External Market Data Generation for Minimum-Data Match Engines
Find Innovative SolutionsGenerate Solutions
Solution Overview
Problem
Current electronic match engines in financial exchanges are overloaded with processing requirements for generating market data, leading to inefficiencies in bandwidth and processing time due to the distribution of numerous messages.
Innovation Solution
An optimized electronic match engine distributes a minimum data set to an external market data generation processor, offloading the task of generating market data and reducing the load on the match engine by deriving a minimum data set from known order metadata.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Productivity
If the electronic match engine generates market data internally, then market data generation is integrated within the match engine, but the match engine becomes overloaded with processing requirements and consumes excessive bandwidth and processing time
Solution Approach 1:
The system separates market data generation from the match engine by introducing an external Market Data Generation (MDG) processor. The match engine is segmented to only perform order matching functions, while the MDG processor handles market data generation independently, reducing the match engine's processing load and improving overall system efficiency.
Solution Approach 2:
The market data generation function is extracted from the match engine and placed in an external MDG processor. This extraction removes the burden of generating numerous market data messages from the match engine, allowing it to focus solely on order matching operations and reducing bandwidth consumption.
2Loss of information
If the match engine transmits comprehensive order metadata to generate market data, then complete market data can be generated, but message size and bandwidth consumption increase
Solution Approach 1:
The match engine transmits only a minimum necessary data set containing essential order metadata required for market data generation, rather than transmitting complete order information. This partial transmission approach provides sufficient data for the MDG processor to generate market data while minimizing message size and bandwidth consumption.
Solution Approach 2:
Only the essential minimum data set is extracted and transmitted from the match engine to the MDG processor, filtering out redundant information. This selective extraction ensures market data completeness while reducing the quantity of data transmitted.
Data Source
AI summary
Systems and methods are provided for an electronic match engine of an exchange that distributes a minimum data set to an external market data generation (MDG) processor. The electronic match engine derives a minimum data set from data already known to the electronic match engine. The MDG processor, which may be outside of the electronic match engine, may extract the minimum data set and uses it to generate market data. The electronic match engine may append the minimum data set to an order entry message sent to the MDG processor.