SP2A: A basket-trading-oriented securities matching set automatic partition approach for parallel trading system

Basket trading is a performance killer in a parallel matching system. However, due to the lack of effective models of representing the fundamental securities, baskets, and the relationship in between them, existing matching set partition approaches in parallel trading systems are not suitable for effective automatic partition of securities matching sets for basket trading. This paper presents a basket-trading-oriented securities matching set automatic partition approach for parallel trading system-SP²A. Base on the proposed graphical representation of securities matching tasks, SP²A firstly try to place the most related securities into the same matching set or into the least-needed ones according to the corresponding trading frequency statistics. Secondly, the rest individual securities are evenly placed among the matching sets. Workloads thus can be balanced as well. SP²A proposes an effective matching set automatic partition method for reducing the synchronous delay induced by the basket trading or securities-correlated trading. Therefore, parallel matching efficiency of such a system can be improved.