Message Sequencing Protocol for Optimistic Order Handling
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Solution Overview
Problem
Electronic trading systems face challenges in managing optimistic messaging behavior, which can lead to inefficiencies and potential manipulation, particularly under high transaction volumes and increasing processing loads, necessitating improved message handling protocols to ensure reliable and deterministic order processing.
Innovation Solution
Implementing a message processing system architecture that detects and mitigates optimistic messaging by segregating such behavior from incidental communications, using reconfigurable logic like FPGAs to manage message ordering and delivery, ensuring reliable transmission and reducing resource overhead.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Speed
If optimistic messaging behavior is allowed in message transmission, then message delivery speed may be improved, but system reliability and determinism deteriorate due to potential manipulation and inefficiencies
Solution Approach 1:
The system performs preliminary validation and sequencing of messages before they are fully processed. Message sequence numbers are assigned and validated in advance, and the system prepares to handle out-of-order arrivals by buffering messages until complete sequences are received, thus preventing manipulation while maintaining efficient processing
Solution Approach 2:
The system implements feedback mechanisms where the receiving end sends acknowledgments for received messages, and the transmitting end adjusts its behavior based on these acknowledgments. This feedback loop ensures reliable delivery by confirming message receipt and enabling retransmission if needed, while maintaining deterministic processing order
2Reliability
If traditional message protocols are used to ensure reliable delivery, then message reliability is maintained, but processing efficiency and throughput deteriorate under high transaction volumes
Solution Approach 1:
The message protocol is segmented into independent validation and processing stages. Sequence number validation, reliability checks, and message processing are separated into distinct phases that can be handled efficiently by different system components, allowing high-volume processing while maintaining reliability through staged validation
Solution Approach 2:
The system changes the parameter of message handling from sequential processing to parallel batch processing where multiple messages can be validated and processed simultaneously. By changing how messages are handled in bulk rather than one-at-a-time, the system maintains reliability through consistent validation while dramatically improving throughput under high transaction volumes
3Reliability
If message sequencing and validation mechanisms are implemented, then deterministic processing is ensured, but resource overhead and system complexity increase
Solution Approach 1:
The message protocol includes self-contained sequence numbers and validation data within each message packet. Messages are self-validating, containing their own sequencing information that allows the receiving system to automatically verify and process messages in the correct order without requiring complex external validation logic, thus reducing overall system complexity while maintaining deterministic processing
Data Source
AI summary
The disclosed embodiments relate to implementation, such as by a message processing system architecture, of a message handling system and/or protocol which mitigates optimistic messaging behavior. As used herein optimistic messaging behavior may at least refer to the transmission, in whole or in part, of a message, or of one or more messages of a sequence thereof, to a receiving system, such as the system implemented by the disclosed embodiments, prior to the sender determining that the message(s) is/are desired, alone or in conjunction with subsequently canceling or otherwise invalidating the message(s) once it has been determined that it is not desired. The disclosed embodiments mitigate such behavior by detecting and taking action with respect to these types of messages to deter optimizing behavior which may or may not be manipulative, while maintaining reliable message handling under increasing processing loads with minimal impact on users being able to send messages to the system.