Simulation Gateway Protocol for Trading Algorithm Testing
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Solution Overview
Problem
Existing technologies face challenges in synchronizing external computer processes with market simulations, particularly in optimizing the quality and speed of simulation and testing of trading software tools.
Innovation Solution
The protocol connects a trading computer program with a market simulation program, converting asynchronous trading order data into synchronous data aligned with discrete time steps, enabling efficient inter-process communication and synchronization.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Adaptability or versatility
If asynchronous trading order data is used for inter-process communication, then the trading program can operate independently and flexibly, but the market simulation cannot achieve synchronized calculations at discrete time steps
Solution Approach 1:
A gateway process is introduced as an intermediary component between the trading program and market simulation. The gateway receives asynchronous trading order data from the trading program, converts it into synchronous data format, and delivers it to the market simulation at the appropriate discrete time steps. This mediator enables both independent operation flexibility and synchronization precision to coexist.
Solution Approach 2:
The system transforms the temporal parameter of data transmission by converting asynchronous data (variable timing) into synchronous data (fixed discrete time steps). The gateway process changes the timing parameter of order data, aligning it with the simulation's discrete time step requirements while preserving the original trading logic independence.
2Reliability
If real-time simulation is performed, then the trading program can be evaluated in actual trading conditions, but the simulation time required is too long (8 hours for a trading day)
Solution Approach 1:
The system performs preliminary actions by collecting and buffering trading order data during the simulation process, then processing multiple time steps in batches rather than sequentially in real-time. This allows the simulation to jump through time steps efficiently while maintaining accuracy, significantly reducing total simulation time.
Solution Approach 2:
The gateway process continuously receives and buffers trading order data throughout the simulation runtime, ensuring no data is lost during time jumps. This continuous data collection enables the system to maintain evaluation accuracy while accelerating the simulation through non-real-time processing.
3Manufacturing precision
If data is buffered for synchronization, then discrete time step calculations can be achieved, but data transmission delays may occur
Solution Approach 1:
The system implements periodic action by processing data in discrete time step intervals rather than continuously in real-time. The gateway buffers data and releases it at regular simulation time steps, achieving precise time step alignment while the batching effect reduces overall transmission delays compared to strict real-time processing.
Data Source
AI summary
The disclosed method and system synchronizes information input into a simulation that is used to test a computer program in real time or simulated real time so that the program under test operates in an independent way. The method and system operates a timing protocol to connect one running computer process, a trading computer program, with another running process, a computer program that executes a market simulation.