Electronic Exchange Data Feed Excluding Market Depth
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Solution Overview
Problem
Conventional electronic trading systems face challenges in providing an optimal data feed that balances market data availability with market integrity, often leading to high bandwidth requirements and potential market manipulation, as they include market depth which can reveal trading strategies and identities.
Innovation Solution
The system generates a data feed that includes the inside market or last traded price but intentionally excludes market depth, reducing bandwidth needs and protecting market integrity by preventing the disclosure of trading strategies and identities.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Loss of information
If market depth is included in the data feed to provide comprehensive market information, then market data availability is improved, but bandwidth requirements increase and market manipulation risk increases
Solution Approach 1:
The patent extracts and removes market depth information from the data feed while retaining inside market and last traded price data. This selective extraction reduces the overall data volume transmitted through the data feed, thereby reducing bandwidth requirements while maintaining essential market information for trading decisions.
2Loss of information
If market depth is included in the data feed to provide comprehensive market information, then market data availability is improved, but market integrity deteriorates due to potential manipulation and strategy revelation
Solution Approach 1:
The patent removes market depth information from the data feed to prevent market manipulation and protect trading strategies. By extracting this sensitive information, the system maintains market integrity while still providing essential inside market and last traded price data that enables informed trading decisions.
3Loss of information
If more data is included in the data feed to satisfy the desire for comprehensive market information, then market data completeness is improved, but device complexity increases
Solution Approach 1:
The patent simplifies the data feed structure by removing market depth information, reducing data complexity while maintaining completeness of essential trading information. This extraction approach provides a streamlined data feed that contains only the most critical elements needed for market participation.
Data Source
AI summary
The present embodiments relate to an improved data feed. In an embodiment, an electronic exchange, when generating a data feed, in particular a price data feed, purposefully chooses to include the inside market and/or last traded price but purposefully leaves out the market depth. The market depth may be omitted to provide an optimal marketplace.