Gateway Transaction Limit Management for Electronic Trading

Solution Overview

Problem

Electronic trading systems often impose transaction limits on exchanges without informing participants, leading to rejected high-priority trade messages due to unawareness of these limits, causing adverse outcomes such as message delays or rejections.

Innovation Solution

Implementing a method to calculate an artificial transaction limit based on the exchange's transaction limit, creating a reserve capacity to prioritize high-priority messages while delaying or canceling low-priority ones, ensuring critical trade messages are executed without rejection.

Engineering Contradictions & Design Principles

VSEngineering Contradiction Analysis

1Productivity

If the exchange imposes a transaction limit on the number of trade messages communicated over a period of time, then the exchange can manage its processing capacity, but high-priority trade messages may be rejected or delayed when the limit is reached

Engineering Contradiction:

Improvetransaction throughputVSAvoidmessage execution guarantee

Core Design Contradiction:

ProductivityVSReliability

Solution Approach 1:

The system performs preliminary actions by discovering the exchange transaction limit in advance through tracking transactions before rejection. It then calculates an artificial transaction limit and reserves trade messages beforehand, ensuring that high-priority messages can be communicated even when approaching the exchange's transaction limit, thus preventing rejections of critical messages

Inventive Principle:

Principle #10Preliminary action

Solution Approach 2:

The system dynamically adjusts its transaction limit strategy by continuously monitoring the transaction count and comparing it against both the exchange transaction limit and the calculated artificial transaction limit. It adapts its behavior by reserving messages when necessary and releasing reserves when capacity is available, making the system flexible in response to changing exchange conditions

Inventive Principle:

Principle #15Dynamics

2Ease of operation

If the system continues to send trade messages to the exchange without knowing the transaction limit, then all messages are treated equally, but critical high-priority messages may be rejected

Engineering Contradiction:

Improvemessage sending simplicityVSAvoidcritical message delivery

Core Design Contradiction:

Ease of operationVSReliability

Solution Approach 1:

The system performs preliminary actions by discovering the exchange transaction limit in advance through tracking transactions before rejection. It then calculates an artificial transaction limit and reserves trade messages beforehand, ensuring that high-priority messages can be communicated even when approaching the exchange's transaction limit, thus preventing rejections of critical messages

Inventive Principle:

Principle #10Preliminary action

Solution Approach 2:

The system applies different quality levels to different messages by assigning priority levels (high-priority vs. low-priority). It treats high-priority messages differently by reserving capacity for them, while low-priority messages are subject to the artificial transaction limit. This local differentiation ensures critical messages are protected while maintaining overall system efficiency

Inventive Principle:

Principle #3Local quality

3Reliability

If the system reserves trade messages to ensure high-priority message communication, then critical messages are protected from rejection, but low-priority messages are delayed or canceled

Engineering Contradiction:

Improvehigh-priority message executionVSAvoidoverall transaction volume

Core Design Contradiction:

ReliabilityVSProductivity

Solution Approach 1:

The system applies different quality levels to different messages by assigning priority levels (high-priority vs. low-priority). It treats high-priority messages differently by reserving capacity for them, while low-priority messages are subject to the artificial transaction limit. This local differentiation ensures critical messages are protected while maintaining overall system efficiency

Inventive Principle:

Principle #3Local quality

Solution Approach 2:

The system implements partial reservation of transaction capacity rather than reserving all capacity. The artificial transaction limit is calculated as a function of the exchange transaction limit, creating a reserve that is sufficient to protect high-priority messages while still allowing a reasonable volume of low-priority messages to be processed, thus balancing reliability and productivity

Inventive Principle:

Principle #16Partial or excessive action

Data Source

PatentUS12175534B2Methods and systems to prevent adverse exchange limit effects

Publication Date: 2024.12.24 TRADING TECHNOLOGIES INTERNATIONAL INC

AI summary

Methods and systems to prevent adverse exchange limit effects are disclosed. An example method of message management includes tracking, at a gateway, a transaction count of trade messages communicated to an exchange via an exchange link. The example method includes defining a first transaction limit based on the transaction count, and calculating a second transaction limit as a function of the first transaction limit, wherein the second transaction limit is to correspond to a reserve capacity associated with the exchange link. The example method includes assigning a message priority to each of a plurality of trade messages to communicate to the exchange. The example method includes communicating trade messages of the plurality of trade messages having a first message priority to the exchange when the transaction count is greater than the second transaction limit, and delaying or rejecting trade messages of the plurality of trade messages having a second message priority.