Dynamic Market Update Manager for Electronic Trading Latency
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Solution Overview
Problem
Existing electronic trading systems face challenges in providing accurate and timely market updates, particularly when network bandwidth or client processing capabilities are overwhelmed, leading to delayed or outdated data due to the inefficiencies in snapshot and incremental update models.
Innovation Solution
A method is introduced to modify market updates by defining events that trigger changes in the content and frequency of updates, such as reducing market depth levels and adjusting the time interval between updates, using a price server and market update manager to dynamically manage market data delivery based on predefined configurations or real-time market conditions.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Measurement precision
If incremental updates are sent every time market data changes, then data freshness is improved, but network bandwidth and client processing capabilities are overwhelmed causing deep queues and delayed delivery
Solution Approach 1:
The system dynamically adjusts the update model between snapshot and incremental based on market conditions. During high volatility periods, it switches to snapshot updates to prevent overwhelming the network and client processing capabilities, while during stable periods it uses incremental updates for better data freshness. This dynamic adaptation resolves the contradiction by making the update frequency flexible rather than fixed.
Solution Approach 2:
The patent changes the parameter of update frequency and type based on detected market events. When volatility exceeds a threshold, the system changes from sending frequent incremental updates to sending less frequent snapshot updates, thereby reducing network bandwidth consumption and client processing load while maintaining acceptable data freshness through event-driven timing.
2Productivity
If snapshot updates are sent at programmed time intervals, then network bandwidth consumption is reduced, but data accuracy deteriorates as traders miss updates between intervals
Solution Approach 1:
The system uses periodic snapshot updates at programmed time intervals during low volatility periods to conserve network bandwidth, while complementing these with event-driven updates when market conditions change. This hybrid approach maintains network efficiency while improving data accuracy by ensuring traders receive updates both periodically and when significant events occur.
Solution Approach 2:
The system incorporates feedback mechanisms that monitor market volatility and automatically adjust the update strategy. When volatility indicators suggest significant market movements, the system increases update frequency and switches to snapshot mode, thereby maintaining data accuracy while managing network bandwidth consumption based on actual market needs rather than fixed schedules.
3Loss of information
If the number of market depth levels provided is increased, then information completeness is improved, but processing time increases
Solution Approach 1:
The system applies local quality by providing different numbers of market depth levels to different clients based on their specific needs and the current market conditions. During high volatility events, it may provide fewer depth levels to reduce processing time, while during stable periods it provides more comprehensive depth information. This localized adaptation resolves the contradiction by making information completeness variable rather than uniform.
Data Source
AI summary
A system and method are provided for modifying how market updates are provided in an electronic trading environment upon detecting one or more triggering events. One example method includes defining an event to be used to trigger modification of how market updates are provided to a client entity, receiving a market update from an electronic exchange, and, when the event is detected, modifying how the market update is provided to the client entity. As an example, the modification of how the market update is provided to the client entity may include providing less data in relation to market updates, and sending the market updates less frequently.