Trade Message Fee Stamping With Real-Time Client Fee Instructions
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Solution Overview
Problem
Existing electronic trading systems face challenges in efficiently and accurately calculating and collecting fees for trades due to high processing resource usage, memory consumption, and bandwidth requirements, leading to processing bottlenecks and inaccurate fee calculations, which can result in fines from regulatory violations.
Innovation Solution
An electronic trading exchange apparatus with a client database, fee database, and client fee instruction database, which updates client information in real time and generates trade messages including client fee instructions to enable fee calculation without additional information, reducing resource usage and latency.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Measurement precision
If existing post-trade processing methods are used to determine fees based on volume activity and trader category, then fee calculation accuracy can be maintained, but processing time increases and processing bottlenecks occur
Solution Approach 1:
The system pre-calculates and stores fee schedules in a fee schedule database before trade execution, organizing fees by trader category and volume thresholds. This preliminary preparation eliminates the need for complex real-time calculations during post-trade processing, maintaining accuracy while significantly reducing processing time.
Solution Approach 2:
The fee determination process is segmented into discrete, pre-defined categories (trader categories) and volume thresholds. Each segment has predetermined fee rates stored in the database, allowing the system to quickly retrieve and apply the correct fee without performing complex real-time analysis, thus resolving the contradiction between accuracy and speed.
2Measurement precision
If multiple fee schedules and client information schedules are stored and maintained for different trader categories and time periods, then accurate fee determination can be achieved, but memory resources and processing resources are substantially consumed
Solution Approach 1:
The fee schedule database is designed as a universal structure that stores all fee information across different trader categories, volume thresholds, and time periods in a single consolidated database. This multi-functional database serves all fee determination needs without requiring separate storage systems, optimizing memory usage while maintaining comprehensive fee data for accurate determination.
3Reliability
If complex fee calculation processes are performed for each executed trade based on trader category and volume activity, then accurate fee collection can be ensured, but processing bottlenecks and latency occur
Solution Approach 1:
Fee schedules are pre-calculated and stored in the database before trade execution. When a trade is executed, the system simply retrieves the applicable pre-determined fee from the database based on the trader category and volume, rather than performing complex calculations in real-time. This maintains fee collection accuracy while dramatically improving processing throughput.
Solution Approach 2:
The system creates simplified copies of fee determination logic in the form of pre-stored fee schedules in the database. These copies contain all necessary fee information organized by category and volume, allowing rapid retrieval without replicating the complex calculation processes, thus maintaining reliability while increasing productivity.
Data Source
AI summary
System, method, and apparatus may determine exchange and clearinghouse fees for a client to an executed trade based on client fee instructions indicating real time fee rates in a trade message generated by an electronic trading exchange that executes the trade, without any additional information other than information in the trade message.