Market Data Precedence Optimization for Trading Systems
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Solution Overview
Problem
Current electronic trading systems face challenges in maintaining high performance and providing up-to-date market information in near real-time, due to the overwhelming CPU burden caused by massive market updates.
Innovation Solution
The system optimizes market information updates by prioritizing data delivery based on precedence levels, where higher precedence messages (e.g., inside market changes) are processed immediately, and lower precedence messages (e.g., market information outside the inside market) are stored and coalesced until a pre-defined condition is met.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Loss of information
If market information is updated at high frequency to provide near real-time data, then information freshness is improved, but CPU processing burden increases
Solution Approach 1:
The patent segments market information into multiple priority levels (first priority for inside market changes, second priority for other market data). This segmentation allows the system to process only critical information at full speed while handling less urgent data more efficiently, thereby maintaining information freshness for important data while reducing overall CPU processing burden.
Solution Approach 2:
The patent introduces an intermediary device (gateway or router) that receives market information from the exchange and intelligently routes it to client devices. This intermediary filters and prioritizes information before delivery, reducing the volume of data that reaches client CPUs and thereby lowering processing burden while still delivering timely critical information.
2Loss of information
If all market information is processed and displayed immediately, then information completeness is improved, but processing time increases
Solution Approach 1:
The patent divides market information processing into two segments: first priority information (inside market changes) is processed and displayed immediately, while second priority information (other market data) is processed after the first priority data. This segmentation ensures that critical information is displayed without delay while still maintaining completeness by eventually processing all information.
Solution Approach 2:
The patent implements periodic processing where client devices alternate between receiving/processing first priority information and second priority information. This periodic action pattern ensures that critical data gets immediate attention while less urgent data is processed in subsequent cycles, balancing completeness with processing speed.
Data Source
AI summary
A system and method for optimizing the frequency of market information updates in an electronic trading environment are described herein. According to one example embodiment, by optimizing the frequency of market information updates, the burden on the client device to update the graphical user interface may be reduced, while still providing an accurate portrayal of the market to the user. An example method includes associating different precedence levels with messages comprising market information. Messages containing market information related to the inside market may be associated to a higher precedence level. Whereas messages containing market information relating to the quantities at prices outside the inside market may be associated with a lower precedence level. Based on the precedence level associated with a message, a client device may update the graphical user interface or the message may be stored in a data structure until a pre-defined condition is satisfied.