Network Order State Synchronization Under Trading Latency
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Solution Overview
Problem
High network latency and congestion in trading systems cause asynchronous conditions and missed microsecond opportunities, leading to increased costs and inefficiencies in financial trading due to rejected, filled, or canceled orders, and out-of-sync order states between trading systems and exchanges.
Innovation Solution
An apparatus and method utilizing a network optimizer to manage order state synchronization and minimize network traffic by prioritizing trading instructions based on strategy, periodically checking acknowledgments, and adjusting orders to reduce redundant messages, thereby maintaining synchronicity and balancing network performance with exchange execution priority.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Productivity
If trading systems send many electronic messages to exchanges via network, then trading strategies can be executed with high volume, but network latency increases causing asynchronous conditions and missed microsecond opportunities
Solution Approach 1:
The system pre-synchronizes order state information between trading systems and exchanges before actual trading messages are sent. By establishing the correct order state in advance through preliminary synchronization actions, the system ensures that when high-volume trading messages are transmitted, they execute with minimal latency and without causing asynchronous conditions, thus resolving the contradiction between high productivity and time loss.
2Reliability
If network optimizer periodically requests trading instructions in specific sequence based on priority, then order state synchronicity is maintained, but network traffic increases
Solution Approach 1:
The network optimizer extracts and processes only the essential synchronization information needed to maintain order state synchronicity, rather than transmitting all trading instructions. By taking out only the critical state synchronization data and separating it from routine trading traffic, the system maintains reliability of order state while minimizing the quantity of network traffic generated by synchronization activities.
3Ease of operation
If exchanges prioritize trading instructions in queue based on first come first serve, then fairness is maintained, but network congestion causes trading messages to be prioritized lower than messages from competing systems
Solution Approach 1:
The system performs preliminary synchronization of order state information before messages enter the exchange queue. This preliminary action ensures that when messages are transmitted under first-come-first-serve queuing, they start from a synchronized state, preventing network congestion from causing priority loss. The preliminary synchronization compensates for the fairness-based queuing mechanism, maintaining effective speed without compromising queue fairness.
Data Source
AI summary
Disclosed herein are an apparatus, non-transitory computer readable medium, and method for minimizing network traffic and maintaining synchronous state information between systems.