WO2011034667A1 - Method and system for enhancing the efficiency of a digitally communicated data exchange - Google Patents
Method and system for enhancing the efficiency of a digitally communicated data exchange Download PDFInfo
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- WO2011034667A1 WO2011034667A1 PCT/US2010/044587 US2010044587W WO2011034667A1 WO 2011034667 A1 WO2011034667 A1 WO 2011034667A1 US 2010044587 W US2010044587 W US 2010044587W WO 2011034667 A1 WO2011034667 A1 WO 2011034667A1
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
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- H—ELECTRICITY
- H03—ELECTRONIC CIRCUITRY
- H03M—CODING; DECODING; CODE CONVERSION IN GENERAL
- H03M7/00—Conversion of a code where information is represented by a given sequence or number of digits to a code where the same, similar or subset of information is represented by a different sequence or number of digits
- H03M7/30—Compression; Expansion; Suppression of unnecessary data, e.g. redundancy reduction
- H03M7/40—Conversion to or from variable length codes, e.g. Shannon-Fano code, Huffman code, Morse code
Definitions
- the present invention relates to a method for enhancing the efficiency of digitally communicated data exchanges and to a computer system that implements such a method.
- the invention particularly concerns the use of adaptive custom compression techniques, binary integers ("bits"), massively parallel processing, database optimization techniques and/or calculation optimization techniques to achieve such enhanced efficiency.
- the invention is applicable to any digitally communicated data exchange, but is particularly applicable to exchanges of financial information such as financial market buy/sell orders, market making, etc.
- FIX Adapted for STreaming FAST SM
- FAST SM FIX Adapted for STreaming
- FIX Protocol is an improvement over prior financial communication technologies it remains in many ways inadequately suited to evolving market volumes and transaction needs.
- the typical scenario that FIX was designed to address involves two parties to a financial transaction setting up a point-to-point communications link in order to exchange messages formatted according to a FIX protocol.
- the present invention is directed to this and other goals, particularly as achieved using an enhancement strategy that involves compression (custom, adaptive or adaptive custom), binary integers ("bits") as the native language of some or all of the system, massively parallel processing, database optimization, and/or calculation optimization.
- FIX Protocol uses American Standard Code for Information Interchange (ASCII) to encode information from English into binary.
- ASCII American Standard Code for Information Interchange
- the present invention relates to a method for enhancing the efficiency of digitally communicated data exchanges and to a computer system that implements such a method.
- the invention particularly concerns the use of adaptive custom compression techniques, binary integers ("bits"), massively parallel processing, database optimization techniques and/or calculation optimization techniques to achieve such enhanced efficiency.
- the invention is applicable to any digitally communicated data exchange, but is particularly applicable to exchanges of financial information such as financial market buy/sell orders, market making, etc.
- the invention provides a computer-implemented method for enhancing the efficiency of digitally communicating a financial message from a first computer to a second computer, which method comprises the steps:
- the invention further concerns the embodiment(s) of such computer-implemented method, wherein the data compression technique additionally employs massively parallel processing; and/or wherein the data compression technique additionally employs a database optimization technique, and/or wherein the data compression technique additionally employs a calculation optimization technique.
- the invention further concerns the embodiments of such computer-implemented methods, wherein the first computer is a Client Computer and the second computer is a Broker Computer in digital communication with the Market Exchange; or wherein the first computer is a Broker Computer and the second computer is a Market Exchange Computer.
- the invention further concerns the embodiment of such computer- implemented methods, wherein the first computer is a Gateway Computer of a Broker Computer and the second computer is a Risk Management System Computer of a Broker Computer; or wherein the first computer is a Gateway Computer of a Market Exchange and the second computer is a Matching Engine Computer of a Market Exchange Computer.
- the invention further concerns the embodiment of such computer-implemented methods, wherein the financial message is executed at the Market Exchange.
- the invention further concerns the embodiment of such computer-implemented methods, wherein the data compression technique is customized to encode the financial message into a coded version having at least 80% efficiency, or wherein the data compression technique is customized to encode the financial message into a coded version having at least 90% efficiency.
- the invention further concerns the embodiment of such computer-implemented methods, wherein the data compression technique is customized to encode the financial message into a message that is at least 50% shorter than a message communicating the unencoded financial message.
- the invention further concerns the embodiment of such computer-implemented methods, wherein the data compression technique is customized to encode the financial message into a message that is at least 5-fold shorter than a message communicating the unencoded financial message.
- the invention further concerns the embodiment of such computer-implemented methods, wherein the data compression technique is customized so that the coding scheme allocates shorter codes to order-units having a higher p-value, and longer codes to order-units having a lower p-value present in the unencoded financial message.
- the invention further concerns the embodiment of such computer-implemented methods, wherein the data compression technique is adaptive to permit the coding scheme to adjust over time to allocate shorter codes to order-units having a higher p-value, and longer codes to order-units having a lower p-value present in both the unencoded financial message and in at least one previously communicated financial message.
- the data compression technique is adaptive to permit the coding scheme to adjust over time to allocate shorter codes to order-units having a higher p-value, and longer codes to order-units having a lower p-value present in both the unencoded financial message and in at least one previously communicated financial message.
- the invention further concerns the embodiment of such computer-implemented methods, wherein the data compression technique employs an Arithmetic Algorithm or a Huffman Algorithm.
- the invention further concerns the embodiment of such computer-implemented methods, wherein the Broker Computer decodes the coded version of the financial message and then communicates the resultant unencoded version of the financial message to the Market Exchange.
- the invention further concerns the embodiment of such computer-implemented methods, wherein the Broker Computer employs a data compression technique to establish a Broker coding scheme and employs the Broker coding scheme to produce a Broker coded version of the financial message based on order-units present in the financial message and in at least one other financial message that is to be communicated by the Broker to the Market Exchange.
- the invention further concerns the embodiment of such computer-implemented methods, wherein the data compression technique employed by the Broker Computer is customized so that the coding scheme allocates shorter codes to order-units having a higher p- value, and longer codes to order-units hav ing a lower p-value present in the financial message and in the at least one other financial message that is to be communicated by the Broker Computer to the Market Exchange.
- the invention further concerns the embodiment of such computer-implemented methods, wherein the data compression technique employed by the Broker Computer is adaptive so that the coding scheme is adjusted over time to allocate shorter codes to order- units having a higher p-value, and longer codes to order-units having a lower p-value present in both the unencoded financial message and in at least one previously communicated financial message.
- the invention further concerns the embodiment of such computer-implemented methods, wherein the financial message is an offer for purchase or sale of a financial interest.
- the invention further concerns a computer-implemented method for enhancing the efficiency of digitally communicating and fulfilling, a financial message from a first computer to a second computer, which method comprises the steps:
- the invention further concerns the embodiments of such computer-implemented methods wherein the financial message is a communication pertaining to financial information.
- the invention particularly concerns the embodiments of such computer- implemented methods wherein the financial message is: a request for information relating to a financial interest, a request for information relating to the status of a financial interest, a request for information relating to the value of a financial interest, a request for information relating to news concerning a financial interest; an offer for purchase of a financial interest, an offer for sale of a financial interest, an agreement to purchase a financial interest, or an agreement to sell a financial interest, a communication responding to any such requests, a communication confirming the execution of any such order, or a communication confirming any such agreement.
- the invention particularly concerns the embodiments of such computer- implemented methods wherein the financial message is selected from the group consisting of an order to buy a stock, an order to sell a stock, and an order for a futures contract (e.g., an order to purchase a futures contract and an order to sell a futures contract, an order to sell short and an order to buy to cover, etc.).
- a futures contract e.g., an order to purchase a futures contract and an order to sell a futures contract, an order to sell short and an order to buy to cover, etc.
- the invention further concerns the embodiment of such computer-implemented methods, wherein the financial message is an agreement to purchase or sell a financial interest, or a confirmation thereof.
- the invention further concerns a computer system, comprising a first and a second computer, in digital communication with one another, wherein the computer system is specially adapted for enhancing the efficiency of digitally communicating a financial message, and wherein:
- the first computer employs a data compression technique to establish a coding scheme and employs the coding scheme to produce a coded version of the financial message based on order-units present in the financial message, wherein the message length of the coded version of the financial message is shorter than the message length of the unencoded financial message;
- the second contains a stored copy of the database and, upon receiving the coded version of the financial message, employs the stored database to decode the coded version of the financial message.
- the invention further concerns the embodiment(s) of such computer system wherein the data compression technique is:
- the invention further concerns the embodiment(s) of such computer systems wherein the first computer is a Client Computer and the second computer is a Broker Computer in digital communication with the Market Exchange; or the first computer is a Broker Computer and the second computer is a Market Exchange Computer.
- the invention further concerns the embodiment of such computer systems wherein the first computer is a Client computer and the second computer is a Broker Computer in digital communication with the Market Exchange, and wherein the Broker Computer employs a data compression technique to establish a Broker coding scheme and employs the Broker coding scheme to produce a Broker coded version of the financial message based on order-units present in the financial message and in at least one other financial message that is to be communicated by the Broker to the Market Exchange.
- the invention particularly concerns the embodiments of such computer systems wherein the first computer is a Gateway Computer Node of a Broker Computer and the second computer is another Node (e.g., a Risk Management Node) of that Broker Computer; or wherein the first computer is a Gateway Computer Node of a Market Exchange and the second computer is a Matching Engine Computer Node of the Market Exchange Computer.
- the first computer is a Gateway Computer Node of a Broker Computer and the second computer is another Node (e.g., a Risk Management Node) of that Broker Computer; or wherein the first computer is a Gateway Computer Node of a Market Exchange and the second computer is a Matching Engine Computer Node of the Market Exchange Computer.
- the invention further concerns the embodiment(s) of such computer systems wherein the data compression technique employed by the Broker Computer is:
- (B) adaptive so that the coding scheme is adjusted over time to allocate shorter codes to order-units having a higher p-value, and longer codes to order-units having a lower p-val e present in both the unencoded financial message and in at least one previously communicated financial message.
- the invention further concerns the embodiments of such computer systems wherein the Market Exchange Computer executes the financial message. Brief Description of the Drawings:
- Figure 1 illustrates exemplary system architecture of an embodiment of the present invention in which an adaptive customized database is employed to facilitate communication of a financial message between a First Computer (100) and a Second Computer (200).
- Figure 2 shows the results of the use of the Huffman algorithm on the set of hypothetical financial messages in Table 2 as a coding tree. Symbols used in the coding scheme are shown in filled circles, and frequencies are shown in open rectangles. The sum of the frequencies for each branch equals the frequency of the next highest branch ⁇ e.g., the sum of the frequencies of symbols "a" and "t" in the hypothetical set of orders is 79).
- Figures 3A and 3B shows the results of the use of the Huffman algorithm on the set of hypothetical financial messages in Table 3 as a coding tree. Words used in the coding scheme are shown as letters in filled rectangles, and frequencies are shown in open rectangles. The sum of the frequencies for each branch equals the frequency of the next highest branch ⁇ e.g., the sum of the frequencies of symbols "[paragraph]" and "buy” in the hypothetical set of orders is 60 ( Figure 3B).
- Figures 4A-4E illustrate computer networks capable of employing the methods of the present invention. Connections shown with in dark fill indicate connections employing the methods of the present invention.
- the present invention relates to a method for enhancing the efficiency of digitally communicated data exchanges, and to computer system that implements such a method.
- the invention particularly concerns such methods and systems in which the enhanced efficiency is achieved using any of the following enhancement strategies:
- bits binary integers as the native language of some or all of the system
- the invention contemplates methods and systems that employ only one of these enhancement strategies, as well as methods and systems that conjunctively ⁇ i.e., sequentially or simultaneously) employ any 2 of these strategies, any 3 of these strategies, any 4 of these strategies, or all 5 of these strategies.
- data refers broadly to digitally processable information.
- information denotes the valued content of the data (i.e., information within data).
- Such information may include financial information," which is information that pertains to the value, nature, duration, conditions, or other parameters relevant to information affecting a "financial interest” (e.g., a stock, an option position, a futures position, cash, a negotiable or non-negotiable instrument, a commodity, a bond, a note, etc.).
- financial information is information that pertains to the value, nature, duration, conditions, or other parameters relevant to information affecting a "financial interest” (e.g., a stock, an option position, a futures position, cash, a negotiable or non-negotiable instrument, a commodity, a bond, a note, etc.).
- financial information is information that pertains to the value, nature, duration, conditions, or other parameters relevant to information affecting a "financial interest” (e.g., a stock, an option position, a futures position, cash, a negotiable or non-nego
- Examples of a financial message include a request for information relating to a financial interest or the status, value of or news regarding such an interest; the provision of information responsive to such a request; an offer for purchase of a financial interest; an agreement to purchase a financial interest; an offer for sale of a financial interest; an agreement to sell a financial interest; a message requesting or confirming or updating the status of a previous financial message, price information relating to a financial interest, news relevant to any aspect of a Market Exchange, etc.
- a "data exchange” is a data communication between two or more nodes of a communication network that conveys information.
- data exchanges may be a one-way communication (in which data is communicated from one node of the communication network to one or more nodes, without any receiving response).
- data exchanges may be a two-way communication (in which data is communicated from one node of the communication network to one or more nodes, and engenders a receiving response).
- Such exchanges may be direct (from the originating node to the ultimate desired recipient node) or may be indirect (in which one or more intervening nodes receive and relay the data from the originating node to the ultimate desired recipient node).
- data exchanges relevant to a financial interest e.g., a request for a status update and the responsive update, etc.
- a plurality of computer devices configured to digitally communicate with one another comprises a "computer system.”
- the computer system may be of any type and/or form of network and may include any of the following: a point to point network, a broadcast network, a wide area network, a local area network, a telecommunications network, a data communication network, a computer network, an ATM (Asynchronous Transfer Mode) network, a SONET (Synchronous Optical Network) network, a switched fabric network (e.g., an INFINI BAND® switched fabric network), a SDH (Synchronous Digital Hierarchy) network, a wireless network, and a wireline network.
- ATM Asynchronous Transfer Mode
- SONET Synchronous Optical Network
- switched fabric network e.g., an INFINI BAND® switched fabric network
- SDH Synchronous Digital Hierarchy
- the computer system may comprise a wireless link, such as an infrared channel or satellite band.
- the network may have any topology (e.g., a bus, star, or ring topology, etc.).
- the computer system and computer system topology may be of any such computer system or computer system topology as known to those ordinarily skilled in the art capable of supporting the operations described herein.
- Connections and networks included in the connections may comprise the Internet, local networks, web servers, file servers, routers, databases, computers, servers, network appliances, cell phones or any other computing devices capable of sending and receiving data, especially digital data.
- the computer system may comprise computing devices connected via cables, IR ports, wireless signals, or any other means of connecting multiple computing devices.
- the computer system and any devices connected to the computer system may communicate via any communication protocol used to communicate among or within computing devices, including without limitation SSL, HTML, XML, RDP, ICA, FTP, HTTP, TCP, IP, UDP, IPX, SPX, NetBIOS, NetBEUI, SMB, SMTP, Ethernet, ARCNET, Fiber Distributed Data Interface (FDDI), RS232, IEEE 802.1 1 , IEEE 802.1 1 a, IEE 802.1 1 b, IEEE 802.1 lg, IEEE 802. 1 1 ⁇ , and direct asynchronous connections, or any combination thereof.
- the computer system may comprise mobile telephone networks utilizing any protocol or protocols used to communicate among mobile devices, including AMPS, TDMA, CDMA, GSM, EDGE, GPRS or UMTS.
- the enhanced efficiency of digitally communicating such data exchanges provided by the present invention may be described in terms of reducing the "latency" of financial message execution.
- latency has multiple definitions in the art, for example, denoting the time required to send an amount of data one way, or the time required to send data round-trip.
- the amount of data used to measure latency can also vary and will affect the latency time.
- latency denotes the time it takes to send information from one location to another.
- the enhanced efficiency of digitally communicating such data exchanges provided by the present invention may be measured by any convenient means, e.g., in terms of the maximum number of transactions processable per unit time, or the average size (memory load) per transaction, etc.
- the methods of the present invention will provide at least a 5% enhancement of data exchange efficiency, more preferably, at least a 10% enhancement of data exchange efficiency, more preferably, at least a 20% enhancement of data exchange efficiency, more preferably, at least a 50% enhancement of data exchange efficiency, more preferably, at least a 2-fold enhancement of data exchange efficiency, more preferably, at least a 5-fold enhancement of data exchange efficiency, more preferably, at least a 10-fold enhancement of data exchange efficiency, more preferably, at least a 20-fold enhancement of data exchange efficiency, and more preferably, at least a 50-fold enhancement of data exchange efficiency, all relative to the efficiency achieved in the absence of the present invention.
- the present invention achieves such enhanced efficiency of digitally communicating such data exchanges using a custom compression technique, an adaptive compression technique, or most preferably, an adaptive custom compression technique, to produce a coding scheme.
- a custom compression technique as applied to a compression technique denotes that the employed compression technique is capable of producing a coding scheme that is capable of permitting the communication of data in a manner that is more efficient than ordinary language (e.g., English, ASCII, etc.).
- Such "custom" compression techniques will typically be established for particular types of data (e.g., to produce a coding scheme customized to communicate "financial information," etc.).
- the term "adaptive" as applied to a compression technique denotes that the employed compression technique is capable of producing a coding scheme that is capable of changing to communicate expected future information with increased efficiency. In one embodiment, this may be accomplished by changing the coding scheme in response to actual information being communicated or in response to changes in expected information to be communicated in the future. Most preferably, the employed compression technique will be an adaptive, custom compression technique.
- Entropy is herein defined as the average information content one is missing when one does not know the value of a random variable (see, Shannon, C. ( 1949) "A Mathematical Theory of Communication " In: “THE MATHEMATICAL THEORY OF COMMUNICATION,” Shannon, C. et ai. The University of Illinois Press, Urbana. 1L, pp. 1 -54). Lower entropy means that the data is more redundant, and therefore more compressible. Conversely, higher entropy means that the data is less redundant, and therefore less compressible.
- Entropy can be measured and calculated in several ways, which are commonly differentiated by "order.”
- An "order-unit” is a unit that is encoded (e.g., a symbol, digram, trigram, higher- order multigram, word, term, message, basket, etc.).
- the first-order entropy which takes into account only the frequency of individual symbols, is - plg/?.
- order-unit frequency denotes the frequency with which a particular order-unit (based on the employed order of entropy) appears in data.
- An “order-unit frequency” can be, for example, a “symbol frequency” (i.e., a number, letter or character), a “digram frequency” (i.e., the frequency of combinations of two symbols, e.g., “aa”, “ab”, etc.), a “trigram frequency” (i.e., the frequency of combinations of three symbols, e.g., “aaa”, “aab”, etc.), a “higher order multigram frequency” (i.e., the frequency of combinations of four or more symbols), a "word frequency” (i.e., a collection of symbols that comprise words, e.g., "buy”, “sell”, “100”, etc.), a “term frequency” (i.e., a collection of words, e.g., "buy 100 shares,” etc.), a "symbol frequency
- a coding scheme that takes only individual symbol frequencies into account cannot be more efficient than first-order entropy.
- the hierarchical entropy order of the coding scheme increases, the number of codes needed to communicate that message between two or more nodes decreases and the length of the message (in bits) decreases.
- the population of the universe of codes increases. It is preferred to employ a coding scheme that employs the highest hierarchical entropy order feasible in light of the memory requirements needed to store the coding scheme.
- Coding efficiency, communication performance, and/or processing performance can be improved by using a custom coding scheme that is optimized for the expected information to be communicated rather than a coding scheme designed for general English usage, such as ASCII.
- the first-order entropy of the English language is approximately 4 bits per character based on normal English text. Financial information is usually far more redundant than general English text, and therefore has lower entropy and is thus more compressible than general English text.
- a coding scheme can be further optimized for the expected future information.
- an algorithm is used to predict and determine such expected p- value (e.g., symbol frequency, word frequency, etc.).
- such an algorithm is implemented in real-time, thereby allowing the system to immediately adapt to changes in observed information communicated.
- the algorithm preferably uses a simple moving average or a weighted moving average based on previously communicated financial messages.
- An example of a weighted moving average is an average that is "time weighted," and which would therefore apply more or less weight to more recent financial messages.
- an advanced prediction model such as a neural network, bayesian learning, and/or other artificial intelligence methods may be used to form a very sophisticated model for expected p-values.
- p-values can be based on any scalar or metric that the Client, Broker, Market Exchange, etc. desires.
- p-values may be set using an importance scale that ranks order-unit values from those most important to a trader's goals to those least important to a trader's goals. If a certain order-unit value is more critical or time sensitive than another order-unit value, it could be assigned a greater relative p-value.
- messages to cancel a previously sent order would be given a higher p value than an order to buy or sell.
- the scale that one chooses to use to determine p value can be based upon one or more quantitative metric(s), one or more qualitative metric(s) or both one or more quantitative and one or more qualitative metric(s).
- an "unencoded” financial message denotes a financial message prior to the application (or, as discussed below, the further application) of a coding scheme based upon the p-values of order-units in the message.
- An "unencoded" financial message may thus be in a human linguistic language ⁇ e.g., English, German, Japanese, etc.), or in a coding scheme (such as ASCII, FIX. etc.) that is not based upon the p-values of order- units in the message.
- an "unencoded" financial message or order may be in a coding scheme that is based upon the p-values of an order-unit in the message, provided that the applied custom compression technique is employed to encode the financial message in a coding scheme that is based upon the p-values of a higher order-unit in the message.
- messages are communicated between two computers or among two or more computers of a network in digital communication with one another and are coded using one coding scheme or multiple coding schemes.
- the computers may be a client computer ("Client” or “Client Computer"), a broker computer ("Broker” or “Broker Computer”), or a "Market Exchange.”
- a "Client Computer” is a computer that, for example, initiates a communication on behalf of an account holder.
- a “Broker Computer” is a computer of an intermediary that, for example, communicates the request of a client to a Market Exchange Computer.
- Market Exchange denotes a computer of a Market Exchange, Dark Pool, Electronic Communications Networks (ECNs), etc., which is typically a terminal node of a financial network structure.
- the client computer (“Client”) and the broker computer (“Broker”) would each maintain a synchronized database, herein referred to as the "Client- Broker Databases.”
- the coding scheme would be sent to the other location of the database.
- the Client could calculate the most efficient new coding scheme for a message to be communicated, then add the new coding scheme to the database, and then send the encoded message to the Broker.
- the Client could use a preexisting coding scheme (formed, for example, using prior financial messages) in the Client-Broker Database to encode and then send the message to the Broker.
- the Client could modify a coding scheme that already exists in the database, the database would then communicate the changes to the coding scheme to the other location of the database, and then the Client would send the message encoded with the modified coding scheme to the Broker.
- the Client or Broker would determine the most efficient way to communicate the message information, taking into account the expected frequency that a coding scheme will be used, the size of data that needs to be communicated to add or change the database, and the size of the message that communicates the originally intended information such as an order to buy or sell.
- the invention contemplates the use of a coding algorithm to form a coded database of order-units.
- a coding algorithm is a "Huffman Algorithm" (Huffman, D.A. ( 1952) "A Method for the Construction of Minimum-Redundancy Codes ' ", Proc. I.R.E., September, pp 1098- 1 102; Hashemian, R., ( 1993) "High Speed Search And Memory Efficient Huffman Coding," IEEE International Symposium on Circuits and Systems, 1SCAS '93, Volume 1 , pp. 287-290; Hashemian, R.
- Huffman Algorithm may alternatively be employed.
- other compression algorithms may be employed in lieu of the Huffman Algorithm and its variants, provided that their use increases the efficiency of data exchange in accordance with the present invention.
- Alternative coding schemes may also be employed in accordance with the present invention
- the employed coding algorithm may be an "Arithmetic Algorithm.”
- Arithmetic Algorithms are provided in United States Patents Nos. 4, 122,440; 4,286,256; 4,467,317; 4,652,856; 4,891 ,643; 4,905,297; 4,933,883; 4,935,882; 4,989,000; 5,099,440; and 5,272,478.
- a sequence of symbols can be represented as a rational number between 0 and 1 in base 3, where each digit represents a symbol (e.g., the sequence "ABBCAB" could become 0.01 1201 base-3).
- the next step is to encode this ternary number using a fixed-point binary number of sufficient precision to recover it, such as 0.00101 1001 base-2 - this is only 9 bits, 25% smaller than the naive block encoding. This is feasible for long sequences because there are efficient, in-place algorithms for converting the base of arbitrarily precise numbers. Finally, knowing the original string had a length of 6, one can simply convert back to base 3, round to 6 digits, and recover the string. [0053] In one embodiment, the same coding scheme may be employed in both directions of a two-way communication (e.g. , from Client to Broker, Broker to Client; Broker to Exchange, Exchange to Broker).
- the invention thus contemplates the use of a coding algorithm to form a coded database of order-units that allocates shorter codes to order-units having a higher p-value, and longer codes to order-units having a lower p-value.
- an initial database is formed based on anticipated p-values (for example, assigning higher p-values to more commonly traded securities, more common messages, etc.).
- the initial database is formed based on the experienced past history of traded securities, messages, etc. using the experienced p-val es of such transactions.
- the initial database is preferably refined, either in real-time, or at interval (e.g. , once each hour, daily, after every 1 ,000 messages, etc.) to adapt to the p-values of actually occurring messages.
- the database is preferably stored in computer memory and shared, as discussed herein, with other computers or computer nodes of the network.
- the present invention alternatively or additionally achieves such enhanced efficiency of digitally communicating such data exchanges using binary integers ("bits") as the native language of some or all of the system .
- bits binary integers
- information is converted into bits and then re-converted back into a human-perceptible language (e.g. , ASCII, etc.).
- binary integers '"bits
- a human linguistic language e.g. , English, German, Japanese, etc.
- the present invention alternatively or additionally achieves such enhanced efficiency of digitally communicating such data exchanges using massively parallel processing.
- Methods for massively parallel processing that may be adapted to the present invention are disclosed in United States Patents Nos. 7,555,566; 7,523,130; 7,478,278; 7,454,749; 7,444,385; 7,404,015; and 7,304,999.
- the present invention alternatively or additionally achieves such enhanced efficiency of digitally communicating such data exchanges using database optimization techniques.
- the present invention preferably comprises the use of one or more databases to store the coding scheme being used by the Client and Broker.
- the present invention alternatively or additionally achieves such enhanced efficiency of digitally communicating such data exchanges using database optimization techniques.
- Such techniques include segmenting one or more of the databases to decrease the amount of data that typically needs to be searched.
- the database search time is improved by segmenting the employed coding scheme into multiple sections. Since the coding scheme takes into account the p-valiie, rather than performing a search of the entire coding scheme, the search could begin with the segment of the coding scheme with the highest p-valiie. If the result is located within this section, the search may be faster. If the search within just this segment is not successful, the computer could continue by moving on to search the segment with the next highest p-value, and so on, until the search is successful.
- Methods for database optimization that may be adapted to the present invention are disclosed in United States Patents Nos.
- the present invention alternatively or additionally achieves such enhanced efficiency of digitally communicating such data exchanges using calculation optimization techniques.
- Computers may employ single precision (for example, carrying calculations to 8 bits), double precision (for example, carrying calculations to 16 bits) or greater precision calculating processes. In a conventional set of calculations, all of the calculations are conducted at double precision.
- the methods of the present invention will provide the accuracy of double precision output, but will do so at nearly the speed of single precision output methods. This may be accomplished by relying upon the order of mathematical operations to transiently convert one or more terms of a calculation (e.g., the initial entries, or the calculated value of an initial calculation, etc.) into term(s) having only integer values (i.e., having no digits right of the decimal point). Once such calculations are completed, all intermediate subsequent calculations are single precision calculations, which can be performed at greater efficiency than double precision calculations. Fewer, and in some cases only a single, additional double precision calculation are required to complete the task.
- a calculation e.g., the initial entries, or the calculated value of an initial calculation, etc.
- all integer values of a series of terms will be subjected to single precision calculation separately from any non-integer components of such terms.
- the non- integer components of such terms will be transiently converted into integer form, processed via single precision and then re-converted in a double precision calculation into a final term that will then be processed with the output of the separately processed integer terms.
- Figure 1 illustrates exemplary system architecture of an embodiment of the present invention in which an adaptive customized database is employed to facilitate communication of a financial message between a First Computer (100) and a Second Computer (200).
- data either obtained from past digitally communicated financial messages (600) or from current digitally communicated financial messages (800) is transmitted (700) to a Data Encoding Computer (300).
- the Data Encoding Computer (300) processes such received data to form an adaptive customized coding scheme (310), and then uses this coding scheme to produce a database of encoded data (350).
- the Data Encoding Computer transmits (400) the produced database to the First (100) and Second (200) Computers.
- the First Computer (100) stores the received database (110) and accesses and employs it in order to prepare the encoded message (150).
- the encoded message is then transmitted (510) from the First Computer (100) to the Second Computer (200).
- the Second Computer (200) having received the transmitted database (400) from the Data Encoding Computer (300), stores such database (210), such that it is able to access the stored database (210) and comprehend and act upon (250) the encoded message that has been transmitted (510) from the First Computer (100).
- the Second Computer (200) provides a responsive communication (550) (which may be encoded or unencoded) to the First Computer (100).
- the Second Computer (200) transmits (280) the received encoded communication (510) to the Data Encoding Computer (300) either substantially concurrently with its receipt of such data (600) or at a subsequent time, after first storing the encoded communication (800).
- the data is then transmitted (700) to the Data Encoding Computer (300).
- the coding scheme (310) is then adaptively customized in response to the transmitted data (700) to reflect changes in the financial data being actually communicated by the First Computer (100) to the Second Computer (200).
- the coding scheme (310) is adaptively customized in response to actual communications from the First Computer (100) in order to provide an increasingly efficient database of encoded data (350).
- a Client-Broker network is created by interconnecting a Client computing device and a Broker computing device.
- the network is maintained to digitally store, access and use a Client-Broker database (which may be an array, list, etc., but is preferably a relational, queryable database).
- the network connecting the Client and the Broker is not necessarily maintained by the Client or Broker.
- the database is preferably synchronized in response to changes posted by either the Client or the Broker. Most preferably, the Client and Broker copies of the Client-Broker database will remain synchronized in real-time (i.e., essentially instantaneously) by virtue of their network interconnectivity.
- multiple coding schemes wil l be employed by the Client and Broker.
- different Clients may use different coding schemes w ith the same or different Brokers.
- one coding scheme will be employed by a Client and its Broker.
- the coding scheme(s) employed will further comprise the use of one or more types of delinineators (e.g., a comma separating two adjacent fields of a message).
- the Client-Broker database is adapted to store coding scheme data.
- the database can additionally or alternatively store other data (e.g., account information, financial messages, order history, order status, log of each message sent and/or received, account balance, etc).
- the efficiency of data exchanges can be enhanced by causing the network to communicate, encode, and decode messages between the Client and Broker into binary.
- the Client will analyze (manually or autonomously) the expected data exchange and define in the database one or more coding scheme(s) that is/are relevant to that exchange.
- the coding schemes will be optimized toward sending the expected messages with maximum compression.
- a universal baseline coding scheme can be used (i.e., a coding scheme that is instituted without any client analysis of the expected data exchange). This would be similar to FIX Protocol, but rather than using ASCII, it would use an alternative, and preferably publicly available, coding scheme that is more optimized for financial message data.
- Such message compression of the coding schemes can be optimized in several ways. Preferably, the compression would be optimized by the expected frequency of orders being sent. Alternatively, it could be optimized by the expected importance of messages sent, or by the expected time density of orders being sent.
- the Client computer determines the most efficient coding scheme either by calculating a new coding scheme using a compression algorithm of the Client's choice, or using an existing coding scheme from the Client-Broker database. The Client computer then encodes the order details into a highly compressed message using the chosen coding scheme, and sends that message to the Broker computer. The Broker then decodes the message using the coding scheme defined in the synchronized Client-Broker database.
- the Broker then becomes similar to a "Client" for the next phase of the process. It creates and maintains a Broker-Market Exchange database (which is preferably independent from the Client-Broker databases stored on the Broker computer). The Broker-Market Exchange database is maintained in synchrony with a copy of the database at the Market Exchange. The Broker would then decode the orders of all Clients into a common coding scheme shared by the Market Exchange. The Broker then encodes the bulk set of messages/orders with a coding scheme that achieves optimized compression (for the entire bulk set rather than any individual financial message).
- the Market Exchange receives the encoded messages from Brokers, then decodes the messages, standardizes the messages into a common coding scheme.
- the Market Exchange then sends the standardized coded messages to the matching engine, which matches buy and sell orders.
- the Market Exchange typically then sends confirmation messages back to the Broker, which then sends confirmation messages back to the Client.
- the backward messages i.e., from Market Exchange to Broker to Client
- the backward messages are coded in the same way, but not necessarily using the same coding scheme, as messages being sent forward (i.e., from Client to Broker to Market Exchange).
- the entropy of a message varies with the type and predictability of information. Therefore, there is no single encoding algorithm for all possible messages that yields individual messages with optimal compression.
- the system can be made more efficient by using multiple coding schemes, each optimized for different messages.
- the encoding algorithm itself can also be made more efficient by taking into account additional information beyond just symbol frequency (first-order entropy).
- Each Client should optimize the system with high-order entropic analysis, however there is no requirement to do this. If the Client would like a simple system that does not need any analysis of expected information, the system will still be able to operate, however with less than full potential efficiency.
- the system can update the database, in real-time, with new or improved coding schemes.
- the system can update the coding schemes by using algorithms that analyze and predict the frequency of content within future messages. This will allow the system users to always send messages with increased compression, near-optimal compression or optimal compression.
- packet header information possibly containing information like address to send the packet to, client identifier, error correcting codes, etc.
- client identifier information like address to send the packet to
- error correcting codes etc.
- packet header information possibly containing information like address to send the packet to, client identifier, error correcting codes, etc.
- header information may be included in the p-val e distribution calculations.
- header information may be included in the compression analysis.
- a smaller total packet size header and body
- the total size of the packets can be reduced by optimizing to the connection type. For example, Clients connecting to Brokers through a public network such as the internet may require standard coding for the header of the packet, so that the internet routers know where to send the packet.
- Clients that connect directly to Brokers using connections such as a dedicated line or optical connection directly from their location to the Broker location may not need to use standard coding or formatting for the packet header if only one possible delivery address exists.
- the total packet size can be reduced for this type of connection, by using a custom coding scheme for header information and/or not including certain header information that would otherwise be included in a packet sent over the internet.
- the entire message to be communicated does not necessarily need to be sent as one packet.
- the message can be split into two packets or into multiple packets for reconstruction by the recipient.
- Such packet splitting provides the advantage of increased reliability of transmission, but is accompanied by the disadvantage of increased total communication size.
- the increased reliability reflects the fact that if bits are disturbed along the communication process, only the single packet containing such bits will be affected. Correction of erroneous bit(s) may be accomplished with error correcting code techniques as are known in the art or by requesting that the damaged packet be resent.
- Resending a packet containing only a fraction of a total message will require less resources than resending the entire message, but will typically require some header information (to instruct delivery, or to provide information necessary to reconstruct the multiple packets into the complete original message) to accompany the resent packet. Therefore the overhead (total overhead, as well as overhead relative to packet body payload) will increase.
- the system will typically determine the optimal packet size (e.g., complete message, some percentage of the complete message per packet, or a fixed maximum packet size). In one embodiment this could be determined using user input, and/or algorithms (as is known in the art). These algorithms are preferably adaptive compression algorithms, as described herein.
- the packet recipient When using a reliable communication method such as TCP, the packet recipient typically will send an acknowledgment back to the sender to confirm successful receipt of a packet.
- the size of a TCP acknowledgment is commonly 60 bytes. Including the TCP packet acknowledgement as well as any or all other communication protocol messages into the distribution of p values may decrease the total amount of data that needs to be communicated. Ideally, one would want to include all possible information that is expected to be communicated (message body, communication protocol like TCP, etc.) into the distribution of p-values.
- the methods and computer systems of the present invention also relate to data exchanges involving two computers or among two or more computers that are internal nodes of a multi-node Client Computer, or internal nodes of a multi-node Broker Computer, or internal nodes of a multi-node Market Exchange Computer.
- the first and second computers of the present invention may be a Gateway node of a Client Computer (whose function may, for example, be to collect, process and relay Client orders and requests) and a Pipeline node of the Client Computer (whose function may, for example, be to receive, process and relay Gateway orders and requests).
- the first and second computers of the present invention may be a Gateway node of a Broker Computer (whose function may, for example, be to receive, process, bundle and relay Client orders and requests) and a Pipeline node of the Broker Computer (whose function may, for example, be to receive, process and relay Gateway orders and requests).
- the first and second computers of the present invention may be a Gateway node of a Market Exchange Computer (whose function may, for example, be to receive, process, and relay Client and/or Broker orders and requests) and a Matching Engine node of the a Market Exchange Computer (whose function may, for example, be to receive, process, relay and/or fulfill Gateway orders and requests).
- the methods of the present invention are applicable to data exchanges involving Client A - Client B, Client - Broker, Broker A - Broker B, Broker - Market Exchange, etc., as well as to data exchanges involving nodes ⁇ i.e., two or more computers) of the same Client, of the same Broker, or of the same Market Exchange Computer.
- Tables 1, 2 and 3 illustrate the comparative coding of a series of financial messages using, respectively, the FIX Protocol, a first-order entropy (symbol) custom compression coding scheme and a second-order (word) custom compression coding scheme.
- each employed order-unit is shown separated from other order-units by brackets; such brackets are merely for the purpose of illustration and are not part of the data exchange.
- the FIX protocol coding efficiency (61 .714%) is the first order entropy (4.26691 16; see Table 5) divided by the average code length of 7 bits/character.
- the message length is 709 characters x 7 bits/character, which equals 4,963 bits.
- a custom coding scheme is prepared by determining the number of times (Qty) that a order-unit appears in a financial message or setoff financial messages, and then determining the p-val e of each order-unit.
- the entropy of the order(s) is given by -plgp.
- a compression coding algorithm such as the Huffman Algorithm is employed to determine the coding of the order-units based upon their p-value (e.g. , frequency, weighting, or other scalar metric).
- a tree is created in which order-units having higher p-values are assigned to branches closest to the trunk, while order- units having lower p-values are progressively assigned to tree branches located further from the trunk.
- the results of the use of the Huffman algorithm on the set of financial messages in Table 2 are shown graphically as a tree in Figure 2.
- One means for implementing the Huffman algorithm is to employ huffman.jar software to generate the tree. Such software is widely available on the internet and is known to those of ordinary skill in the art.
- the use of the algorithm provides a set of equivalent solutions, any one of which will be capable of providing a unique coding to each symbol.
- the coding values may be deduced from Figure 2 by setting a value of "1 " for each step to the right and a value of "0" for each step to the left.
- the symbol “m” is positioned to require three sequential steps to the left, and has a coding of 000; the symbol “2” is positioned to require the steps left, then right, and then left, and accordingly has a coding of 010.
- Table 4 shows the symbols, the deduced coding and the quantity of bits attained through the use of the analysis (the term "[paragraph]" denotes a command to start a new line or paragraph).
- the first order entropy of the list of orders is 4.26691 16.
- the word “buy” is positioned to require three sequential steps to the right ( Figure 3B), and has a coding of 1 1 1 ; the word “market” is positioned to require the steps left, and then left, and accordingly has a coding of 01.
- Table 6 shows the words of the second-order coding scheme, the deduced coding and the quantity of bits attained through the use of the analysis.
- the second order entropy of the list of orders is 4.0752067.
- the number of bits needed to communicate the set of illustrative messages shown in Table 1-3 has been decreased from 4,963 bits to 2,525 bits (for a first-order entropy coding scheme) to 639 bits (for a second-order entropy coding scheme).
- Such a reduction in message size provides multiple advantages. For example, since messages are subject to transmission problems (lost packets, etc.), decreasing the size of the message decreases the probability of a transmission error. Additionally, decreasing the message size permits the entire encoded message to be received (and acted upon) more rapidly than an unencoded message conveying the same information. In circumstances (such as event arbitrage) in which speed of execution is important, the present invention provides a significant advantage over prior methods. Moreover, decreasing the message size permits more messages to be transmitted per second, thus increasing effective bandwidth and carrying capacity of the transmission lines.
- a message "m FIX4.4
- n aaa
- w 100
- x market
- m, n, w, x and z are FIX tags that indicate the version of the FIX protocol being used, the stock symbol, the type of order (market or limit), action (buy or sell).
- An actual FIX protocol message would in fact be longer than the simplified message.
- a custom compression technique is employed to provide a coding scheme.
- the conveyed message is the same: "buy 400 aaa market.”
- the space delineators are removed to form “buy400aaamarket”.
- the frequencies with which the individual letters of the message are calculated e.g. 4 a's, 1 b, 1 e, etc.).
- a compression algorithm e.g., the Huffman algorithm, is employed to create a coding scheme using the calculated frequencies.
- the resultant binary designations for the code are shown in the Table 8.
- the resultant code table would comprise additional rows if the message contained additional order-units or might be expected to contain additional order-units in the future.
- the coding scheme would comprise additional order-units in order to facilitate the communication of additional or more complicated messages.
- the codes for such additional order-units would be based on their expected frequency and would be generated from a tree created using, for example, the Huffman algorithm.
- the plain text message (“buy400aaamarket " ) is then encoded using the coding scheme of Table 8 to yield a 49 bit message: [ 1 100] [1 101 ] [ 1 1 1 1 ] [ 1000] [001 ] [001 ] [01 ] [01 ] [01] [000] [01 ] [ 1001 ] [ 101 1 ] [ 1 1 10] [ 1010] (the encoded message is shown with the encoded symbols separated by brackets and spaces; such brackets and spaces are solely for purposes of illustration, and would not be employed in the actual encoded message).
- the use of the methods of the present invention reduces the required message from 280 bits to 49 bits, a nearly 5-fold improvement in efficiency.
- Example 2 the invention was illustrated with respect to a coding scheme based on symbol frequency (i.e. , first-order entropy).
- word frequency second-order entropy
- a custom compression technique such as the Huffman algorithm
- entire words as used herein the term "words” includes numbers
- the words "buy”, “400”, “aaa”, and “market” are treated as individual order-units.
- the coding scheme In order to establish a coding scheme capable of encoding all possible words (e.g., any stock, any amount of shares, etc.) the coding scheme will have many more codes that the scheme of Example 2. However, the total message length and average bit length of the second-order coding scheme are greatly reduced. As shown below in Table 9, since the message may be communicated with only a few codes, the binary values are extremely low, and the entire message can be sent in only 8 bits, a result that is 35-fold more efficient than the FIX protocol and more than 6-fold more efficient than the first-order entropy code of Example 2.
- a single coding scheme is employed.
- multiple coding schemes may be employed.
- different coding schemes are employed to effect transactions with different Brokers or with different Clients. Where multiple Clients interact with the same Broker, or where multiple Brokers interact with the same Client, permitting each Client (or Broker) to have a code optimized for the basket of orders handled by the Broker (or Client) increases the efficiency of Client-Broker data exchanges.
- multiple coding schemes may be used in a single message by defining the message to have a protocol of ordered fields.
- a protocol in which data is exchanged in a particular order e.g., Field 1 : Action (buy, sell, etc.); Field 2: Quantity; Field 3: Financial Interest (e.g., stock symbol); Field 4: Type (e.g., market, limit, etc.)
- the independent codes shown in Tables 8 or 9 may be replaced with non- independent codes.
- the codes used for "Action” could be reused for "Type", etc.
- Such a set of combinations would require approximately 24.29 terabytes of storage for the entire coding scheme.
- the majority of codes would have an expected p- value very close to 0% and therefore be unnecessary to store in a non-archival storage such as RAM or a high performance solid state drive.
- the most frequent codes could be stored in high performance drives (and/or copied into RAM for even better performance) while the less frequent codes could be stored on less expensive traditional storage media such as a standard hard disk.
- Figures 4A-4E illustrate computer networks capable of employing the methods of the present invention.
- Figure 4A illustrates a first embodiment of a computer system of the present invention.
- a first computer (Computer A; which may, for example be a first Client) is shown to be in digital communication with a second computer (Computer B; which may, for example, be a Broker), which in turn is in digital communication with a third computer (Computer C, which may, for example, be a Market Exchange Computer via communications that employ the methods of the present invention (dark shaded interconnecting pipeline).
- Computer A and Computer B will possess copies of a first shared database (for example, a Client - Broker database), and Computer B and Computer C will possess copies of a second shared database (for example, a Broker - Market Exchange database, or a Gateway Computer of a Market Exchange - Matching Engine Computer of a Market Exchange).
- a first shared database for example, a Client - Broker database
- Computer B and Computer C will possess copies of a second shared database (for example, a Broker - Market Exchange database, or a Gateway Computer of a Market Exchange - Matching Engine Computer of a Market Exchange).
- financial orders of Computer A are sent to Computer B using a first coding scheme and then sent from Computer B to Computer C using a second coding scheme.
- This embodiment is desirable in situations in which Computer C is receiving financial orders from additional computers (e.g., Computer D) and does not wish to store and employ separate coding schemes (i.e., it employs a conventional means for data exchange (unshaded interconnecting pipeline)).
- this embodiment permits additional computers
- Figure 4B illustrates a second embodiment of a computer system of the present invention.
- a first computer (Computer A; which may, for example, be a Client or Broker, Market Exchange, etc.) is shown to be in digital communication with a second computer (Computer B; which may, for example, be a Broker or the Gateway Computer of a Market Exchange) that in turn is in digital communication with a third computer (Computer C; which may, for example, be a Market Exchange or the Matching Engine Computer of a Market Exchange.
- All three computers will possess copies of the same database (e.g.. a Client - Broker - Market Exchange database).
- the shaded pipelines indicate that the digital communication employs the coding methods of the present invention.
- Figure 4C illustrates a sub-embodiment of the above-described first embodiment of a computer system of the present invention.
- a first computer (Computer A, which may be, for example, a Client, Broker, or the Gateway Computer of a Broker) is shown to be in digital communication with a second computer (Computer B), which in turn is in digital communication with Computers C and D, using the coding methods of the present invention (shaded pipeline).
- Computer C is shown to be in conventional digital communication with Computer E (unshaded pipeline).
- Computer D is shown to be in conventional digital communication with Computer F (unshaded pipeline).
- Computer A is a Client.
- Computer B may then be a Broker, or the Gateway Computer of a Broker in communication with the Broker's Risk Management System (Computer C).
- Computer E is the Market Exchange Computer.
- the Broker nodes are preferably located in close proximity to the Market Exchange(s), so that financial message transmission time is minimized.
- a Client will transmit a financial message to a Broker using a conventional protocol (or using a Client - Broker database and the methods of the present invention).
- the Broker will then use the methods of the present invention to communicate such financial message to the Broker Node(s).
- the Broker Nodes will then decode the financial message into a protocol (such as FIX) that is recognized by the Market Exchange and communicate the financial message to the Market Exchange in the recognized protocol.
- a protocol such as FIX
- Computer B may a Broker in communication with the Market Exchange's Gateway Computer (Computer C) that is in conventional digital communication with the Market Exchange's Matching Engine Computer.
- Computers E and F are similar to Computers C and E, respectively, and illustrate the ability of Clients and Brokers to employ the methods of the present invention to become in digital communication with multiple Market Exchanges or Multiple Brokers.
- FIG. 4D illustrates a sub-embodiment of the above-described first embodiment of a computer system of the present invention.
- both a conventional digital communication link such as FIX
- a digital communication link that employs the methods of the present invention dark shaded pipeline
- Financial messages are typically communicated using only the first connection.
- the existence of the second (and faster) connection permits Computer B to check, cancel, correct communicated financial messages, or perform risk management.
- the existence of the second (and faster) connection permits Computer B to offer two tiers of service to Clients (e.g., permitting Computer A to communicate with Computer C at higher speed and permitting Computer D to communicate with Computer C at conventional speed.
- Figure 4E illustrates a sub-embodiment of the above-described second embodiment in which Computers B, C, D, E, and F are in digital communication with each other through either (or both) a conventional digital communication link (unshaded pipeline) and a digital communication link (dark shaded pipeline) that employs the methods of the present invention (and thus provides more rapid communication of financial messages).
- Computer A is a Client
- Computer B is a Broker Computer
- Computers C and E (or Computers D and F) are, respectively, Market Exchange Gateway Computers and Market Exchange Matching Engine Computers
- a conventional digital communication link unshaded pipeline
- This embodiment of the invention permits the checking or correction of communicated financial messages to be accomplished even with Market Exchanges that do not possess or employ a Broker / Market Exchange database.
- Computer A is a Client
- Computer B is a Broker Computer
- Computers C and E are, respectively, Market Exchange Gateway Computers and Market Exchange Matching Engine Computers, and a digital communication link (dark shaded pipeline) that employs the methods of the present invention (and thus provides more rapid communication of financial messages) exists between Computers C and E (or between Computers D and F).
- the Market Exchange is able to employ the methods of the present invention to more rapidly transmit financial orders from its Gateway Computer to its Matching Engine Computer.
- the methods of the present invention permit the processing of more financial orders per unit time, and thus increase the effective carrying capacity of the communication link between the Market Exchange's Gateway Computer and its Matching Engine Computer.
- a ty pical packet, including a packet header and message body, sent in FIX protocol averages approximately 350-400 bytes.
- An order execution report (sent, for example, by the Broker to the Client) typically averages approximately 425-475 bytes when sent according to the FIX protocol.
- a fill execution report (sent, for example, by the Market Exchange to the Broker) typically averages approximately 400-450 bytes when sent according to the FIX protocol.
- a heartbeat (a message advising that a connection is active) typically averages approximately 125-175 bytes when sent according to the FIX protocol.
- a typical Tl leased line connecting a Client to a Broker has a bandwidth of 1.544 megabits/second in each direction (upload and download).
- Example 1 (Tables 1-3) demonstrates that the basket of hypothetical 31 trades required 4,963 bits if sent via the FIX protocol.
- FIX requires that each financial message be accompanied by a data header (typically including, for example, account information, time and date stamps, etc.), which greatly increases the amount of data per message.
- each financial message sent via FIX typically requires 350-400 bytes to complete. Taking an average of 375 bytes (3,000 bits), the basket of financial messages will be expected to require 93,000 bits to complete.
- the methods of the present invention permit financial messages to be communicated using far fewer bits, and such methods may be used to communicate header information, if such is desired. The methods of the present invention do not require such headers to be sent with each financial message.
- the Total Latency experienced by a data exchange network is the sum for all hops of the Transmission Latency and the Processing Time.
- the Transmission Latency for each hop equals the Network Serialization Latency plus the Network Propagation Latency.
- the Network Serialization Latency is the message size (in bits) divided by the Connection Bandwidth (in bits per second).
- the Network Propagation Latency is the connection distance divided by the product of the speed of light and the efficiency of the connection medium.
- the Processing Time is the time required by a computer to process the data (for example, to search the database, move the data from RAM to CPU, etc.).
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Also Published As
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MY159436A (en) | 2017-01-13 |
US20130325690A1 (en) | 2013-12-05 |
US8321326B2 (en) | 2012-11-27 |
EP2478486A1 (en) | 2012-07-25 |
US8756149B2 (en) | 2014-06-17 |
US8538861B2 (en) | 2013-09-17 |
US20110066539A1 (en) | 2011-03-17 |
BR112012005513A2 (en) | 2019-09-24 |
ZA201201412B (en) | 2012-10-31 |
US20130066762A1 (en) | 2013-03-14 |
SG179008A1 (en) | 2012-04-27 |
EP2478486A4 (en) | 2014-01-08 |
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