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Quantitative Finance · Glossary

What is Gateway fairness?

Definition 23.2 Networks, Hardware and Trading Infrastructure · Chapter 23 — Futures Connectivity

Gateway fairness is the property of an exchange’s order-entry path that competing messages reach the matching engine in the order in which they reached the exchange’s network, with a variance small against the differences the exchange means to reward, so that no participant gains by sending the same order through several paths.

Simulation: the chance that a firm wins a ten-firm race against the number of sessions it sends a copy through. With parallel gateways and the others on one session, twelve sessions take it from 10.0% to 59.7%; if everyone does the same, back to one in ten; with a segment gateway, one in ten whatever it does. Data: fig_futures.py, nw_futures.curves().
Figure 23.1. Simulation: the chance that a firm wins a ten-firm race against the number of sessions it sends a copy through. With parallel gateways and the others on one session, twelve sessions take it from 10.0% to 59.7%; if everyone does the same, back to one in ten; with a segment gateway, one in ten whatever it does. Data: fig_futures.py, nw_futures.curves().
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