Transaction Identifiers for Order Book Feed Correlation
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Solution Overview
Problem
Existing electronic market data feeds do not provide sufficient information for market participants to accurately correlate their orders with the current state of the order book, especially when orders are received close together, leading to potential discrepancies and inefficiencies in high-frequency trading algorithms.
Innovation Solution
Generate non-sequential transaction identifiers for each data transaction request, which are included in both private and public data feeds, allowing clients to correlate updates with their specific orders and maintain consistency across different feeds.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Measurement precision
If sequential transaction identifiers are used in electronic data feeds, then the system complexity is reduced, but market participants cannot accurately correlate their orders with order book updates when orders are received close together
Solution Approach 1:
The transaction identifier is segmented into multiple components: a sequence number that increments with each transaction and additional fields that encode information about the transaction type, order book state, and timing. This segmentation allows the identifier to carry sufficient information for accurate order correlation while maintaining a structured format that is manageable in complexity.
Solution Approach 2:
The system transitions from using simple sequential numbers to a multi-dimensional identifier structure that includes sequence numbers, transaction type codes, order book state indicators, and timing information. This dimensional expansion enables precise order correlation by encoding multiple aspects of the transaction context within the identifier itself.
2Loss of time
If transaction identifiers are generated for each data transaction request, then order tracking precision is improved, but the processing time and system complexity increase
Solution Approach 1:
The system pre-generates and caches transaction identifiers before they are needed, or prepares identifier components in advance. This preliminary action reduces the processing time required at the moment of transaction, as the identifier generation is not performed from scratch during the critical transaction processing path.
Solution Approach 2:
The identifier generation system is designed to be self-service, automatically selecting and assembling identifier components without requiring complex external input or validation. The system autonomously manages the identifier creation process, reducing both processing time and operational complexity.
3Stability of the object's composition
If non-sequential transaction identifiers are used to indicate relative processing order, then order book state consistency is improved across multiple feeds, but the difficulty of detecting and measuring transaction order increases
Solution Approach 1:
The system incorporates feedback mechanisms where the transaction identifier includes information about the current order book state and processing position. Market participants can use this feedback embedded in the identifier to accurately determine transaction order and correlate it with their own orders, even when using non-sequential numbering.
Solution Approach 2:
The system uses different identifier formats or components (analogous to color changes) to indicate different transaction types, order book states, and processing priorities. These distinctive identifier characteristics make it easier to detect and measure transaction order by providing visual or structural cues about the transaction's position and state.
Data Source
AI summary
An electronic exchange computing system is provided that includes a computer storage system, at least one transceiver, and a processing system. The storage system stores an electronic order book. The transceiver receives data transaction requests and transmits messages of an electronic data feed. The processing system generates an identifier, which may be referred to as a transaction identifier, for received data transaction requests. The identifier may be generated in a non-sequential and increasing manner such that it is greater than previously generated identifiers. The processing system will process the data transaction request and generate an electronic data feed message based on how data transaction request is handled. The electronic data feed message is sent to client computing system and includes the generated identifier.