Methods and systems to prevent adverse exchange limit effects
Methods and systems to prevent adverse exchange limit effects are disclosed. An example method of message management includes tracking, at a gateway, a transaction count of trade messages communicated to an exchange via an exchange link. The example method includes defining a first transaction limit based on the transaction count, and calculating a second transaction limit as a function of the first transaction limit, wherein the second transaction limit is to correspond to a reserve capacity associated with the exchange link. The example method includes assigning a message priority to each of a plurality of trade messages to communicate to the exchange. The example method includes communicating trade messages of the plurality of trade messages having a first message priority to the exchange when the transaction count is greater than the second transaction limit, and delaying or rejecting trade messages of the plurality of trade messages having a second message priority.
1. A system including:
a trading device,
a gateway device,
wherein the gateway device is configured to generate a plurality of trade messages to trade a tradeable object, and communicate the plurality of trade messages to the trading device;
wherein the gateway device is configured to communicate, via an exchange link coupled with the gateway device, the plurality of trade messages to an exchange, each trade message of the plurality of trade messages having a time stamp associated with a time that trade message was communicated to the exchange from the gateway device;
wherein the gateway device is configured to track a transaction count of the plurality of trade messages communicated via the exchange link;
wherein the gateway device is configured to receive a plurality of response messages from the exchange, each response message of the plurality of response messages identifying a corresponding trade message of one of the plurality of trade messages communicated to the exchange;
wherein the gateway device is configured to identify a received time for each response message of the plurality of response messages;
wherein the gateway device is configured to calculate a round-trip time for each trade message communicated with the exchange, where the round-trip time is calculated according to the time stamp for the trade message that was communicated to the exchange from the gateway device and the received time for the response message identifying the corresponding trade message;
wherein the gateway device is configured to calculate an average round-trip message latency associated with the plurality of response messages, the average round-trip message latency being calculated according to the transaction count and the round-trip time for each response message of the plurality of response messages;
wherein the gateway device is configured to monitor a current round-trip of trade messages to determine a current message latency between the gateway device and the exchange;
wherein the gateway device is configured to identify an increase in the current message latency over the average round-trip message latency; and
wherein the gateway device is configured to, in response to identifying the increase in the current message latency over the average round-trip message latency:
define a first transaction limit of the exchange link based on the transaction count and the current message latency,
define a second transaction limit as a function of the first transaction limit, wherein the second transaction limit corresponds to a reserve capacity associated with the exchange link,
assign a message priority to each of the plurality of trade messages communicated via the exchange link, and
adjust the communication for the trade messages communicated from the gateway device to the exchange via the exchange link to a rate of communication lower than the first transaction limit, where trade messages having a first message priority are communicated via the exchange link, and trade messages having a second message priority are rejected when the transaction count is a percent of the second transaction limit.
2. The system of claim 1 , wherein the second transaction limit varies based on a time of day.
3. The system of claim 1 , wherein the second transaction limit varies based on the transaction count.
4. The system of claim 1 , wherein the message priority is based on a message type of each of the plurality of trade messages.
5. The system of claim 1 , wherein the message priority is based on a trader associated with each of the plurality of trade messages.
6. The system of claim 1 , wherein the message priority is based on a risk position associated with each of the plurality of trade messages.
7. The system of claim 1 , wherein the message priority is based on a likelihood of execution associated with each of the plurality of trade messages.
8. The system of claim 1 , wherein the message priority is based on the transaction count.
9. The system of claim 1 , wherein the first transaction limit is associated with a rejection message communicated via the exchange link.