System and methods for risk-based prioritized transaction message flow
Various systems and methods are provided for prioritized sending of transaction messages to an electronic exchange. According to one embodiment, a system determines a priority level for each transaction message based on a potential monetary reward or risk associated with sending or delaying the message. Once the priority levels are determined, the messages may be sent based on the priority levels. Additionally, each priority level may be associated with a predetermined threshold level. If a message threshold is reached, a new message corresponding to that priority level is queued until the message may be transmitted without exceeding the threshold limit.
1. A method including:
determining by a computing device that a first transaction message and a second transaction message are to be sent over a computer network to at least one electronic exchange at substantially the same time, wherein the first transaction message includes a first new order for a first price and a first order quantity of a first tradeable object, wherein the second transaction message includes a second new order for a second price and a second order quantity of a second tradeable object;
determining by the computing device a first priority factor for the first transaction message based on a comparison of the first price to a first reference market price level determined based on current market data for the first tradeable object, wherein the first priority factor corresponds to a likelihood of an event occurring based on the first transaction message being sent;
determining by the computing device a second priority factor for the second transaction message based on a comparison of the second price to a second reference price level determined based on current market data for the second tradeable object, wherein the second priority factor corresponds to a likelihood of an event occurring based on the second transaction message being sent;
determining by the computing device a first priority level for the first transaction message based on the first priority factor and the first order quantity;
determining by the computing device a second priority level for the second transaction message based on the second priority factor and the second order quantity;
determining by the computing device that the first priority level of the first transaction message is a higher priority level than the second priority level of the second transaction message;
processing by the computing device, in response to determining that the first priority level is a higher priority level than the second priority level, the first transaction message before the second transaction message, including:
determining by the computing device a threshold limit associated with the first priority level of the first transaction message;
sending by the computing device the first transaction message to a first electronic exchange prior to sending the second transaction message to a second electronic exchange when the threshold limit is not reached; and
storing by the computing device the first transaction message in a queue associated with the corresponding priority level until a predetermined event is detected when the threshold limit is reached.
2. The method of claim 1 , wherein the first electronic exchange is the same as the second electronic exchange.
3. The method of claim 1 , wherein the first electronic exchange and the second electronic exchange are different electronic exchanges.
4. The method of claim 1 , wherein the first transaction message includes an order to buy or sell the first tradeable object, and wherein the second transaction message includes an order to buy or sell the second tradeable object.
5. The method of claim 1 , wherein the first priority level is further based on a potential monetary reward of sending the first transaction message as soon as possible, and wherein the second priority level is further based on a potential monetary reward of sending the second transaction message as soon as possible.
6. The method of claim 1 , wherein the first priority level is further based on a potential monetary risk of not sending the first transaction message as soon as possible, and wherein the second priority level is further based on a potential monetary risk of not sending the second transaction message as soon as possible.
7. The method of claim 1 , wherein the first priority factor is further based on a first market volatility corresponding to the first tradeable object, and wherein the second priority factor is further based on a second market volatility associated with the second tradeable object.
8. The method of claim 1 , wherein the first priority level associated with the first transaction message is further based on a first tick value corresponding to the first tradeable object, and wherein the second priority level associated with the second transaction message is further based on a second tick value corresponding to the second tradeable object.