Throttling Modification Messages in Electronic Trading
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Solution Overview
Problem
Electronic trading systems face challenges in managing trade orders, as they often require orders to remain in the market for a specified period before modifications can be accepted, leading to rejected modification messages and increased processing load.
Innovation Solution
Intelligently throttling modification messages by selecting a transmission time based on the period a trade order must remain in the market, ensuring the modification order is received at or shortly after the expiration of this period, thereby avoiding rejection.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Speed
If modification messages are sent immediately to change trade orders, then the responsiveness of the trading system is improved, but the electronic exchange rejects modification messages received before the required period expires, causing increased processing load and message resending
Solution Approach 1:
The trading device calculates and determines the optimal transmission time for modification messages before sending them. By preliminarily computing when the required period will expire and scheduling the modification message transmission accordingly, the system ensures messages are sent at the precise moment they will be accepted, avoiding rejection while maintaining responsiveness.
Solution Approach 2:
The system uses feedback from the electronic exchange regarding message acceptance status to adjust future modification message timing. When modification messages are rejected due to premature transmission, the trading device learns from this feedback and refines its timing calculations to prevent future rejections, reducing processing load and message resending.
2Stability of the object's composition
If the electronic exchange requires trade orders to remain in the market for a specified period, then market stability is improved, but modification messages received during this period are rejected, increasing processing load and reducing efficiency
Solution Approach 1:
The trading device preliminarily calculates the expiration time of the required period and schedules modification messages to be transmitted exactly when the period expires. This preliminary timing action ensures that modification messages are never sent during the restricted period, eliminating rejections and unnecessary processing while maintaining market stability.
Solution Approach 2:
The system skips the restricted period during which modification messages would be rejected, by calculating ahead and sending messages only after the period expires. This approach rushes through the waiting period efficiently without attempting futile modification transmissions, thereby improving processing efficiency while respecting market stability requirements.
3Ease of operation
If modification messages are resent after rejection, then the trade order can eventually be modified, but the processing load increases and time is wasted
Solution Approach 1:
The trading device performs preliminary calculations to determine the exact transmission time for modification messages before sending them. By anticipating the expiration of the required period and scheduling messages accordingly, the system ensures first-attempt success, eliminating the need for resending and avoiding time loss.
Solution Approach 2:
The system serves itself by automatically calculating optimal transmission times and sending modification messages without human intervention or retry logic. The automated timing mechanism ensures messages are sent at the precise moment of acceptance, eliminating the need for manual resending operations and reducing time waste.
Data Source
AI summary
The present embodiments relate to intelligently throttling a modification message based on a period of time that a trade order is required to remain in a market. In an embodiment, intelligently throttling a modification message includes intelligently selecting a transmission time of a modification message based on a period of time that a trade order is required to remain in a market. The modification message is transmitted at the selected time to ensure that the modification order is received at an electronic exchange at or shortly after, but not before, the period of time has expired. As a result, the modification order is accepted (e.g., not rejected) by the electronic exchange. The modification order does not need to be resent to the electronic exchange.