Lookup Table for Exchange Data Packet Translation
Find Innovative SolutionsGenerate Solutions
Solution Overview
Problem
High frequency trading introduces latency issues due to multiple intermediaries in communication, leading to price transformation discrepancies, which existing solutions fail to adequately address, especially in terms of latency between market participants and electronic exchanges.
Innovation Solution
Implementing a dynamically updated lookup table to interpret exchange data packets, allowing for efficient translation of market feed data packets between different protocols and programming languages, thereby reducing latency and aligning high frequency traders with conventional traders.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Adaptability or versatility
If high frequency trading uses multiple intermediaries for order communication, then market participation is enabled, but latency increases and price transformation discrepancies occur
Solution Approach 1:
The patent extracts the essential market data from exchange protocols and stores it in a locally cached dictionary structure, eliminating the need to process complete protocol messages through multiple intermediaries. This allows traders to access market data directly from local storage, reducing latency while maintaining market participation capability.
Solution Approach 2:
The system performs preliminary actions by pre-parsing and caching market data in dictionary structures before trading decisions are made. Exchange protocols are decoded and market data is organized into accessible formats in advance, so when trading opportunities arise, the data is already prepared and immediately available, minimizing execution latency.
2Loss of information
If traditional protocol interpretation methods are used, then comprehensive market data is obtained, but processing time increases
Solution Approach 1:
The patent extracts only the essential market data elements from complete exchange protocols and stores them in compact dictionary structures. This selective extraction maintains the necessary market information while eliminating unnecessary protocol overhead, enabling faster processing without significant information loss.
Solution Approach 2:
The system implements local quality by organizing market data in customized dictionary structures that are optimized for specific trading needs. Different parts of the market data are stored with different levels of detail and organization, allowing rapid access to critical information while maintaining comprehensive data availability when needed.
3Productivity
If dynamic lookup tables are implemented, then translation efficiency improves, but system complexity increases
Solution Approach 1:
The patent creates simplified copies of exchange protocol data in dictionary structures that mirror the essential information in a more accessible format. These dictionary copies serve as local representations of the protocol data, enabling rapid translation and access without requiring complex real-time protocol interpretation, thus improving productivity while managing system complexity.
Data Source
AI summary
Systems and methods for interpreting exchange data include an exchange implemented according to a protocol. The exchange includes various exchange elements. Responsive to a request from a first remote source, use a dynamically updated lookup table, which includes descriptors for each element, provided from a second remote source. Translate the request, which is formatted according to a first grammar of a first client language, into a query, which is formatted according to a second grammar associated with the protocol, for corresponding elements. Use the query to obtain various data packets responsive to the request and encoded according to the protocol. Translate the various packets into a programming language according to a third grammar, dictated by the request. Translate data, using the table, in the various packets from the second to the third grammar. Form a translated construct for the various packets that includes the requested information. Communicate the construct to the first source.