Dynamic Market Data Publication Rate Control
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Solution Overview
Problem
Existing methods for publishing market information to trader client devices often overwhelm the processing capacity of these devices, leading to latency and inefficiencies, especially in high-frequency trading environments where timely and accurate data is crucial.
Innovation Solution
A computer-implemented method and apparatus that dynamically adjust the publication of market information based on the client device's processing capacity, using a feedback-oriented network approach to ensure that data is published only when the device is ready, thereby preventing data overload and minimizing latency.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Loss of information
If market information is sent at a high rate to keep the data pipeline from becoming clogged, then data freshness is improved, but the trader's processing capacity is overwhelmed
Solution Approach 1:
The system implements a feedback mechanism where the trader's client device sends acknowledgment signals to the exchange about its processing status. The exchange uses this feedback to dynamically adjust the market data transmission rate, ensuring the trader receives sufficient data without overwhelming its processing capacity
Solution Approach 2:
The patent applies dynamic transmission rate adjustment based on real-time feedback from the trader's processing capacity. The system transitions from static predetermined intervals to dynamic rate modulation that adapts to the trader's actual ability to process data, optimizing both data freshness and processing load
2Speed
If market updates are sent immediately upon change to provide quick response, then response speed is improved, but network bandwidth is exceeded and latency increases
Solution Approach 1:
The system uses feedback signals from the trader's client device to regulate transmission timing. The exchange waits for acknowledgment feedback before sending the next market update, preventing bandwidth exhaustion while maintaining responsive data delivery
Solution Approach 2:
The patent implements periodic transmission controlled by feedback signals rather than continuous or immediate transmission. The exchange sends updates at intervals determined by the trader's processing status, creating a rhythm that balances responsiveness with bandwidth management
3Productivity
If a predetermined time interval is used for data transmission, then processing load is controlled, but data delivery timeliness deteriorates
Solution Approach 1:
The system replaces static predetermined intervals with dynamic transmission timing based on real-time feedback about the trader's processing capacity. The interval automatically adjusts to balance processing load control with data delivery timeliness
Solution Approach 2:
The patent changes the transmission interval parameter from a fixed predetermined value to a variable parameter that adapts based on feedback signals. This allows the system to optimize both processing load and data delivery timeliness by adjusting the interval parameter in response to actual system conditions
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.