financial instrument utilizes existing network layer acknowledgement feature to publish market data for the financial instrument to a client device at rates in which the client device is able to process the data. The publishing rate is dynamic, as opposed to being fixed, and is able to adjust “on-the-fly” so as to prevent message queue stagnation.