Tightly Integrated Order Router and Matching Engine
Find Innovative SolutionsGenerate Solutions
Solution Overview
Problem
Existing order routers and matching engines operate loosely, leading to race conditions where the order router may miss liquidity due to asynchronous interactions, resulting in inconsistent state knowledge and reduced matching efficiency.
Innovation Solution
A tightly integrated order router/data aggregator system, referred to as Cascade, synchronizes with matching engines to ensure consistent state access and treats entire order routing decisions as a single operation, preventing cancellations and modifications during routing, and employs configurable logic for matching orders across multiple liquidity pools.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Adaptability or versatility
If order routers and matching engines operate loosely with asynchronous interactions, then system flexibility and independence are improved, but race conditions occur causing liquidity loss and reduced matching efficiency
Solution Approach 1:
The patent merges the order router and matching engine into a tightly integrated system where the order router is embedded within the matching engine process. This combination eliminates race conditions by ensuring that order routing decisions and matching operations occur in a synchronized manner, preventing liquidity loss while maintaining system reliability.
2Adaptability or versatility
If order routing decisions are made as multiple separate operations, then configurability and adaptability are improved, but race conditions occur reducing matching success rate
Solution Approach 1:
The patent implements preliminary action by evaluating the entire order routing decision tree before executing any matching operations. The system pre-determines the optimal routing path by assessing all configurable criteria (price, time, venue preferences) upfront, then executes the routing as a single atomic operation. This prevents race conditions from occurring during the routing process while maintaining full configurability through the decision tree framework.
3Adaptability or versatility
If order books are accessible asynchronously, then system independence is improved, but inconsistent state knowledge occurs leading to liquidity loss
Solution Approach 1:
The patent implements feedback mechanisms where the tightly integrated order router continuously receives real-time updates from the matching engine about order book state changes. This feedback loop ensures that the routing decision always operates on the most current liquidity information available, preventing liquidity loss due to stale data while maintaining system independence through well-defined interface boundaries.
Data Source
AI summary
Systems and methods are provided for managing orders and aggregating market data across a plurality of liquidity sources via an order router and market aggregator that is tightly integrated with a matching engine for substantially synchronous activity.