Interprogram Event Messaging for Real-Time Exchange Matching
Find Innovative SolutionsGenerate Solutions
Solution Overview
Problem
Existing trading systems face challenges in efficiently matching and executing trades based on real-time market events and participant intentions due to delays in communication networks, leading to suboptimal trading results.
Innovation Solution
Implementing an exchange system with a matching engine and event engine that processes and executes trades based on real-time event notifications and participant orders, using communication networks to facilitate immediate matching and execution of trades.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Speed
If real-time communication networks are used to transmit trading events and orders, then trading speed and responsiveness are improved, but network delays and latency still cause execution timing issues
Solution Approach 1:
The system pre-processes and queues trading events and orders before actual execution is needed. The event engine and matching engine prepare trade data in advance, so when execution occurs, the data is already formatted and ready, minimizing the impact of network delays on actual trading speed.
Solution Approach 2:
The patent introduces an event engine as an intermediary layer between the communication network and the matching engine. This intermediary pre-processes incoming events, filters and validates data, and queues events for processing, thereby isolating the matching engine from network variability and reducing the impact of transmission delays on execution timing.
2Measurement precision
If complex event processing and order matching algorithms are implemented, then trading accuracy and optimization are improved, but system complexity and processing overhead increase
Solution Approach 1:
The system is divided into distinct functional modules: an event engine for processing incoming events, an order management system for handling orders, and a matching engine for executing trades. Each module has a specific responsibility, which simplifies the design and maintenance of complex algorithms while maintaining high execution accuracy through specialized processing in each segment.
Solution Approach 2:
The system implements feedback mechanisms where the matching engine receives information about executed trades and uses this information to adjust future matching decisions. The event engine also receives feedback about processed events to optimize event filtering and prioritization, allowing the system to improve accuracy over time without increasing structural complexity.
3Reliability
If multiple event engines and matching engines are deployed across different locations, then system reliability and fault tolerance are improved, but communication overhead and synchronization delays increase
Solution Approach 1:
The patent implements a hierarchical architecture where local matching engines are nested within regional event processing centers, which are in turn nested within the global trading system. This nested structure allows local engines to operate autonomously with minimal synchronization delays, while higher-level engines provide coordination and fault tolerance, balancing reliability with synchronization speed.
Data Source
AI summary
Various embodiments of exchanges are described. Methods and other embodiments are also described.