Order Book Activity Architecture Using Unmatched Request Counts
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Solution Overview
Problem
Existing computer systems struggle to provide an accurate indication of activity, particularly in complex systems with multiple client computers connected to servers across different time zones, leading to inefficiencies and potential advantages for algorithmic traders.
Innovation Solution
A computer system processing architecture that counts unmatched requests or orders in a central limit order book to provide an indication of activity, using time priority and dynamic post-trade intervals to reflect market activity and volatility.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Measurement precision
If traditional activity indication methods are used in computer systems with multiple client computers across different time zones, then the system can operate globally, but the activity indication becomes inaccurate and creates advantages for algorithmic traders
Solution Approach 1:
The patent extracts the core activity indicator from complex order book data by counting only unmatched requests. This simplifies the measurement to a single, clear metric that accurately reflects system activity without being influenced by time zone variations or algorithmic trading patterns, thereby improving measurement precision while eliminating unfair advantages
Solution Approach 2:
The patent changes the parameter for measuring activity from traditional metrics (such as total order volume or transaction count) to counting unmatched requests in the order book. This parameter change provides a more accurate and neutral indication of actual market activity that is not susceptible to manipulation across different time zones or by algorithmic traders
2Measurement precision
If complex methods are used to track and measure activity in the computer system, then comprehensive data is captured, but computational efficiency decreases
Solution Approach 1:
The patent extracts only the essential information needed for activity measurement - the count of unmatched requests - from the complex order book data. This extraction approach maintains measurement precision by focusing on the most relevant indicator while dramatically improving computational efficiency by avoiding processing of unnecessary data
Solution Approach 2:
Instead of tracking all matched and unmatched requests to determine activity, the patent inverts the approach by directly counting only the unmatched requests. This inversion simplifies the computational process while providing an accurate activity indicator, as unmatched requests directly reflect pending market activity without requiring complex tracking of all transactions
Data Source
AI summary
An electrical computer system processing architecture for providing an indication of activity in the electrical computer system, the electrical computer system processing architecture comprising a plurality of client computers connected to at least one server by a computer network. Each of the client computers is configured to provide requests to the at least one server. The or each server comprises a store for storing requests provided by the plurality of client computers. The or each server is configured to match complementary requests from the plurality of client computers stored in the store. Following the matching of complementary requests, the or each server counts unmatched requests corresponding to one or other of the complementary requests in the store, and outputs the counted number of unmatched requests to provide the indication of activity in the computer system.