Midpoint computations at intervals with balanced groups
A set of instruments is divided into groups of instruments. Order data is received for the set of instruments. When an update interval elapses, a group is selected for update of a midpoint price. For each instrument in the group, a current midpoint price is computed based on order data received for the instrument. If the current midpoint price differs from a previous midpoint price, the current midpoint price is published.
1 . A computer-implemented method for balancing computational load in an electronic trading system comprising:
receiving, by one or more processors, via a network interface, order data for a predefined set of instruments;
storing, in a memory accessible to the one or more processors, an activity metric for each instrument indicative of at least one of order volume or order frequency;
dividing the set of instruments into a plurality of groups by distributing instruments among the groups so that each group has substantially the same activity metric;
monitoring an update interval; and
in response to the update interval elapsing, selecting, in a predetermined sequence, a group from the plurality of groups of instruments;
for each instrument in the group:
computing a current midpoint price for the instrument based on the order data received for the instrument; and
if the current midpoint price differs from a previous midpoint price, electronically publishing the current midpoint price via the network interface,
wherein, due to said dividing, each time the computing occurs for the selected group, a substantially equal measure of at least one of: (i) processing resources provided by the one or more processors, and, (ii) bandwidth resources provided by the network interface is consumed, relative to computing that occurs for each of a remainder of the groups.
2 . The method of claim 1 , wherein dividing the set of instruments into the plurality of groups of instruments comprises balancing activity among the groups.
3 . The method of claim 1 , wherein the group is selected according to a predetermined sequence of the plurality of groups.
4 . The method of claim 1 , wherein the update interval is selected from a range of 0.1 seconds to 10 seconds.
5 . The method of claim 4 , wherein the update interval is 1 second.
6 . The method of claim 1 , wherein the number of groups is selected from a range of 3 to 20.
7 . The method of claim 6 , wherein the number of groups is 10.
8 . A computing device comprising:
a network interface; one or more processors connected to the network interface, the one or more processors configured to collectively:
receive, by one or more processors, via a network interface, order data for a predefined set of instruments;
store, in a memory accessible to the one or more processors, an activity metric for each instrument indicative of at least one of order volume or order frequency;
divide the set of instruments into a plurality of groups by distributing instruments among the groups so that each group has substantially the same activity metric; monitor an update interval; and
in response to the update interval elapsing, select, in a predetermined sequence, a group from the plurality of groups of instruments;
for each instrument in the group: compute a current midpoint price for the instrument based on order data received for the instrument; and
if the current midpoint price differs from a previous midpoint price, electronically publish the current midpoint price via the network interface. wherein, due to the divide, each time the computing occurs for the selected group, a substantially equal measure of at least one of: (i) processing resources provided by the one or more processors, and, (ii) bandwidth resources provided by the network interface is consumed, relative to computing that occurs for each of a remainder of the groups.
9 . The computing device of claim 8 , wherein the one or more processors is configured to collectively divide the set of instruments into the plurality of groups of instruments by balancing activity among the groups.
10 . The computing device of claim 8 , wherein the one or more processors is configured to collectively select the group according to a predetermined sequence of the plurality of groups.
11 . The computing device of claim 8 , wherein the update interval is selected from a range of 0.1 seconds to 10 seconds.
12 . The computing device of claim 11 , wherein the update interval is 1 second.
13 . The computing device of claim 8 , wherein the number of groups is selected from a range of 3 to 20.
14 . The computing device of claim 13 , wherein the number of groups is 10.
15 . A non-transitory machine-readable medium comprising instructions that, when executed by one or more processors, cause the one or more processors to collectively:
receive, by one or more processors, via a network interface, order data for a predefined set of instruments;
store, in a memory accessible to the one or more processors, an activity metric for each instrument indicative of at least one of order volume or order frequency;
divide the set of instruments into a plurality of groups by distributing instruments among the groups so that each group has substantially the same activity metric;
monitor an update interval; and
in response to the update interval elapsing, select, in a predetermined sequence, a group from the plurality of groups of instruments;
for each instrument in the group: compute a current midpoint price for the instrument based on order data received for the instrument; and
if the current midpoint price differs from a previous midpoint price, electronically publish the current midpoint price; wherein, due to the divide, each time the computing occurs for the selected group, a substantially equal measure of at least one of: (i) processing resources provided by the one or more processors, and, (ii) bandwidth resources provided by the network interface is consumed, relative to computing that occurs for each of a remainder of the groups.
16 . The non-transitory machine-readable medium of claim 15 , wherein the instructions are to divide the set of instruments into the plurality of groups of instruments by balancing activity among the groups.
17 . The non-transitory machine-readable medium of claim 15 , wherein the instructions are to select the group according to a predetermined sequence of the plurality of groups.
18 . The non-transitory machine-readable medium of claim 15 , wherein the update interval is selected from a range of 0.1 seconds to 10 seconds.
19 . The non-transitory machine-readable medium of claim 18 , wherein the update interval is 1 second.
20 . The non-transitory machine-readable medium of claim 15 , wherein the number of groups is selected from a range of 3 to 20.
21 . The non-transitory machine-readable medium of claim 20 , wherein the number of groups is 10.