Electronic Match Engine Offloading via Minimum Market Data Set
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Solution Overview
Problem
Current electronic match engines in exchanges are overloaded with processing requirements for generating market data, leading to inefficient bandwidth and processing time consumption as the number of orders and trades increase.
Innovation Solution
An optimized electronic match engine distributes a minimum data set to an external market data generation processor, offloading the generation of market data to an external MDG processor while maintaining primary order matching functions, reducing memory and processor load.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Device complexity
If the electronic match engine generates market data internally, then market data generation is integrated, but the match engine becomes overloaded with processing requirements and consumes excessive bandwidth and processing time
Solution Approach 1:
The system separates market data generation from order matching by creating distinct functional modules: the match engine handles order matching while the MDG processor handles market data generation. This segmentation allows each component to specialize and optimize its processing, resolving the contradiction between integrated structure and processing efficiency.
Solution Approach 2:
The market data generation function is extracted from the match engine and placed in an external MDG processor. The match engine now only retains core order matching functionality, while market data is generated externally using a minimum data set. This extraction eliminates the processing overload on the match engine while maintaining data integrity.
2Reliability
If the match engine processes all order and trade messages, then complete market data is generated, but bandwidth and processing time are excessively consumed
Solution Approach 1:
The MDG processor uses a minimum data set containing only the essential fields needed for market data generation (order ID, price, quantity, side, timestamp) rather than processing complete order messages. This partial action approach generates complete market data while minimizing bandwidth consumption and processing time by transmitting only necessary data elements.
Solution Approach 2:
The system changes the parameter set from complete order messages to a minimized data set with only essential fields. By transforming the data representation to include only critical parameters (order ID, price, quantity, side, timestamp), the system maintains market data completeness while dramatically reducing processing overhead and bandwidth usage.
Data Source
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AI summary
Systems and methods are provided for an optimized electronic match engine of an exchange is disclosed that distributes a minimum data set to an external market data generation (MDG) processor. The optimized electronic match engine derives a minimum data set from data already known to the optimized electronic match engine. The MDG processor may extract the minimum data set and uses it to generate market data outside of the optimized electronic match engine. In some examples, an order entry (OE) message transmitted from the optimized electronic match engine may be appended with the minimum data set in a simple binary encoding (SBE) format.