Risk-Based Transaction Message Prioritization with Exchange Thresholds

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Solution Overview

Problem

Electronic trading systems face challenges in managing transaction messages efficiently, particularly when market conditions change rapidly, leading to excessive quoting that can overwhelm exchange systems, necessitating limits that may hinder timely execution of orders.

Innovation Solution

A method for risk-based or reward-based management of transaction messages is implemented, prioritizing messages based on potential risk or reward, with highest priority levels sent first, and utilizing a priority-based hierarchy with transmission policies and thresholds to manage message resources effectively.

Engineering Contradictions & Design Principles

VSEngineering Contradiction Analysis

1Reliability

If limits or restrictions are imposed on transaction messages to prevent exchange system overload, then exchange system stability is improved, but timely execution of orders may be hindered

Engineering Contradiction:

Improveexchange system stabilityVSAvoidorder execution timing

Core Design Contradiction:

ReliabilityVSLoss of time

Solution Approach 1:

The system dynamically changes message priority parameters based on market conditions, order characteristics, and exchange system state. By adjusting priority levels rather than applying fixed limits, the system can allow high-priority messages to pass through while restricting low-priority ones, thus maintaining system stability without sacrificing timely execution of critical orders

Inventive Principle:

Principle #35Parameter changes

Solution Approach 2:

The message flow is segmented into different priority levels and queues. Instead of treating all messages uniformly, the system divides them into high, medium, and low priority segments, allowing differential handling that protects system stability while ensuring critical messages receive timely processing

Inventive Principle:

Principle #1Segmentation

2Productivity

If automated trading tools are used to increase trading activity, then productivity is improved, but exchange message handling capacity is overburdened

Engineering Contradiction:

Improvetrading activity volumeVSAvoidmessage handling capacity

Core Design Contradiction:

ProductivityVSDevice complexity

Solution Approach 1:

The gateway device dynamically adjusts message transmission parameters such as rate limiting thresholds and priority weights based on exchange system conditions and message characteristics. This allows automated trading to continue at high volumes while the gateway modulates the flow to prevent overwhelming the exchange infrastructure

Inventive Principle:

Principle #35Parameter changes

Solution Approach 2:

The gateway device acts as an intermediary between automated trading tools and the exchange. It introduces intelligent message management functionality that mediates between high-volume automated trading requests and the exchange's handling capacity, filtering and prioritizing messages before they reach the exchange

Inventive Principle:

Principle #24Intermediary (Mediator)

3Speed

If excessive quoting is allowed to reflect rapid market changes, then market responsiveness is improved, but exchange system overload occurs

Engineering Contradiction:

Improvemarket responsivenessVSAvoidmessage traffic volume

Core Design Contradiction:

SpeedVSQuantity of substance

Solution Approach 1:

Inventive Principle:

Principle #35Parameter changes

Solution Approach 2:

The message management system is dynamic rather than static. It continuously adapts priority assignments and transmission rates based on real-time market conditions, message types, and exchange system state, allowing the system to respond to rapid market changes while automatically throttling excessive message traffic

Inventive Principle:

Principle #15Dynamics

Data Source

PatentUS20250272752A1Systems and methods for risk-based prioritized transaction message flow

Publication Date: 2025.08.28 TRADING TECHNOLOGIES INTERNATIONAL INC

AI summary

Various systems and methods are provided for prioritized sending of transaction messages to an electronic exchange. According to one embodiment, a system determines a priority level for each transaction message based on a potential monetary reward or risk associated with sending or delaying the message. Once the priority levels are determined, the messages may be sent based on the priority levels. Additionally, each priority level may be associated with a predetermined threshold level. If a message threshold is reached, a new message corresponding to that priority level is queued until the message may be transmitted without exceeding the threshold limit.