Parallel Data Packet Generation for Low-Latency Algorithmic Trading
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Solution Overview
Problem
Current algorithmic trading systems face high latency due to the cumulative latency of feed handling, trading strategy analysis, and order entry processes, which hinders competitive advantage in financial markets.
Innovation Solution
A method for simultaneously generating data packets with order entry messages by synchronizing memory updates across a processing circuit, including directory, static message, and template processing instructions, to reduce latency and improve throughput by processing and routing packets in parallel.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Ease of operation
If general-purpose processors (CPU) are used for generating order entry messages, then ease of operation and programming flexibility are improved, but latency increases due to sequential processing
Solution Approach 1:
The patent replaces the mechanical sequential processing system (CPU executing instructions sequentially) with a parallel processing system using multiple processing circuits that can simultaneously generate different components of order entry messages. This substitution fundamentally changes the processing architecture from sequential to parallel, reducing latency while maintaining programming flexibility through configurable processing circuits.
Solution Approach 2:
The patent segments the order entry message generation process into multiple independent components that can be processed in parallel. Different processing circuits handle different segments (e.g., message header, body, footer) simultaneously, rather than processing the entire message sequentially through a single CPU. This segmentation enables concurrent processing and reduces overall latency.
2Loss of time
If hardware acceleration using logic devices is implemented, then latency is reduced through parallel processing, but device complexity increases
Solution Approach 1:
The patent designs processing circuits with universal functionality that can handle multiple types of processing tasks. The same processing circuit architecture can be configured to perform different operations (e.g., different message formats, different processing logic) by changing configuration data rather than requiring separate dedicated hardware for each function. This multi-functionality reduces device complexity while maintaining low latency through parallel processing.
Solution Approach 2:
The patent implements dynamic reconfigurability in the processing circuits, allowing the hardware to adapt its behavior based on incoming data characteristics and processing requirements. Configuration data can dynamically adjust processing parameters, enabling the same hardware to optimize for different scenarios without physical reconfiguration. This dynamic approach balances hardware complexity with processing flexibility and performance.
3Reliability
If multiple memory accesses and cache operations are performed for packet generation, then data accuracy is improved, but latency increases due to sequential memory operations
Solution Approach 1:
The patent performs preliminary actions by pre-loading configuration data and processing instructions into the processing circuits before actual message generation. Configuration data including message templates, validation rules, and processing logic are prepared in advance and stored in accessible memory locations. This preliminary preparation eliminates the need for repeated memory accesses during critical message generation, reducing latency while maintaining data accuracy through pre-validated configuration data.
Data Source
AI summary
The disclosure relates to methods and systems for simultaneously generating a plurality of data packets to be transmitted across a communication network. Each data packet preferably comprises at least one order entry message forming a data payload. In an embodiment, a plurality of memory update data packets is obtained. Directory entries, static message templates and template processing instruction datasets are updated based on the obtained memory update data packets. All the data packets of the plurality of data packets are simultaneously generated according to a sequence synchronized in parallel. According to the sequence, each data packet is generated by processing a selected updated static message template based on a selected updated template processing instruction dataset for a selected updated directory entry. Therefore, the generated data packets can be simultaneously routed and simultaneously transmitted across the communication network.