Match Engine Implied Order Calculation via Parallel Segmentation
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Solution Overview
Problem
Electronic trading systems face challenges in efficiently calculating and publishing implied orders due to the exponential growth of possible combinations, leading to limited use and slow response times, which affects market liquidity and trader satisfaction.
Innovation Solution
The implementation of a distributed computing system with a Match Engine that uses graph theory, parallel processing, and filtering to rapidly calculate and publish implied orders, utilizing the Implicator component to increase calculation speed and accuracy.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Quantity of substance
If the system calculates all possible implied order combinations to improve market liquidity, then the number of advertised orders increases, but the calculation time increases exponentially
Solution Approach 1:
The patent segments the calculation process into multiple independent threads that operate in parallel. The Match Engine divides the computation of implied orders across numerous threads, each handling specific combinations, thereby reducing the time any single thread must spend calculating while maintaining comprehensive coverage of all possible order combinations.
Solution Approach 2:
The system performs preliminary actions by pre-calculating and storing order combination data in a database before trading occurs. The Match Engine can quickly retrieve pre-computed implied orders from the database during trading sessions, avoiding the need to perform exhaustive calculations in real-time and thus reducing calculation time while maintaining comprehensive order coverage.
2Quantity of substance
If conventional trading systems calculate implied orders, then market liquidity improves, but the response time becomes too slow for trader expectations
Solution Approach 1:
The patent implements dynamic parallel processing where the Match Engine adjusts the number and allocation of calculation threads based on market conditions and computational load. This dynamic approach allows the system to maintain high-speed response by optimizing resource allocation in real-time, ensuring that implied orders are calculated and published quickly without sacrificing market liquidity.
Solution Approach 2:
The system replaces sequential mechanical calculation processes with parallel computational architecture. By substituting the traditional single-threaded or limited multi-threaded approach with a comprehensive parallel processing system, the Match Engine achieves both high-speed response and complete calculation of implied orders, meeting trader expectations for rapid response while maintaining market liquidity.
3Measurement precision
If the Match Engine calculates more order combinations, then implied order accuracy improves, but computing capacity requirements increase
Solution Approach 1:
The patent segments the computational workload across multiple independent threads, allowing the Match Engine to handle complex order combinations distributed across the parallel architecture. This segmentation enables high-precision calculation of numerous order combinations without requiring a single overloaded computing unit, thus maintaining implied order accuracy while managing computing capacity requirements.
Solution Approach 2:
The system introduces a database as an intermediary between order input and implied order generation. The Match Engine stores pre-calculated order combination data in the database, which acts as a buffer and retrieval mechanism. This intermediary approach allows the system to maintain high accuracy by having access to complete pre-computed data while reducing the real-time computing capacity burden during active trading.
Data Source
AI summary
An electronic trading system utilizes a Match Engine that receives orders, stores them internally, calculates tradable combinations and advertises the availability of real and implied orders in the form of market data. Calculating tradable combinations or cycles for certain strategies becomes complex. Strategies that utilize legs having different volume ratios may form tradable combinations that will traverse a trigger order more than one time.