Message randomization and delay based on order type in an electronic trading system
A system and method for managing latency of messages in an exchange system to address technical advantages in certain market participant hardware are disclosed. In one implementation, the system may include an exchange system, and a set of instructions, to cause a processor of the exchange system identify an order type susceptible to technical advantages certain market participants may possess and to apply a re-ordering of, and/or a fixed or random latency to, all orders of the identified order type during a predetermined time of a trading day.
1. A computer-implemented method adjusting order queue priority in an electronic exchange system, the method comprising:
in a processor of the electronic exchange system:
receiving an electronic order message from a market participant;
identifying, based on an automated comparison of message header data in the electronic order message with an order type database, which order type of a plurality of order types is associated with the received electronic order message;
when the order type is identified as a trade at settlement (TAS) order:
determining if the TAS order has been received during a designated time period for order randomization; and
only when the TAS order has been received during the designated time period:
delaying acknowledgement of the TAS order;
continuing to receive and delay acknowledgement of additional TAS orders until an end of the designated time period has been reached; and
at the end of the designated time period, re-ordering a time priority of TAS orders received during the designated time period and transmitting an acknowledgment for each of the TAS orders received during the designated time period according to the re-ordered time priority.
2. The computer-implemented method of claim 1 , wherein identifying the order type of the received electronic order message comprises comparing an order type identifier associated with the received electronic order message to an order type database.
3. The computer-implemented method of claim 1 , wherein the re-ordering a time priority of the TAS orders is based on the order type.
4. The computer-implemented method of claim 1 , wherein the re-ordering a time priority of the TAS orders is based on the market participant.
5. The computer-implemented method of claim 1 , wherein the re-ordering a time priority of the TAS orders is a fixed randomization process based on a pre-determined re-ordering technique.
6. The computer-implemented method of claim 1 , wherein the re-ordering a time priority of the TAS orders is randomized based a random selection of a re-ordering technique.
7. The computer-implemented method of claim 1 , further comprising:
retrieving an order randomization algorithm from an order type database, and;
wherein the re-ordering a time priority of the TAS orders is based on the retrieved order randomization algorithm.
8. The computer-implemented method of claim 1 , wherein the re-ordering a time priority of the TAS orders is randomized based a random number generator.
9. The computer-implemented method of claim 1 , wherein the processor is located in a member interface of a trading platform in the electronic exchange system.
10. The computer-implemented method of claim 1 , wherein the processor is located in a matching engine of a trading platform in the electronic exchange system.
11. The computer-implemented method of claim 1 , wherein a duration of the designated time period is retrieved from an order type database.
12. An electronic exchange system for adjusting order queue priority, the electronic exchange system comprising:
a communication interface configured to identify an order type associated with an electronic order message;
a processor in communication with the communication interface;
a memory comprising process-executable instructions that when executed by the processor cause the processor to:
receive the electronic order message from a market participant;
identify, based on an automated comparison of message header data in the electronic order message with an order type database, which order type of a plurality of order types is associated with the received electronic order message;
when the order type is identified as a trade at settlement (TAS) order:
determine if the TAS order has been received during a designated time period for order randomization; and
only when the TAS order has been received during the designated time period:
delay acknowledgement of the TAS order;
continue to receive and delay acknowledgement of additional TAS orders until an end of the designated time period has been reached; and
at the end of the designated time period, re-order a time priority of TAS orders received during the designated time period and transmitting an acknowledgment for each of the TAS orders received during the designated time period according to the re-ordered time priority.
13. The electronic exchange system of claim 12 , wherein identifying the order type of the received electronic order message comprises comparing an order type identifier associated with the received electronic order message to an order type database.
14. The electronic exchange system of claim 12 , wherein the re-ordering a time priority of the TAS orders is based on the order type.
15. The electronic exchange system of claim 12 , wherein the re-ordering a time priority of the TAS orders is based on the market participant.
16. The electronic exchange system of claim 12 , wherein the re-ordering a time priority of the TAS orders is a fixed randomization process based on a pre-determined re-ordering technique.
17. The electronic exchange system of claim 12 , wherein the re-ordering a time priority of the TAS orders is randomized based a random selection of a re-ordering technique.
18. The electronic exchange system of claim 12 , further comprising:
retrieving an order randomization algorithm from an order type database, and;
wherein the re-ordering a time priority of the TAS orders is based on the retrieved order randomization algorithm.
19. The electronic exchange system of claim 12 , wherein the processor is located in a member interface of a trading platform in the electronic exchange system.
20. The electronic exchange system of claim 12 , wherein the processor is located in a matching engine of a trading platform in the electronic exchange system.