Trading System Data Distribution via Time Slot Assignment
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Solution Overview
Problem
In trading systems, the unfair distribution of quotes due to relative delays between trader devices leads to perceptions of unfairness and credibility issues, particularly in fast-moving markets where proximity to the distribution device affects the timing of quote reception, causing some traders to miss opportunities.
Innovation Solution
The system divides the data distribution period into time slots, assigns traders randomly to these slots, and calculates and sends data within each slot, with the option to swap adjacent slots periodically to maintain fairness and reduce long-term firing proximity.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Speed
If data is distributed continuously to all traders without time slots, then data delivery speed is maximized, but fairness deteriorates because traders closer to the distribution device receive data first
Solution Approach 1:
The continuous data distribution process is segmented into discrete time slots, with each trader assigned to a specific slot. This segmentation ensures that data is distributed in a structured, fair sequence rather than continuously to all traders simultaneously, resolving the fairness issue while maintaining efficient data delivery.
Solution Approach 2:
The system dynamically assigns traders to time slots based on their proximity to the distribution device. Traders closer to the device are assigned to later slots, while those farther away receive earlier slots. This dynamic assignment ensures fairness is maintained while adapting to the physical layout of the trading system.
2Reliability
If traders are assigned fixed time slots, then fairness is improved by ensuring uniform data distribution, but adaptability deteriorates because traders cannot adjust to changing market conditions
Solution Approach 1:
The system periodically redistributes traders into time slots rather than maintaining fixed assignments. This periodic reassignment maintains fairness over time while allowing the system to adapt to changing conditions, as traders get periodic opportunities to be reassigned to more favorable slots based on current system state.
3Productivity
If data is calculated and sent immediately without time slot delays, then productivity is maximized, but computation-to-delivery latency worsens causing unfair advantages
Solution Approach 1:
The system performs preliminary actions during each time slot by calculating which trader should receive data next and preparing the data distribution plan. This preliminary organization within time slots reduces overall computation-to-delivery latency by avoiding last-minute decision-making, while still maintaining high productivity through efficient batch processing.
Data Source
AI summary
In a trading system market data from a matching engine is distributed by a broker to a plurality of trading floors repeatedly every T seconds, typically one second. This one second distribution period is divided into a plurality of time slots and each trading floor is randomly assigned to a slot. Data for a given trading floor is calculated and distributed during the time slot assigned to that floor. The position of a trading floor relative to others is varied by swapping a pair of adjacent time slots every J distribution periods.