Selective Database Message Delay for Trading Systems
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Solution Overview
Problem
Electronic marketplaces and trading systems face challenges in fast and efficient data processing due to conflicts between new data arriving at different rates, leading to undesirable latency and processing inefficiencies, particularly when dealing with orders that require immediate execution.
Innovation Solution
A method and system that identify 'post-only' orders meeting specific conditions, such as minimum volume, to bypass delays, while delaying other data messages by calculating a variance-based delay, ensuring timely processing of liquidity-increasing orders without latency issues.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Speed
If all new data messages are processed immediately upon receipt, then data processing speed is improved, but conflicts arise with other new data arriving more slowly and processing may be contingent on data not yet received
Solution Approach 1:
The patent segments incoming data messages into two categories: those meeting bypass conditions (processed immediately) and those not meeting bypass conditions (delayed and processed later). This segmentation resolves the contradiction by allowing critical messages to be processed at high speed while non-critical messages are handled in a controlled, conflict-free manner.
Solution Approach 2:
The patent implements dynamic processing where the treatment of each data message is determined by real-time evaluation of bypass conditions. Messages are dynamically routed to either immediate processing or delayed processing based on their characteristics and current system state, optimizing both speed and reliability adaptively.
2Loss of time
If data processing is performed immediately, then latency is reduced, but conflicts with other new data and processing inefficiencies occur
Solution Approach 1:
The patent divides the data processing stream into immediate-processing messages and delayed-processing messages based on bypass condition evaluation. This segmentation eliminates conflicts that would reduce productivity while maintaining minimal latency for critical messages that require immediate handling.
Solution Approach 2:
Different processing qualities are applied to different messages: messages meeting bypass conditions receive immediate processing with minimal latency, while other messages receive delayed processing to ensure system efficiency. This local quality differentiation resolves the contradiction between latency and productivity.
3Speed
If post-only orders are processed without delay, then liquidity-increasing orders are executed timely, but other data messages experience increased latency
Solution Approach 1:
The patent segments orders into post-only orders (meeting bypass conditions) and other orders. Post-only orders are processed immediately to ensure timely execution of liquidity-increasing trades, while other orders are delayed and processed in a controlled manner, minimizing overall system conflicts and improving total productivity.
Data Source
AI summary
Received data messages are delayed for further processing based on a bypass condition. Data messages that conform to the bypass condition are not delayed. Data messages that do not conform to the bypass condition are delayed by a delay. Data messages can be representative of orders in an electronic marketplace or trading system. The bypass condition can include indication of a post-only order. The bypass condition can further include indication of a volume that meets or exceeds a minimum volume. The delay can be calculated from a base delay and a variance that modifies the base delay. The variance can be randomly or pseudo-randomly selected and can conform to a maximum variance.