Market Data Channel Filtering for Low-Bandwidth Electronic Trading
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Solution Overview
Problem
Existing financial trading systems lack the ability to filter market data efficiently, leading to redundant calculations and high bandwidth requirements, especially in electronic trading, where custom filters across a wide range of variables are not currently provided.
Innovation Solution
Implementing devices such as Field Programmable Gate Arrays (FPGAs) and hardware/software combinations to actively modify market data at the intake point, creating tailored data streams that only include relevant information, reducing bandwidth and enhancing analytic computations.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Loss of information
If market data is transmitted without filtering, then all market information is available for trading decisions, but bandwidth requirements increase and redundant calculations occur
Solution Approach 1:
The patent extracts only the relevant market data variables needed for specific trading strategies from the complete market data stream. Custom filters are applied to extract only the necessary information (e.g., specific price levels, volumes, or order book data) while discarding unnecessary data, thereby reducing bandwidth usage without losing critical trading information.
Solution Approach 2:
The patent applies different filtering criteria to different trading strategies or market participants based on their specific needs. Each strategy receives a customized data stream with the appropriate level of detail and variable selection, rather than all participants receiving the same complete data stream. This local quality approach optimizes bandwidth usage while maintaining data completeness for each specific use case.
2Loss of energy
If custom filters are applied to market data, then bandwidth usage is reduced, but device complexity increases
Solution Approach 1:
The patent implements a universal filtering system that can handle multiple trading strategies and data requirements through a single configurable platform. The custom filters are designed to be reusable across different strategies, with parameters that can be adjusted without changing the underlying filter architecture. This multi-functionality reduces device complexity compared to having separate filtering systems for each strategy.
Solution Approach 2:
The patent achieves custom filtering through parameter adjustments rather than structural changes. The filtering system uses configurable parameters (such as variable selection, threshold values, and time windows) that can be modified to suit different trading strategies without requiring complex reconfiguration of the system architecture. This parameter-based approach simplifies the device while maintaining flexibility.
3Measurement precision
If complete market data is processed, then accurate trading decisions can be made, but calculation time increases
Solution Approach 1:
The patent extracts only the specific market data variables relevant to each trading strategy before processing. By removing unnecessary variables and data points, the system reduces the computational workload while retaining the critical information needed for accurate trading decisions. This extraction occurs at the data source, ensuring that only essential data is processed downstream.
Solution Approach 2:
The patent performs filtering and data preparation in advance, before the actual trading analysis occurs. By pre-processing the market data to remove irrelevant information and organize only the necessary variables, the system reduces the time required for subsequent calculations and decision-making. This preliminary action ensures that trading algorithms work with optimized data from the start.
Data Source
AI summary
Systems and methods related to financial trading are provided. More specifically, some embodiments relate to systems and methods for electronic trading using market data channels which users can subscribe. Various embodiments of the present technology can provide a suite of devices that are designed to actively modify market data at the intake point (co-location facility) in order to optimally disseminate only relevant information to various applications. These filtered market data channels can then be accessed by trading systems through various subscription models. Various embodiments allow for any type of channel that alters the natural or pure market data feed to produce different data flows and other signals (e.g., triggers, synthetic prices, etc.).