Trading System Cancellation Timing Analysis
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Solution Overview
Problem
Traders face limitations in measuring the success rate of canceling previously submitted requests in trading systems, as existing methods primarily rely on percentage success rates, which provide limited information about the timing and specifics of cancellation attempts.
Innovation Solution
A system that calculates and analyzes time differences between the submission of requests to cancel and the corresponding bids or offers, providing detailed metrics on the timing of cancellations and potential issues, such as the cancellation window, to help traders adjust their algorithms and identify system errors.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Ease of operation
If traders use percentage success rates to measure cancellation performance, then the measurement is simple, but the timing and specific performance details are lost
Solution Approach 1:
The patent segments the cancellation performance measurement into multiple independent time intervals (first time interval between bid submission and cancellation request, second time interval between cancellation request and offer submission). This segmentation allows traders to analyze timing-specific performance while maintaining operational simplicity through structured data collection.
Solution Approach 2:
The patent adds a time dimension to the traditional percentage success rate measurement by introducing time interval metrics. This transforms the single-dimensional success rate into multi-dimensional performance data that includes timing information, enabling traders to understand both whether cancellations succeeded and when they occurred relative to bid-offer submissions.
2Measurement precision
If traders implement detailed timing metrics for cancellation analysis, then measurement precision improves, but system complexity increases
Solution Approach 1:
The trading system automatically calculates and stores the time intervals without requiring manual intervention or complex external analysis tools. The system self-provides the timing metrics by capturing timestamps during normal trading operations, reducing the burden on traders while maintaining high measurement precision.
Solution Approach 2:
The system pre-calculates and stores the time interval data during the trading process itself, rather than requiring post-processing or complex real-time analysis. This preliminary action approach simplifies the overall system architecture by embedding the measurement functionality within the existing trading infrastructure.
3Productivity
If traders analyze cancellation timing data to adjust algorithms, then trading efficiency improves, but the difficulty of detecting and measuring increases
Solution Approach 1:
The patent implements a feedback mechanism where the calculated time intervals are provided to traders as actionable information. Traders can use this feedback to adjust their algorithms and strategies, directly improving trading efficiency by learning from their own cancellation performance patterns.
Solution Approach 2:
The system dynamically adapts to different trading scenarios by calculating time intervals based on actual bid-offer submission timing rather than using fixed thresholds. This dynamic measurement approach makes the system more versatile and easier to implement across various trading conditions while maintaining measurement accuracy.
Data Source
AI summary
Methods and corresponding system are provided herewith that, in at least one embodiment, include the act or acts of determining a first instance in which a first request is received by an exchange; determining a second instance in which a second request is received by the exchange, in which the second request defines a request to cancel the first request; determining a third instance in which a third request is received by the exchange, in which the third request corresponds to the first request; calculating a first difference between the second instance and the third instances; storing the first difference to a data storage, in which the data storage comprises a plurality of differences; and analyzing the plurality of differences to generate comparative information.