Electronic Trading Data Distribution via Segmented Market Feeds
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Solution Overview
Problem
In electronic trading systems, especially in bilateral credit markets like spot foreign exchange, information disparity arises due to varying credit relationships among participants, leading to unequal access to market data, which can result in unfair advantages and inefficiencies, and existing solutions like multicast protocols and encryption add complexity and latency.
Innovation Solution
A system that generates two messages: a public market data feed and a private message with an order identifier, allowing market participants to filter their order books, ensuring all participants receive market data simultaneously and maintaining anonymity by pre-allocating order IDs based on credit relationships.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Loss of information
If multicast protocol is used to distribute market data to all participants, then information dissemination is achieved, but information disparity occurs due to varying credit relationships among participants
Solution Approach 1:
The market data feed is segmented into two types: public market data visible to all participants, and private market data filtered based on credit relationships. This segmentation allows the system to maintain both broad information dissemination and targeted access control without requiring complex individualized processing for each participant.
Solution Approach 2:
The system pre-allocates order identifiers to participants based on their credit relationships before trading occurs. This preliminary action enables the feed engine to efficiently filter and distribute appropriate market data without real-time complex decision-making, reducing latency while maintaining access control.
2Reliability
If encryption is implemented to protect private market data, then security is improved, but latency increases
Solution Approach 1:
Instead of encrypting the entire market data feed for private distribution, the system creates a simplified copy containing only essential order identifier information. This copy is sent privately to participants, allowing them to filter the public feed without requiring complex decryption processes, thus maintaining security while minimizing latency.
3Ease of operation
If tailored order books are prepared for each participant based on credit relationships, then access control is improved, but system complexity and processing time increase
Solution Approach 1:
The system extracts only the critical filtering information (order identifiers of accessible orders) from the complete market data and sends this minimal necessary information privately to each participant. Participants then apply this filter to the public market data themselves, eliminating the need for the exchange to prepare and maintain complex tailored order books for each participant while preserving accurate access control.
Data Source
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Figure 2
Figure 3A~3C
AI summary
Systems and methods are provided for managing electronic messages to ensure fair and equitable distribution of information. Two electronic messages are generated by an electronic trading system. A first message includes relevant details of a change of state in an electronic order book due to a received order from a participant. The second message only includes an order identifier corresponding to the first message. The first message is multicast to all market participants. The second message is privately transmitted only to market participants that may access or act upon the received order as a result of a prior relationship with the participant that submitted the received order. After receiving both messages, market participants that may access or act upon the received order may screen an entire order book so that they may identify which orders in the market are available for that market participant to access or act upon.