Network Interface Compliance Filter for High-Speed Trading
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Solution Overview
Problem
High-speed trading engines in financial markets operate at timescales that make it difficult to monitor and control, leading to risks of dangerous trading behavior, and there is a need for a mechanism to enforce risk boundaries and ensure trustworthy communications within networks.
Innovation Solution
A logic device that intercepts data flows, inspects them against compliance rules stored in a data store, and applies corresponding actions, such as blocking or allowing data flows, to enforce financial compliance rules and ensure network security.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Speed
If trading engines operate at high speed to respond timely to market data, then trading responsiveness is improved, but monitoring and control capability deteriorates
Solution Approach 1:
A compliance filter is introduced as an intermediary component between the trading engine and network interface. This filter operates independently to monitor and control data flows, enabling high-speed trading while maintaining oversight through a separate control mechanism that doesn't bottleneck the primary trading path.
Solution Approach 2:
The system is segmented into distinct functional components: the trading engine for high-speed execution, the compliance filter for monitoring, and the control engine for rule management. This segmentation allows each component to operate optimally without interfering with others, resolving the contradiction between speed and controllability.
2Productivity
If algorithms operate autonomously to trade within very short timescales, then trading efficiency is improved, but controllability deteriorates
Solution Approach 1:
Compliance rules are pre-configured in the compliance filter before autonomous trading begins. These rules establish boundaries and constraints that the autonomous algorithm must operate within, enabling efficient autonomous operation while maintaining pre-established control mechanisms that can intervene if boundaries are breached.
3Reliability
If data flows are intercepted and inspected against compliance rules, then risk boundary enforcement is improved, but data flow processing time increases
Solution Approach 1:
The compliance filter uses hardware-based or FPGA-based inspection mechanisms to replace software-based packet processing. This substitution enables parallel processing of compliance rules against data flows, maintaining strict risk boundary enforcement while minimizing processing time through optimized hardware logic rather than sequential software execution.
Data Source
AI summary
A logic device and method are provided for intercepting a data flow from a network source to a network destination. A data store holds a set of compliance rules and corresponding actions wherein at least one of the set of compliance rules is a temporary compliance rule valid for a predetermined period. A packet inspector is configured to inspect the intercepted data flow and identify from the data store a temporary compliance rule associated with the inspected data flow. A packet filter is configured to when the data flow is identified as being associated with the temporary compliance rule, carry out an action with respect to the data flow corresponding to the temporary compliance rule while the temporary compliance rule is valid.