CN101510293A - Method for transmitting securities market indent queue data - Google Patents
Method for transmitting securities market indent queue data Download PDFInfo
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- CN101510293A CN101510293A CNA2009100452597A CN200910045259A CN101510293A CN 101510293 A CN101510293 A CN 101510293A CN A2009100452597 A CNA2009100452597 A CN A2009100452597A CN 200910045259 A CN200910045259 A CN 200910045259A CN 101510293 A CN101510293 A CN 101510293A
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Abstract
The invention relates to a transmission method of stock market order queue data, comprising the steps as follows: a sender obtains all the order data and sends the data to a receiver at the first time; in each time of data transmission later, the sender compares all the current order queue data with all the last order queue data so as to generate an updated data packet which comprises a price operating instruction used for partially updating the price of all the last order queue data and an order operating instruction partially updating the order of the price of all the last order queue data; and then, the sender sends the updated data packet to the receiver. When receiving the undated data packets, the receiver updates all the received order data according to the price operating instruction and the order operating instruction in the updated data packet. Therefore, the method can reduce the transmission quantity of the stock market order queue data, save the transmission bandwidth and improve the updating speed of the stock market data.
Description
Technical field
The present invention relates to data transmission technology, relate in particular to a kind of method for transmitting securities market indent queue data.
Background technology
In securities industry, the market data are basic datas of all data analysis systems, and the variation of the quotation information of security is reflecting the variation in market in time, affects investor's investment behavior.Industry is constantly being pursued more market content and renewal speed faster, and good data transmission method will be used less bandwidth, transmit more market data at faster speed.
With the Shanghai Stock Exchange is example, and the Level-2 market are present quotation products that Shanghai Stock Exchange released in 2006, mainly is provided at the present quotation data of Shanghai Stock Exchange's listing tradable securities.Compare with traditional Level-1 present quotation, the information content is abundant more, comprehensive.Strengthen market transparency, satisfied investor's demand better.
With reference to shown in Figure 1, the market data flow transmitted is as follows, and the market delivery system 10 of exchange obtains the market data by the market engine 11 that is connected to transaction main frame 12.Between the receiving system 20 of delivery system 10 and information service firm, be by private line access.For the promptness requirement of information, delivery system 10 generally just needs the once current market data of issue to give receiving system 20 every several seconds (as 3 seconds).
" indent queue data " are the information of each order of every grade of dealing price in the stock jobbery.The indent queue data volume is very big, and pressing the traditional approach issue needs a large amount of bandwidth and higher machine performance.
Because data volume is too big, the Level-2 market initial stage is only transmitted the quantity of maximum 50 orders of the 1st grade of dealing price, as:
Sell one: 6.68 800 (5 (sums), 5 (actual quantity issueds), 100 50 50 200 400)
Buy one: 6.67 20000 (100 (sums), 50 (actual quantity issueds), 200 200 200......200)
Selling a price, 800 bursts of trusts are made of 5 orders, because do not surpass 50, so issue is one by one formed by 100 and buy on the price 20000 strands, have surpassed 50, so system only issues preceding 50 quantity situation, back 50 just do not provide.
System before each issue all can with on once data compare, just do not send out if data are identical, differently just send whole data.
Yet on present server and band width configuration,, provide the quantity on order of more grades of prices and Geng Duo pen, if the way above continuing to adopt can not be accomplished if want needs according to product.Therefore how transmitting the indent queue data has efficiently become a problem demanding prompt solution.
Summary of the invention
Technical matters to be solved by this invention provides a kind of method for transmitting securities market indent queue data, under the condition of same transmission bandwidth, replace transmitting whole indent queue data itself by the renewal operational order of transmission, reduce volume of transmitted data whole indent queue data.
The present invention solves the problems of the technologies described above the technical scheme that adopts to provide a kind of method for transmitting securities market indent queue data, is used for the security order queuing data is transferred to the take over party by transmit leg, and this method comprises the steps:
(a) transmit leg obtains whole indent queue data, and sends this data to the take over party;
(b) take over party receives and stores these whole indent queue data;
(c) after a period of time, transmit leg obtains current whole indent queue data, and relatively these current whole indent queue data with last time all the indent queue data to produce more new data packets, wherein this more new data packets comprise: in order to this whole price of indent queue data price operating instruction of carrying out partial update last time, and in order to this whole order operational order of carrying out partial update of the order in the price of indent queue data last time;
(d) transmit leg with this more new data packets send to the take over party;
(e) take over party receives this more new data packets; And
(f) take over party the more described price operating instruction in the new data packets and order operational order upgrade the whole indent queue data that received according to this.
In above-mentioned method for transmitting securities market indent queue data, described price operating instruction can comprise: price is added instruction, is used for adding a new price to whole indent queue data; The price update instruction is used for upgrading a price of whole indent queue data; And the price delete instruction, be used for deleting a price of whole indent queue data.
In above-mentioned method for transmitting securities market indent queue data, above-mentioned price operating instruction comprises action type and operating parameter, and this action type comprises: price is added operation, adds instruction corresponding to above-mentioned price; Price is upgraded operation, corresponding to above-mentioned price update instruction; And the price deletion action, corresponding to above-mentioned price delete instruction.Wherein the operating parameter of price delete instruction comprises price.The operating parameter that price is added instruction and price update instruction comprises price and price attribute.The order operational order is included in this price attribute.
In above-mentioned method for transmitting securities market indent queue data, the order operational order comprises: order adds instruction, is used for adding a new order to a certain price; The order update instruction is used for upgrading the order attributes of an order of a certain price; And the order delete instruction, be used for deleting an order of a certain price.
In above-mentioned method for transmitting securities market indent queue data, the order operational order comprises action type and operating parameter, and this action type comprises: order adds operation, adds instruction corresponding to this order; Order upgrades operation, corresponding to this order update instruction; And the order deletion action, corresponding to this order delete instruction.Wherein the operating parameter of order update instruction comprises: order attributes, and expression comprises the data of quantity on order; And the position, the position of expression order operational order operation.The operating parameter of order delete instruction comprises the position.The operating parameter that order adds instruction comprises order attributes.
In above-mentioned method for transmitting securities market indent queue data, more new data packets also comprises: sequence number is used to represent the order of the more new data packets that sends.
In above-mentioned method for transmitting securities market indent queue data, the take over party comprises a update mode, and the take over party judges according to above-mentioned sequence number more whether new data packets is continuous, if continuously, then keep this update mode for upgrading,, then set this update mode for not upgrading if discontinuous.And (f) also comprises before in above-mentioned steps: judge whether update mode is renewal, if, execution in step (f) then, if not, this more new data packets then abandoned.
In above-mentioned method for transmitting securities market indent queue data, transmit leg sends once whole indent queue data at regular intervals to the take over party, and the once whole indent queue snapshot datas of the every reception of take over party are then set update mode for upgrading.
In above-mentioned method for transmitting securities market indent queue data, transmit leg sends once whole indent queue data at regular intervals to the take over party.
The present invention is owing to adopt above technical scheme, make it compared with prior art, have following remarkable advantage: the renewal operational order by the transmission data replaces transmitting total data, thereby reduce the transmission quantity of data, minimizing takies the communication resource, finally reduce the bandwidth of using, improved the renewal speed of securities market data.
Description of drawings
For above-mentioned purpose of the present invention, feature and advantage can be become apparent, below in conjunction with accompanying drawing the specific embodiment of the present invention is elaborated, wherein:
Fig. 1 is a quotation transmission system Organization Chart.
Fig. 2 is the process flow diagram of security order queuing data transmission method of the present invention.
Fig. 3 is the synoptic diagram that the generation price of the method according to this invention is upgraded operational order.
Fig. 4 is the synoptic diagram that the generation order of the method according to this invention upgrades operational order.
Fig. 5 is the packet structure figure of the method according to this invention.
Embodiment
In brief, method for transmitting securities market indent queue data of the present invention is to change traditional all data transmission method, and a kind of operational order transmission method is provided.Promptly when transmitting the market data for the first time, the same with traditional method, transmit whole market data, during afterwards each time transmission, only need the operational order of transmission, by this method to last secondary data, thereby reduce the transmission quantity of data, minimizing takies the communication resource, has finally reduced the bandwidth of using, and has improved the renewal speed of securities market data.
The indent queue data are meant from first order of optimum dealing price, issue the sequence information of some successively.
According to embodiments of the invention, define quantity on order from two dimensions, be meant that as 5 grades (prices) 200 (orders) from first order of optimum dealing price, issue is no more than 200 sequence information successively, requires the price of these orders to be no more than 5 simultaneously.
Below be an example:
Buy one: 6.67 2000 (10 (sums), 10 (actual quantity issueds), 200 200 200......200)
Buy two: 6.66 2000 (10 (sums), 10 (actual quantity issueds), 200 200 200......200)
Buy three: 6.65 2000 (10 (sums), 10 (actual quantity issueds), 200 200 200......200)
Buy four: 6.64 2000 (10 (sums), 10 (actual quantity issueds), 200 200 200......200)
Buy five: 6.63 2000 (10 (sums), 10 (actual quantity issueds), 200 200 200......200)
Though not to 200, because of to 5 prices, so no longer sent out six the information of buying.
Buy one: 6.67 14000 (70 (sums), 70 (actual quantity issueds), 200 200 200......200)
Buy two: 6.66 10000 (50 (sums), 50 (actual quantity issueds), 200 200 200......200)
Buy three: 6.65 12000 (60 (sums), 60 (actual quantity issueds), 200 200 200......200)
Buy four: 6.64 20000 (100 (sums), 20 (actual quantity issueds), 200 200 200......200)
Though be not dealt into and buy five, actual stroke count to 200, buys four so only be dealt into, and can only send out 20 in buying four 100, because sent out 200 altogether this moment.
The various aspects of indent queue data transmission method of the present invention are described below.
Because indent queue data in quotation are divided into buyer's data and vendor data two classes, and are basic identical on its disposal route, below only be described, similarly the processing of vendor data with buyer's data instance.
Since the two-dimensional characteristics of indent queue, the definition two-dimensional array:
Array 1: buyer's data are regarded as an array by price, and each price and price attribute thereof are regarded an element as, and each element is according to keywords--the price descending sort, as shown in table 1 below.
Table 1 is by the array 1 of price ordering
| Price 1 | Price attribute 1 |
| Price 2 | Price attribute 2 |
| Price 3 | Price attribute 3 |
| … | … |
The price attribute refers generally to order numbers, quantity forwarded, order 1, order 2 on a certain price etc., and table 2 is a real example.
The example of table 2 array 1
| Price | Order numbers sends number, order 1 order 2 orders 3 |
| 5.98 | 3，3，100 50 200 |
| 5.97 | 2，2，200 200 |
| 5.96 | 6，6，100 200 300 400 500 600 |
| … | … |
| … | … |
Array 2: all orders on each price are regarded as an array, and each order is regarded an element as, each element be according to keywords-entrust the numbering ascending order to arrange, as shown in table 3.
Table 3 is pressed the array 2 of order ordering
| Order 1 |
| Order 2 |
| Order 3 |
| … |
| … |
Can comprise one or more order attributes in the order.Order attributes refers generally to the trust quantity of a certain order etc., and table 4 is the real example that the order of a plurality of order attributes is arranged.
The example of table 4 array 2
| Entrust quantity; Entrust numbering; The trust time |
| 6000；36896；10：30：26 |
| 500；386256；10：35：23 |
| 10000；39568；10：38：20 |
| … |
| … |
According to embodiments of the invention, for array 1 is introduced three kinds of operational orders:
(1) Add (price P, price attribute P): in former array 1, add new element (price P, price attribute P) by the price order;
(2) Update (price P, price attribute P): in former array 1, find " price P ", its former attribute is revised as " price attribute P ";
(3) Delete (price P): in former array 1, find the element of " price P ", it is deleted from array 1.
Each operational order comprises an action type, as Add (interpolation), Update (renewal), Delete (deletion), and comprises operating parameter, as price, price combination of attributes.
The example of 1 one practical operations of array as shown in Figure 3, suppose that last time array comprised price 1-5, and current array comprises price 2-4, price 5 ', and price 5 (suppose price 4〉price 5 '〉price 5), wherein price 4 becomes price attribute 4 ' by price attribute 4, the operation that then needs to carry out comprises deletion price 1, upgrade price 4, add price 5 ' simultaneously, each operation has all added the operating parameter of oneself.
In addition, according to embodiments of the invention, for array 2 is introduced three kinds of operations:
(1) Add (order attributes P): the afterbody in former array 2 adds new element (order attributes P);
(2) Update (position P, order attributes P): the element order attributes of " position P " in the former array 2 is revised as " order attributes P ";
(3) Delete (position P): the element of " position P " in the array 2 is deleted from array 2.
Each operational order comprises an action type, as Add (interpolation), Update (renewal), Delete (deletion), and comprises operating parameter, as the combination of position, order attributes.Operation to order is to realize by the operation to order attributes.
The example of 2 one practical operations of array as shown in Figure 4, suppose that last time array comprised order 11-18, and current array comprises order 12-13, order 14 ', order 15-19 (supposing the trust number of the trust number＜order 19 of order 18), the operation that then needs to carry out comprises that the order attributes 14 of deletion order 11, renewal position 3 is 14 ', adds order 19 simultaneously.
Therefore the embodiment of indent queue data transmission method of the present invention is exactly the operation by above two dimensions, original data transmission is changed into the certain operations that is transmitted on the last data basis, make the take over party according to paid-in last data and these operations, generate current data.
For this reason, define a kind of packet structure as shown in Figure 5, comprising sequence number, stock code, data category, price quantity, the operation amount on each price, and operational order.Each operational order comprises action type and operating parameter.The kind of operational order as mentioned before.Though Fig. 5 illustrates each price and arranges in vertical mode, yet during actual operation, each price and price attribute thereof are to be sequentially arranged in after the price quantity.
In one embodiment of this invention, sequence number is one group of continuous integer, has judged whether that for the take over party packet is lost.Cause data discontinuous when preventing packet loss simultaneously, algorithm was lost efficacy, transmit leg will regularly be issued all data, for the take over party provides again synchronous chance.
Data category has two kinds, i.e. all data and service data.All data can comprise the partial data of indent queue, and service data comprises the operation to all data.
To all data, its subsidiary operation amount is actual to be the number of elements of array, and ignores each operational character, successively each element is placed in the operating parameter.
To service data, according to price, issue is operated to the required price of current state by laststate; According to entrusting numbering, the operation of issuing order on the corresponding price.
Fig. 2 is the process flow diagram of an embodiment of method for transmitting securities market indent queue data of the present invention.Please refer to Fig. 2, defined sender T and take over party R.In one embodiment, sender T is a stock exchange 100, and take over party R can be information service firm 200 (with reference to Fig. 1).
At first at step S101, transmit leg T obtains once all market indent queue data, and sends these whole market indent queue data to take over party R.All the form of market indent queue packets as shown in Figure 5, wherein sequence number is 0, data type can be 1 (all data).
At step S102, take over party R can receive and store this whole market indent queue data;
In an example, to introduce control variable " update mode ", and be initially set to " 0 ", expression is not upgraded; Judge according to sequence number receiving packet, just " update mode " reset to " 0 " when packet loss is arranged.
After take over party R receives all data, delete all elements of former array, and the content of packet is added in the array successively.Simultaneously " update mode " is changed to " 1 ", expression is upgraded, and promptly can upgrade operation.
At step S103, transmit leg T obtains current whole market indent queue data, and relatively these current whole market indent queue data with last time all market indent queue data to produce more new data packets, wherein this more new data packets comprise in order to whole price operating instruction of carrying out partial update of the price in the market indent queue data last time the and order operational order that the order in the price is carried out partial update.
With Fig. 3 is example, suppose that left hurdle D1 is the current quotations data for the right hurdle D2 of market order data last time, then process more as can be known, more the service data of new data packets comprises Delete (price 1), Update (price 4, price attribute 4 '), Add (price 5 ', price attribute 5 ') three price operating instruction, each price operating instruction has all been added the operating parameter of oneself.Wherein the parameter that comprises of price delete instruction is a price, and price update instruction and price are added the parameter that instruction comprises and comprised price and price attribute.
Further, the last time price attribute 4 of supposing price 4 is as shown in Figure 4 left hurdle D3 further, comprise order 11-18, and the price attribute 4 ' after upgrading is as right hurdle D4, comprise order 12-13, order 14 ', order 15-19 (supposing the trust number of the trust number＜order 19 of order 18), Delete (position 0), Update (position 3, order attributes 14 '), three order operational orders of Add (order attributes 19) have then been comprised in the price attribute of price 4.Each order 11-19 wherein, 14 ' includes data such as quantity on order.
Similarly, can comprise the order that adds respective orders quantity in the price attribute 5 ' of price 5 and add instruction.
Thus, formed a two-dimensional operation process,, promptly earlier price (vertically) has been carried out partial update, more every in price order (laterally) has been carried out partial update with reference to shown in Figure 5.
At step S104, transmit leg T can with this more new data packets send to take over party R;
At step S105, take over party R can receive this more new data packets.Wherein only be changed under the situation of " 1 " because of receiving the discontinuous maloperation that causes of the discontinuous take over party of bag, existing array is upgraded by the operation that receives in update mode for preventing; Otherwise abandoning more, new data does not process.
At step S106, take over party R upgrades the whole market indent queue data that received according to price operating instruction that is comprised in the new data packets more and order operational order.For example, market indent queue Data Update is current quotations indent queue data to utilize Fig. 3 and operational order shown in Figure 4 to incite somebody to action last time.
In actual motion, transmit leg T can obtain current whole market indent queue data and produce more new data packets with very little time interval t1 (as 3 seconds).In this way, repeat above-mentioned steps S103-106.
In the method, because sequence number discontinuous (not being to increase at 1 o'clock), just update mode is made as " 0 ", can not handle data updated bag (abandoning) this moment, up to receiving that data category is all data of " 1 ", just update mode is made as again " 1 " (expression can be upgraded), and begins to handle more new data packets.Therefore be reply packet loss problem, system t2 (as 3 minutes) at regular intervals will send once all market indent queue data according to step S101, make the take over party receive whole market indent queue data so that carry out synchronously, and update mode is set is " 1 ".
Because in the most of the time, only need communicating operational data, therefore, this technology has reduced the transmission content, has improved transfer efficiency.
Below in conjunction with a concrete transmission example transmission method of the present invention is illustrated, makes those skilled in the art more clear.
At first, definition of data classification: the new data of 1-all data 2-more
Price class of operation: 1-Add, 2-Update, 3-Delete
(ignore character during all data)
Order class of operation: 1-Add, 2-Update, 3-Delete
(ignore character during all data)
With the buyer is that example illustrates.
The take over party is made as " 0 " with 600601 market depth Data Update state, and receive sequence number puts-1.
Send for the 1st time
What send for the first time is the whole market indent queue data that comprise three prices, as following table 5:
| Sequence number | Stock code | Data category | Price quantity | Price | Operation amount | The order operation |
| 0 | 600601 | 1 | 3 | 8.21 | 5 | 500 2000 300 200 100 |
| 8.20 | 3 | 100 200 500 | ||||
| 8.16 | 3 | 500 600 800 |
Table 5
Actual data ordering can be as follows:
0，600601，1，3，(8.21 5 500 2000 300 200 100)(8.20 3 100 200 500)(8.16 4 500 600 800)
Receive for the first time
Take over party's checking sequence number is-1, just it is updated to the sequence number in the packet 0 shown in the table 5, " data category " is " 1 ", 600601 update mode is made as " 1 ", empty the order data of former buy order simultaneously, 3 prices are joined 600601 buy order formation, and this moment, buy order had following 3 prices:
8.21 500 2000 300 200 100
8.20 100 200 500
8.16 500 600 800
Send for the second time
What send for the second time is to comprise that a price adds the more new data of operational order, as following table 6:
| Sequence number | Stock code | Data category | Price quantity | The price operation | Price | Operation amount | Order operation (operation, attribute) |
| 1 | 600601 | 2 | 1 | 1 | 8.18 | 2 | (1,300)(1,500) |
Table 6
Receive for the second time
The sequence number that the take over party understands in the packet shown in the look-up table 6 is 1, and is bigger by 1 than former receive sequence number, do not have packet loss, and receive sequence number is changed to 1." data category " is " 2 ", and whether be " 1 ", for " 0 " then abandons this packet if reexamining that 600601 update mode is made as, then realize operation one by one for " 1 ", an operation is arranged in the notebook data bag, type is 1-Add, price is 8.18, operation amount is 2, and operation all is 1-Add, and order attributes is respectively 300 and 500, therefore on the basis of last once 3 prices, find 8.18 positions that should deposit, and add two orders, this moment, buy order had following 4 prices:
8.21 500 2000 300 200 100
8.20 100 200 500
8.18 300 500
8.16 500 600 800
Send for the third time
What send for the third time is to comprise that a price upgrades the more new data of an operation and a price deletion action, as following table 7:
| Sequence number | Stock code | Data category | Price quantity | The price operation | Price | Operation amount | Order operation (operation, attribute) |
| 2 | 600601 | 2 | 2 | 3 | 8.21 | ||
| 2 | 8.20 | 3 | (3，0)(2,155)(1， 700) |
Table 7
Receive for the third time
Sequence number in the packet shown in take over party's look-up table 7 is 2, and is bigger by 1 than former receive sequence number, do not have packet loss, and receive sequence number is changed to 2." data category " is " 2 ", and whether be " 1 ", for " 0 " then abandons this packet if reexamining that 600601 update mode is made as, for " 1 " then realizes operation one by one, 2 operations are arranged in the notebook data bag, and first is 3-Delete, and price is 8.21, second is 2-Update, price is 8.20, and the quantity of the 0th position of 3 operation: 3-Delete is wherein arranged, and 2-Update changes 200 of the 1st position into 55,1-Add adds one 700 strands order at the end, this moment, buy order had 3 prices:
8.20
55 500 700
8.18 300 500
8.16 500 600 800
Send for the 4th time
What send for the 4th time is the more new data that comprises a price deletion action instruction, as following table 8:
| Sequence number | Stock code | Data category | Price quantity | The price operation | Price | Operation amount | Order operation (operation, attribute) |
| 3 | 600601 | 2 | 1 | 3 | 8.20 |
Table 8
Receive for the 4th time
Sequence number in the packet shown in take over party's look-up table 8 is 3, and is bigger by 1 than former receive sequence number, do not have packet loss, and receive sequence number is changed to 3." data category " is " 2 ", and whether be " 1 ", for " 0 " then abandons this packet if reexamining that 600601 update mode is made as, for " 1 " then realizes operation one by one, an operation is arranged in the notebook data bag, and type is 3-Delete, and price is 8.20, do not need the price attribute this moment, therefore on the basis of last once 3 prices, compare each price successively, find 8.20 position, this price and price attribute thereof are deleted from array, and this moment, buy order had 2 prices.
8.18 300 500
8.16 500 600 800
Under some fortuitous event, in case sequence number discontinuous (not being to increase at 1 o'clock), the take over party just is made as update mode " 0 ", can not handle data updated bag (abandoning) this moment, up to receiving that data category is all data of " 1 ", just update mode is made as " 1 ", and begins to handle more new data packets.Therefore for preventing the generation of this situation, transmit leg (as 3 minutes) is at regular intervals just sent out an all data to carry out synchronously.
Though the present invention discloses as above with preferred embodiment; right its is not in order to qualification the present invention, any those skilled in the art, without departing from the spirit and scope of the present invention; when can doing a little modification and perfect, so protection scope of the present invention is when with being as the criterion that claims were defined.
Claims (9)
1. a method for transmitting securities market indent queue data is used for the securities market indent queue data are transferred to the take over party by transmit leg, and this method comprises the steps:
(a) transmit leg obtains whole indent queue data, and sends this data to the take over party;
(b) take over party receives and stores these whole indent queue data;
(c) after a period of time, transmit leg obtains current whole indent queue data, and relatively these current whole indent queue data with last time all the indent queue data to produce more new data packets, wherein this more new data packets comprise: in order to this whole price of indent queue data price operating instruction of carrying out partial update last time, and in order to this whole order operational order of carrying out partial update of the order in the price of indent queue data last time;
(d) transmit leg with this more new data packets send to the take over party;
(e) take over party receives this more new data packets; And
(f) take over party the more described price operating instruction in the new data packets and order operational order upgrade the whole indent queue data that received according to this.
2. method for transmitting securities market indent queue data as claimed in claim 1 is characterized in that, described price operating instruction comprises:
Price is added instruction, is used for adding a new price to whole indent queue data;
The price update instruction is used for upgrading a price of whole indent queue data; And
The price delete instruction is used for deleting a price of whole indent queue data.
3. method for transmitting securities market indent queue data as claimed in claim 2 is characterized in that described price operating instruction comprises action type and operating parameter, and described action type comprises:
Price is added operation, adds instruction corresponding to this price;
Price is upgraded operation, corresponding to this price update instruction; And
The price deletion action is corresponding to this price delete instruction;
The operating parameter of described price delete instruction comprises price;
The operating parameter that described price is added instruction and price update instruction comprises price and price attribute, and wherein said order operational order is included in this price attribute.
4. method for transmitting securities market indent queue data as claimed in claim 1 is characterized in that, described order operational order comprises:
Order adds instruction, is used for adding a new order to a certain price;
The order update instruction is used for upgrading the order attributes of an order of a certain price; And
The order delete instruction is used for deleting an order of a certain price.
5. method for transmitting securities market indent queue data as claimed in claim 4 is characterized in that, described order operational order comprises action type and operating parameter, and described action type comprises:
Order adds operation, adds instruction corresponding to this order;
Order upgrades operation, corresponding to this order update instruction; And
The order deletion action is corresponding to this order delete instruction;
The operating parameter of described order update instruction comprises:
Order attributes, expression comprises the data of quantity on order; And
The position, the position of expression order operational order operation;
The operating parameter of described order delete instruction comprises the position;
The operating parameter that described order adds instruction comprises order attributes.
6. method for transmitting securities market indent queue data as claimed in claim 1 is characterized in that, described more new data packets also comprises:
Sequence number is used to represent the order of the more new data packets that sends.
7. method for transmitting securities market indent queue data as claimed in claim 6, it is characterized in that, described take over party comprises a update mode, described take over party judges according to described sequence number more whether new data packets is continuous, if continuously, then keep this update mode for upgrading,, then set this update mode for not upgrading if discontinuous;
And (f) also comprises before in described step:
Judge whether described update mode is renewal, if, execution in step (f) then, if not, this more new data packets then abandoned.
8. method for transmitting securities market indent queue data as claimed in claim 7, it is characterized in that, described transmit leg sends once whole indent queue data at regular intervals to described take over party, the once whole indent queue snapshot datas of the every reception of described take over party are then set this update mode for upgrading.
9. method for transmitting securities market indent queue data as claimed in claim 1 is characterized in that, transmit leg sends once whole indent queue data at regular intervals to the take over party.
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Cited By (5)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| CN105933722A (en) * | 2016-04-20 | 2016-09-07 | 深圳市特纳电子有限公司 | Data transmitting method and device |
| CN109741179A (en) * | 2018-12-25 | 2019-05-10 | 北京字节跳动网络技术有限公司 | Full gear market data real-time computing technique and device |
| CN110690980A (en) * | 2019-09-19 | 2020-01-14 | 深圳证券通信有限公司 | Sending algorithm of market data |
| CN110781387A (en) * | 2019-10-10 | 2020-02-11 | 深圳证券交易所 | Pushing method of stock market snapshot, stock trading system and storage medium |
| CN112565430A (en) * | 2020-12-08 | 2021-03-26 | 上证所信息网络有限公司 | Low-delay reliable transmission method of multi-market data in wide area network |
-
2009
- 2009-01-14 CN CNA2009100452597A patent/CN101510293A/en active Pending
Cited By (5)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| CN105933722A (en) * | 2016-04-20 | 2016-09-07 | 深圳市特纳电子有限公司 | Data transmitting method and device |
| CN109741179A (en) * | 2018-12-25 | 2019-05-10 | 北京字节跳动网络技术有限公司 | Full gear market data real-time computing technique and device |
| CN110690980A (en) * | 2019-09-19 | 2020-01-14 | 深圳证券通信有限公司 | Sending algorithm of market data |
| CN110781387A (en) * | 2019-10-10 | 2020-02-11 | 深圳证券交易所 | Pushing method of stock market snapshot, stock trading system and storage medium |
| CN112565430A (en) * | 2020-12-08 | 2021-03-26 | 上证所信息网络有限公司 | Low-delay reliable transmission method of multi-market data in wide area network |
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Application publication date: 20090819 |