CN105989538A - Automatic transaction system and automatic transaction method for financial product - Google Patents
Automatic transaction system and automatic transaction method for financial product Download PDFInfo
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Abstract
The present invention provides an automatic transaction system for a financial product. The system comprises: an input/output module, used for receiving market situation data and analyzing the market situation data into market situation information and sending the market situation information to the automatic transaction module, and completing a transaction according to transaction information generated by an automatic transaction module; and the automatic transaction module, used for receiving the market situation information and generating the transaction information according to the market situation information. At least one of the input/output module and the automatic transaction module is implemented based on an FPGA. The present invention further provides an automatic transaction method for a financial product.
Description
Technical field
The present invention relates to a kind of automated trading system being applied to financial field, particularly relate to a kind of automated trading system being applied to financial product based on hardware FPGA.
Background technology
With becoming increasingly popular of sequencing securities trading, increasing securities trading is automatically performed by computer program, and this greatly improves the efficiency that transaction completes.Meanwhile, the performance requirement to transaction system for the people, the especially requirement to delay performance are more and more higher, and Transaction apparatus can be often written in water, are delayed over certain limit and can lose the chance made a profit from transaction, even can cause loss.Traditional transaction system is based on software, say, that the process really whether determine deal, how concluded the business is run in software systems, and software systems are performed by host CPU.Due to the limitation of CPU architecture and software systems, no matter network traffics how, all there is certain delay in sequencing process of exchange；And because the message count that in the unit interval, CPU can be processed is limited, when surge when needing data traffic to be processed to occur, delay can become suddenly very big, it is impossible to meet the requirement to processing speed for the sequencing transaction.
Owing to all of transaction system is required for first access market market, then processes market, and then determine deal according to current quotations information and trading algorithms, then transaction is placed an order be dealt into market.Existing automated trading system is in this process, owing to reception and the transmission placing an order of market conditions are all completed by network connection, so data have to pass through network to CPU, pass network by CPU back again, the delay transmitting data from network interface card to CPU must be introduced during this, and during CPU needs the transmitting-receiving participating in network data to process, these process all can bring very big delay.The another drawback that CPU network data brings is, cpu resource will be taken in a large number, particularly when network data bandwidth is very high.
Content of the invention
In order to solve problem above, the present invention provides a kind of financial product automated trading system, including: input/output module, it is used for receiving market conditions data and resolving to market forming being sent to automated transaction module, and the Transaction Information generating according to automated transaction module completes transaction；And automated transaction module, it is used for receiving described market forming and generate Transaction Information according to described market forming；Wherein, at least one of described input/output module and automated transaction module realizes based on FPGA.
Preferably, described input/output module includes first network protocol processing unit and the second procotol processing unit；Described first network protocol processing unit receives containing the network packet of market conditions data, and according to procotol, described network packet is resolved to market conditions packet is sent to described automated transaction module；Described second procotol processing unit receives the Transaction Information that described automated transaction module generates, and Transaction Information is encapsulated as network packet and is sent to trade market.
Preferably, also include: market conditions converting unit, it is positioned between described first network protocol processing unit and automated transaction module, give described automated transaction module for parsing market conditions Data Concurrent from the market conditions packet that described first network protocol processing unit parses according to marketing data agreement；And the module that places an order, it is positioned between described automated transaction module and the second procotol processing unit, for placing an order according to the control of the Transaction Information of described automated transaction module and order placement information being sent to described second procotol processing unit.
Preferably, described automated transaction module includes ALU, condition decision unit and instruction set unit；Described ALU can carry out logical operation according to market forming, calculates derivative value；Described condition decision unit is adjudicated to derive according to the judgment condition prestoring and is worth to court verdict；Described instruction set unit, prestores the corresponding relation of court verdict and instruction set, and the court verdict according to described condition decision unit performs corresponding instruction set.
Preferably, also include strategy configuration module, for accept user instruction and accordingly the work to described automated transaction module configure.
Preferably, described automated transaction module also includes register cell；Described strategy configuration module is configured by the running parameter to described automated transaction module for the described register cell.
Preferably, described ALU has multiple logical operation formula, can calculate multiple derivative value according to market forming；The combination of described condition decision unit judgement multiple court verdicts corresponding with the plurality of derivative value；Described instruction set unit prestores the corresponding relation of court verdict combination and instruction set, and the court verdict combination according to described condition decision unit performs corresponding instruction set.
Preferably, described automated transaction module also includes market format conversion unit, and the market forming that described automated transaction module receives is converted to the market forming of set form.
The present invention also provides a kind of financial product automatic transaction method, including: information receiving step, first network protocol processing unit receives containing the network packet of market conditions data, and according to procotol, described network packet is resolved to market conditions packet is sent to described automated transaction module；Transaction processing procedure, described market conditions packet is carried out processing generation Transaction Information by automated transaction module；Information forwarding step, the second procotol processing unit receives the Transaction Information generating in described information handling step, Transaction Information is encapsulated as network packet and is sent to trade market.
Preferably, also including: market conditions switch process, market conditions converting unit parses market conditions Data Concurrent from the market conditions packet that described first network protocol processing unit parses according to marketing data agreement and gives described automated transaction module.
Preferably, also including: lower single stage, the module that places an order places an order according to the Transaction Information control of described automated transaction module and order placement information is sent to described second procotol processing unit.
Preferably, described transaction processing procedure includes logic operation step, condition decision steps and instruction set step；Described logic operation step, logic high in the clouds unit carries out logical operation according to market forming, calculates derivative value；Described condition decision steps, condition decision unit is adjudicated to derive according to the judgment condition prestoring and is worth to court verdict；Described instruction set step, instruction set unit prestores the corresponding relation of court verdict and instruction set, and described instruction set unit performs corresponding instruction set according to the court verdict of described condition decision unit.
Preferably, also include strategies configuring step, strategy configuration module accept user instruction and accordingly the work to described automated transaction module configure.
Preferably, described transaction processing procedure also includes storing step；Register cell can store the data message that the described strategy configuration running parameter to described automated transaction module for the module configures.
Preferably, in described logic operation step, described ALU has multiple logical operation formula, can calculate multiple derivative value according to market forming；In described condition decision steps, the combination of described condition decision unit judgement multiple court verdicts corresponding with the plurality of derivative value；In described instruction set step, described instruction set unit prestores the corresponding relation of court verdict combination and instruction set, and the court verdict combination according to described condition decision unit performs corresponding instruction set.
Preferably, also including market format conversion step, the market forming that described automated transaction module receives is converted to the market forming of set form by market format conversion unit.
The present invention uses a kind of brand-new framework, will operate in hardware (FPGA) by logical transaction, and complete procotol and the process of market agreement by hardware itself, thus avoid data from network to CPU, the delay being caused from CPU to network again, also avoid using CPU network data simultaneously, thus solve CPU and take the problems such as unstable with delay performance.By the operational formula needed for trading algorithms is integrated into hardware, the feature that High-Speed Hardware is parallel can be utilized, multiple operational formula parallel processings, realize high arithmetic speed, and it is by way of mapping, operation result is corresponding with needing the instruction performing, characteristic also with hardware, it is achieved the triggering of extremely low delay.
Brief description
Fig. 1 is the structural representation of the financial product automated trading system that embodiment of the present invention relates to；
Fig. 2 is the structural representation of the automated transaction module of the financial product automated trading system that embodiment of the present invention relates to；
Fig. 3 is the system process chart of the financial product automated transaction that embodiment of the present invention relates to.
Detailed description of the invention
Illustrate the present invention below according to accompanying drawing illustrated embodiment.This time disclosed embodiment is it is believed that be illustration in all respects, without limitation.The scope of the present invention is not limited by the explanation of implementation below, only by shown in the scope of claims, and all deformation in the meaning and right as including having with right.
Fig. 1 is the structural representation of financial product automated trading system involved in the present invention.Described financial product automated trading system is able to receive that the network packet of market information end 1～M, and the market conditions data receiving are analyzed, place an order according to the Transaction Information analyzed after analyzing Transaction Information, and send order placement information to marketing end 1～N.Described automated trading system includes procotol processing module the 1st, market conditions modular converter the 2nd, automated transaction module 3 and the module 4 that places an order.The network packet receiving can be carried out resolving according to the network transmission protocol or package related data by described procotol processing module 1.The packet that procotol processing module 1 can be parsed by described market conditions modular converter 2 according to specialized market's data protocol resolves.Market conditions data can be processed by described automated transaction module 3, obtains trading instruction or instruction set, and is placed an order by the module 4 that places an order.
Described procotol processing module 1 has first network protocol process module 11 and the second procotol processing module 12, the main agreement processing MAC layer (data link layer) and tcp/ip layer (Internet), it is achieved the parsing of network packet or the group bag of related data.Described first network protocol process module 11 comprises multiple first network protocol processing unit 111, connect market information end 1～M and market conditions modular converter 2 respectively, the network packet containing market conditions data of market end input is mainly resolved by this module according to the host-host protocol of Internet, parse the market conditions packet containing market conditions data, and send the packet parsing to market conditions modular converter 2.Second procotol processing module 12 comprises multiple second procotol processing unit 121, connect marketing end 1～N and the module 4 that places an order respectively, the message that places an order of the module 4 that places an order mainly is packaged by this module according to corresponding procotol, and is sent to marketing end 1～N the network packet after group bag by network.
Described market conditions modular converter 2 storage inside has specialized market's data protocol, the market conditions packet that can send, according to the marketing data agreement of storage, the first network protocol process module 11 receiving resolves, parse concrete market conditions data, and send the market conditions data parsing to automated transaction module 3；This module has multiple market conditions converting unit 21 corresponding with multiple first network protocol processing unit.
The market conditions data receiving can be processed by described automated transaction module 3 according to certain trading algorithms, obtains trading instruction or the instruction set with certain rule.Fig. 2 is the structural representation of the automated transaction module of the financial product automated trading system that embodiment of the present invention relates to.As in figure 2 it is shown, described automated transaction module 3 includes Data Format Transform unit the 31st, ALU the 32nd, condition decision unit the 33rd, instruction set unit 34 and register cell 35.Wherein, Data Format Transform unit 31 internal custom has specific data structure, can carry out changing and storing according to the specific data structure of this Data Format Transform unit 31 storage inside by the market conditions data of different-format, this unit can also update currently stored data according to present quotation；Market conditions data are filtered by the configuration protocol that this Data Format Transform unit 31 can strategically configure in module 5 simultaneously, filter out the market conditions data list meeting configuration protocol.ALU 32 is the unit being made up of formulary (formula 1～P), the arithmetic logic of formula is to write in FPGA hardware in advance, the market conditions data of input can be carried out corresponding logical operation according to formulary by this unit, and send operation result to condition decision unit 33；The wherein said parameter in formulary and the data needed for computing can be obtained by subscriber policy configuration, it is also possible to read from Data Format Transform unit 31.Condition decision unit 33 can store decision value and judgment condition, the result of decision value and ALU 32 computing can be carried out contrast according to certain judgment condition and obtain court verdict by this unit, this court verdict is mapped to a binary code (i.e. the result of the corresponding judgment condition of each bit value of binary code), and sends this binary code to instruction set unit 34；Described judgment condition is in this process>,=or<, the result of judgement is 0 or 1(represents that whether condition meets), the decision value using in this process can be configuration in real time, it is also possible to be that configured in advance is good.Be stored with in instruction set unit 34 an instruction set table, multiple instruction set that places an order that is stored with in this instruction set table (instruction set 1～X), each corresponding binary code of the instruction set that places an order, the binary code that the condition decision unit 33 receiving is sent by this instruction set unit 34 mates with the instruction set that places an order of storage, when the binary code receiving mates completely with some instruction set that places an order, so trigger the corresponding lower single instrction of this instruction set that places an order (instruction 1～Q), and send the instruction set information that places an order of this triggering to the module 4 that places an order；Described each places an order instruction set one or more lower single instrction corresponding, after certain instruction set that places an order is triggered, this lower single instrction placing an order corresponding to instruction set will be performed (function of instruction is to write in FPGA system in advance), if this lower single instrction being performed can be to carry out to certain financial product buying or selling, buy and sell the instructions such as direction, price, quantity.Register cell 35 is connected with the external components (strategy configuration module 5) of Data Format Transform unit the 31st, ALU the 32nd, condition decision unit the 33rd, instruction set unit 34 and described automated trading system respectively, this register cell 35 can store the data such as the strategy configuration parameter that configured of module 5, and the data configuration such as the parameter by storage is in coupled unit.
The module that places an order 4 includes multiple lower single unit 41 corresponding with the second procotol processing unit, the instruction of the instruction set that places an order that user can trigger according to instruction set unit 34 places an order, lower single instrction that user input by each lower single unit is according to the correct message that places an order of corresponding marketing data protocol generation, and by network transmission to marketing end 1～N.The specifying information relating to that places an order in financial product process of exchange includes: target, price and quantity.
The procotol processing module of described automated trading system the 1st, market conditions modular converter the 2nd, automated transaction module 3 and the module 4 that places an order are based on FPGA hardware, the function of described procotol processing module the 1st, market conditions modular converter the 2nd, automated transaction module 3 and the module 4 that places an order all is realized by FPGA hardware logic circuit, such as procotol parsing, marketing data protocol processes and logical transaction etc., system so can be made to obtain extremely low delay.(such as procotol parsing, marketing data protocol processes and the logical transaction) programmings such as the corresponding code of function of above-mentioned each module are entered the appropriate section of FPGA hardware logic circuit by FPGA control parts (not shown) by operating personnel, for realizing above-mentioned function.Additionally, operating personnel can also be rewritten by the strategy configuration function to FPGA hardware circuit for the module 5, entered the corresponding code of function of required realization by described FPGA control parts (not shown) programming again.
The financial product automated trading system that the present invention relates to also includes strategy configuration module 5, described strategy configuration module 5 has input-output unit 51 and information calculating unit 52, this inside modules is stored with certain configuration protocol, operating personnel can be checked by input-output unit 51 or the result of monitoring system internal data, operating personnel can also be manually entered the parameters of formula needed for hardware system each unit or module by this unit, hardware components is entered the strategy configurations such as line parameter by the information such as order parameter, strategy configuration goes configuration according to the configuration protocol of storage in this module.Information calculating unit 52 can the information such as parameter needed for computing hardware system.Hardware system can allow the operator to check system mode by strategically configuring the feedback of status that module 5 configures to strategy configuration module 5 simultaneously.Fig. 3 is the process chart of financial product automated trading system involved in the present invention.
First, market conditions data are sent to procotol processing module 1 by marketing end 1～N through network, procotol processing module 1 resolves according to certain procotol after receiving the network packet containing market conditions data, resolve to market conditions packet and other information, and send the market conditions packet parsing to market conditions modular converter 2(step S1).The market conditions packet receiving is parsed concrete market conditions data according to specialized market's data protocol by market conditions modular converter 2, and sends this market conditions data to automated transaction module 3(step S2).
The market conditions data receiving are changed by the Data Format Transform unit 31 under automated transaction module 3 according to the set data structure of Data Format Transform unit 31 storage inside, the market conditions data of different-format are converted to the market conditions data of same format, this Data Format Transform unit 31 is gone out the list of satisfactory market conditions data according to operating personnel by the policy filtering that the configuration protocol of strategy configuration module 5 configures simultaneously, to improve the efficiency (step S3) of automated transaction module 3 visited market market data.Concrete, the data of the form that the conversion of market conditions data is fixed by Data Format Transform unit 31 according to the data structure of storage, for example can be converted to the quotation information of two kinds of structures of Type1 and Type2, Type1 includes optimal on level1(Vehicles Collected from Market buying/sell price, and corresponding trust amount etc.), level2(includes many grades of market, the level2 of such as Shanghai Stock Exchange supports 10 grades of market, including dealing queue, each grade buy/sell price, trust amount, entrust total amount, the weighting data such as price) and timesale(timesale data refer to up-to-date deal message, the up-to-date concluded price of such as certain stock, the information such as exchange hand) quotation information；Type2 includes the information such as financial product code (symbol), exchange, financial product type, channel id, marketmaker id, and some internal data structures, can be used to store timestamp and exchange some data message distinctive；Data Format Transform unit 31 is stored in the market conditions data after above-mentioned format transformation in the memory unit (not shown) within this unit simultaneously, and by the input-output unit 51 of above-mentioned market conditions data feedback to strategy configuration module 5, in order to operating personnel can understand market conditions in time.
After market conditions Data Format Transform, ALU 32 carries out formula operation, calculates derivative value, then sends the derivative value of logical operation to condition decision unit 33, and the logical operation of described formula is (step S4) writing in advance in FPGA hardware.Concrete, ALU 32 is internal contains multiple operational formulas (formula 1～P), and described operational formula is the formula with regard to market conditions instruction, the corresponding derivative value of each operational formula result.The input of the data such as the parameter of the calculating of the described derivative value of difference according to market conditions data and formula thereof is also different: the difference of the type according to market conditions data, and the calculating of derivative value can be divided into Basket type calculation and non-Basket type calculation；Owing to operating personnel can monitor market conditions data in real time by strategy configuration module 5, operating personnel can carry out strategy configuration (such as this configuration data can be Type3 type, and Type3 type includes the information such as financial product code, exchange and price) according to parameter and data to described operational formula for the market conditions data monitoring；The parameter of described operational formula and data also can be directly read (data that for example can read Type1 or Type2 type) by ALU 32 in Data Format Transform unit 31.When the logical operation of formula terminates to obtain corresponding derivative value, ALU 32 sends the derivative value of this computing to condition decision unit 33.
Condition decision unit 33 receives the derivative value of ALU 32, the decision value of derivative value and condition decision unit 33 storage inside is carried out contrast (one of each derivative value respective conditions decision unit 33 Rule of judgment), obtain court verdict, and court verdict is mapped as binary code transmission to instruction set unit 34(step S5).Derivative value according to set judgment condition (judgment condition as>,<or=) contrast with decision value, whether the result of judgement is for meeting judgment condition, as the court verdict meeting judgment condition being set to 1, the court verdict being unsatisfactory for judgment condition is set to 0, the court verdict of each corresponding binary code of derivative value final, the court verdict of the corresponding multiple binary codes of multiple derivative values, above-mentioned multiple court verdicts (0 or 1) are consisted of binary code, and sends this binary code to instruction set unit 34.
Each corresponding binary code of the instruction set that places an order of the binary code receiving and storage in instruction set unit 34 is contrasted by instruction set unit 34, if the binary code that the binary code of described reception places an order in instruction set with certain is identical, then this instruction set that places an order of system trigger, and perform the corresponding lower single instrction of this instruction set that places an order；If the binary code that the binary code of described reception places an order in instruction set from certain is different, then do not perform any instruction (step S6).The instruction set that is stored with in instruction set unit 34 table, multiple instruction set that places an order that is stored with in instruction set table (the corresponding one group of binary code of each instruction set), be stored with in each instruction set that places an order multiple instruction (as each instruction set that places an order includes 16 lower single instrctions, wherein can include the instruction of 8 Basket types and the instruction of 8 non-Basket types (single mark))；The function of described instruction is that prior programming enters in FPGA hardware, and this lower single instrction can be to carry out buying or selling to certain financial product, buy and sell direction, basis of price, trading volume etc..When the binary code that instruction set unit 34 receives is with when certain corresponding binary code of the instruction set that places an order is identical in instruction set table, just trigger the instruction set that places an order in this instruction set table, send corresponding lower single instrction in this execution instruction set table to the module 4 that places an order；Described above-mentioned instruction set can determine according to market conditions data, it is also possible to is carried out configuration by operating personnel by strategy configuration module 5 and determines.
After lower single instrction sends, the module that places an order 4 receives this lower single instrction, and this module can generate the correct message that places an order according to specialized market's data protocol, and sends this message that places an order to (step S7) in the second procotol processing module 12.The above-mentioned correct message groups bag that places an order is network packet according to corresponding procotol by the second procotol processing module 12, and is sent to market information end 1～M(step S8 the network packet after group bag by network).
The described financial product automated trading system that is applied to based on FPGA also includes counter (not shown), the instruction set unit 34 of described system arranges counter, using counter controls to place an order number of times, the value of counter is configured by strategy configuration module 5 by operating personnel.When the condition in a required conditional combination meets, finding an instruction set by mapping relations, this instruction set has a lower single counter, if the value of counter just removes to perform lower single instrction more than 1, and successively decreases the value of counter.When the counter of this instruction set is zero, all lower single instrction of this instruction set does not performs.
Each illustrated in present invention instruction set that places an order includes 16 lower single instrctions, wherein can include the instruction of 8 Basket types and the instruction of 8 non-Basket types (single mark), but be not limited only to this.The instruction number that places an order placing an order in instruction set can be more or less than 16, and the wherein instruction of Basket type and the instruction of non-Basket type is not defined in 8 respectively yet.
The derivative value that ALU is obtained by condition decision unit involved in the present invention contrasts with decision value under judgment condition, and court verdict is mapped as binary code, but is not limited only to this.Other judgement mode can be used.
The procotol processing module of automated trading system of the present invention 1st, market conditions modular converter the 2nd, automated transaction module 3 and the module 4 that places an order are all based on the hardware system of FPGA, but are not limited only to this.Only automated transaction module 3 can be set to based on FPGA hardware, procotol processing module the 1st, market conditions modular converter 2 and can not be in whole or in part based on FPGA hardware but based on Software for Design in module 4 that place an order.Equally, automated transaction module 3 also can be based on Software for Design, part or all of based on FPGA hardware in other modules.
The process of the process of the automated trading system that the present invention relates to is exemplified below.
The illustration of the process of the financial product of example 1:Basket type
If the market conditions data that Data Format Transform unit 31 receives are package Basket type market data, need to calculate the derivative value of Basket type.For example during the phase that realizes existing arbitrage, now entirely replicate arbitrage such as the Shanghai and Shenzhen 300 stock index phase, need to calculate the derivative value of Basket type.Detailed process is as follows.
The computing formula that Basket type derives value can be:
, this formula is entered in hardware by prior programming.
When the derivative value of the Basket type of given period existing arbitrage, arranging two threshold values and calculating the derivative value of Basket respectively, each Basket mono-has 302 monomials and adds up, and the weighted value of the item after sequence number 303 needs zero setting；The derivative value of under two threshold values twodev 1Withdev 2Computing formula can be respectively set to:
。
1 configuration protocol and filter list
Level1, level2 and timesale market data (Type1) of 1.1 300 stocks filtering out stock markets of Shanghai and Shenzhen；
1.2 filter out the stock price index futures main force and about IF1406(IF1406 is to expire in June, 14, and this contract is expired, is used merely as example at this) level1 and timesale market data (Type1)；
The global variable (Type3) that 1.3 operating personnel can be provided by strategy configuration module 5 is placed in register cell 35, participates in the derivative value of Basket and calculates.
2
Calculate the derivative value of two Basket typesdev 1Withdev 2(the phase present price differences under respectively two different threshold values)
2.1 determinex
2.1.1 x 1Arrivex 300Being the market price of 300 stocks, the value of stock price is divided three classes: the stock of the first kind takes timesale price, and the stock of Equations of The Second Kind takes level1
Bid price, the stock of the 3rd class takes level1 ask price；
2.1.2 x301Price for the ask 1 of IF1406；
2.1.3 x302For the basic value being stored in register cell 35 by strategy configuration module 5 configuration for the operating personnel；
2.2 offsetConfiguration
2.2.1 stock side-play amount (offset 1Arriveoffset 300) it is divided into two classes, the stock offset of Shanghai Stock Exchange is 3 this stock minimum price variation units, the stock of Shenzhen Stock ExchangeoffsetIt is 2 this stock minimum price variation units；
2.2.2 offset 301It for the deviant of the price of IF1406, is that the minimum price table of-1 stock price index futures moves unit；
2.2.3 offset 302Being the corresponding side-play amount of basic value of storage in register cell 35, joining is zero；
2.3 wConfiguration
2.3.1 stock weight (w 1Arrivew 300) it is negative value, it is the corresponding weight of each stock that policy calculation is good；
2.3.2 w 301Being the weight of IF1406, joining is 1；
2.3.3 w 302Being the weight of the basic value of storage in register cell 35, joining is 1；
devThe configuration of 1 constant C: 20,dev 2ConstantFor: 30(constant C is for convenience willdevValue and 0 compares)；
2.4 calculate derivative valuedev 1Withdev 2。
3
Configuration determination condition: condition 1:dev 1> the 0th, condition 2:dev 2>0。
4
Configuration maps and lower single instrction
4.1 logical conditions are to the mapping configuration of the instruction set that places an order: have two differences to place an order instruction set InstructionSetA and InstructionSetB, set up mapping relations: meet condition 1 and be unsatisfactory for being mapped to InstructionSetA during condition 2, two conditions are mapped to InstructionSetB when all meeting, and other situations do not perform to place an order；
The configuration of 4.2 times single instrctions:
4.2.1 having single instrction under a Basket in InstructionSetA, Basket maximum number of times that places an order is configured to 1, the number of times that places an order on one of this instruction set Basket for this strategy of hardware record.Configure single instrction under this Basket:
4.2.1.1 target: being determined by strategy configuration completely, sell short IF1406, buys in stock markets of Shanghai and Shenzhen 300 stock；
4.2.1.2 place an order price: futures deduct 1 stock price index futures minimum price variation unit (0.2), the current ask1 price of every, stock stock with current bid1 price；
4.2.1.3 quantity: when futures are fixed values 1, the quantity of every stock is calculated by information calculating unit 53, and the message with Type3 is supplied to hardware；
4.2.2 InstructionSetB is different from having in the configuration of InstructionSetA at 2:
4.2.2.1 the price that places an order of stock is more positive, adds the minimum price variation unit of 1 stock with the price of the current ask1 of stock；
4.2.2.2
The maximum of the Basket number of times that places an order is configured to 2, should be noted: in two instruction set, the target of basket is all identical, but maximum places an order, number of times is different, and the mark of the number of times that places an order only can not carry out record according to a target；
User can use a derivative value with oneself definitiondevOr multiple derivative valuesdev, for the formula of basket type, 8 derivative values can be supporteddev, user oneself defines what condition is this 1-8 value to meet respectively as required, could trigger instruction below.
Example 2: the illustration of the process of the financial product of non-Basket type
If the market conditions data that Data Format Transform unit 31 receives are only the market data of one stock, so needing to calculate the derivative value of non-Basket type, the derivative value of 16 non-Basket that can calculate same financial product code (symbol) (is respectivelydev 1~dev 16).The situation of non-basket type, formula and the basket type of use are not quite alike, support 16devValue calculates, and wherein the parameter in formula and data too can be from type1, and type2 message obtains, or is configured by user by type3 message.
Detailed process is as follows.
The computing formula that non-Basket type derives value can be formula 1～formula 3:
Formula 1
Formula 2
Character string comparison:dev i =strcmp(string1,string2)
Formula 3.
1 configuration protocol and filter list:
Level1, level2 and timesale market data (Type1) of 1.1 stocks obtaining all Nasdaqs and NYSE；
1.2 stocks obtaining all Nasdaqs are converted to inside story (Type2).
2 configurations derive value and calculate: derivative value is all the inside story of the Type2 of the market conditions data conversion of same financial product code (symbol):
dev 1=(i32_value1)
- 92800
dev 2=(i32_value1)
- 92935
dev 3=(i32_value2)
- 69
dev 4=(i32_value3)
- 88
dev 5=(i32_value4) – 30000
dev 6=(i64_value1) – 5000000
dev 7=(i32_value5) – 66
dev 8=(i32_value6) – 50
dev 9=(i32_value7) – 100
dev 10=(i32_value8) – 1000
dev 11=250*abs(i32_value9 - i32_value10)
dev 12=150*abs(i32_value9 - i32_value10)
dev 13=5*(i32_value11)- (i32_value12)
dev 14=abs(i32_value15-i32_value10)–5*abs(i32_value16-i32_value10)
dev 15=strncmp(string_value1,”ADR”,3)
dev 16=strncmp(string_value2,”ACW”,3)。
3 configuration determination conditions:
dev 1 >= 0
dev 2 <
0
dev 3 == 0
dev 4 == 0
dev 5 >= 0
dev 6 <= 0
dev 7 >= 0
dev 8 != 0
dev 9 >= 0
dev 10 >= 0
dev 11 <= 0
dev 12 < = 0
dev 13 <= 0
dev 14 >= 0
dev 15 == 0
dev 16 == 0。
4 configurations map and lower single instrction:
4.1, when 16 derivative value conditions all meet Rule of judgment, perform this instruction set, and only one of which financial product code (symbol) instruction in instruction set, the number of times that places an order of the maximum on a financial product code (symbol) is 1；
Being configured that of 4.2 this instructions
4.2.1 target: when financial product code (symbol) territory of the Type2 inside story of conversion draws transaction direction (buy in or sell) according to the territory of an int32；
4.2.2 price: calculate respectively according to different exchanges, calculates data and derives from Type2 inside story and the parameter by strategy configuration module 5 configuration: int32_value7+
int32_value8*weight1+int32_value*weight2, it is then converted into the price of actual floating number；(formula of hardware calculating price:)
4.2.3 quantity: calculated by information calculating unit 53, is supplied to hardware by strategy configuration module 5.
Example 3: select the illustration of the process of the financial product of option par (put-call parity)
One call option matches (the identical Expiration Date with put option option, identical strike price, identical target), the derivative value being calculated by the corresponding target market of option market, this corresponding relation can go inquiry to obtain without hardware, but configured the option of specific corresponding to relation by strategy configuration module 5.
The computing formula of the derivative value of this option par type can be:
dev 1 = 。
1 configuration protocol and filter list:
1.1 acquisitions are paid close attention tonLevel1 and timesale market data (Type1) to option contract；
1.2 level1 and timesale market data (Type1) obtaining the target stock corresponding to option contract.
2
The derivative value of configuration calculates: (derive value and calculate the market valency of two option contracts relating to pairing)
x 1Timesale price for target stock；
x 2Timesale price for put option；
x 3Identical strike price for call and put；
x 4For call
The timasale price of option；
w 3The value configuration calculated by information calculating unit 53, other weighted values are configured to 1；
C is a price differential threshold value, is configured to 5.
3
Configuration determination condition: condition 1dev 1>0。
4
Configuration maps and lower single instrction:
4.1 place an order instruction set only one of which, perform when condition 1 meets, and instruction is concentrated with 1 Basket instruction, and the number of times that places an order of the maximum on a Basket is 1；
4.2 Basket are configured to the option of currently processed pairing and corresponding stock target；
Quantity is by strategy configuration module 5 configuration, and the market biasing that price is taken each target by hardware moves determination.
In the example explanation that the present invention relates to, in example 1, Basket type market market data need to calculate the derivative value of 2, corresponding 2 concrete lower single instrctions；In example 2, the market conditions data of non-Basket type need to calculate 16 derivative values, corresponding 16 concrete lower single instrctions；In example 3, the market conditions data of option only calculate 1 derivative value, corresponding 1 concrete lower single instrction, but are not limited only to this.The derivative value quantity that above-mentioned different types of market conditions data calculate can be set by operating personnel, is not limited only to above-mentioned 2,16 and 1.
Claims (16)
1. a financial product automated trading system, comprising:
Input/output module, is used for receiving market conditions data and resolving to market forming being sent to automated transaction module, and the Transaction Information generating according to automated transaction module completes transaction；And
Automated transaction module, is used for receiving described market forming and generates Transaction Information according to described market forming；
Wherein, at least one of described input/output module and automated transaction module is based on fpga logic circuit realiration.
2. automated trading system according to claim 1, it is characterised in that:
Described input/output module includes first network protocol processing unit and the second procotol processing unit；
Described first network protocol processing unit receives containing the network packet of market conditions data, and according to procotol, described network packet is resolved to market conditions packet is sent to described automated transaction module；
Described second procotol processing unit receives the Transaction Information that described automated transaction module generates, and Transaction Information is encapsulated as network packet and is sent to trade market.
3. automated trading system according to claim 2, also includes:
Market conditions converting unit, it is positioned between described first network protocol processing unit and automated transaction module, give described automated transaction module for parsing market conditions Data Concurrent from the market conditions packet that described first network protocol processing unit parses according to marketing data agreement；And
Place an order module, is positioned between described automated transaction module and the second procotol processing unit, for placing an order according to the control of the Transaction Information of described automated transaction module and order placement information being sent to described second procotol processing unit.
4. the automated trading system according to according to any one of claims 1 to 3, it is characterised in that:
Described automated transaction module includes ALU, condition decision unit and instruction set unit；
Described ALU can carry out logical operation according to market forming, calculates derivative value；
Described condition decision unit is adjudicated to derive according to the judgment condition prestoring and is worth to court verdict；
Described instruction set unit, prestores the corresponding relation of court verdict and instruction set, and the court verdict according to described condition decision unit performs corresponding instruction set.
5. automated trading system according to claim 4, it is characterised in that:
Also include strategy configuration module, for accept user instruction and accordingly the work to described automated transaction module configure.
6. automated trading system according to claim 5, it is characterised in that:
Described automated transaction module also includes register cell；
Described strategy configuration module is configured by the running parameter to described automated transaction module for the described register cell.
7. automated trading system according to claim 4, it is characterised in that:
Described ALU has multiple logical operation formula, can calculate multiple derivative value according to market forming；
The combination of described condition decision unit judgement multiple court verdicts corresponding with the plurality of derivative value；
Described instruction set unit prestores the corresponding relation of court verdict combination and instruction set, and the court verdict combination according to described condition decision unit performs corresponding instruction set.
8. automated trading system according to claim 4, it is characterised in that:
Described automated transaction module also includes market format conversion unit, and the market forming that described automated transaction module receives is converted to the market forming of set form.
9. a financial product automatic transaction method, comprising:
Input and output step, receives market conditions data and resolves to market forming for automatic transaction step, and completing to conclude the business according to the Transaction Information of automated transaction step generation；And
Automated transaction step, is used for receiving described market forming and generates Transaction Information according to described market forming；
Wherein, at least one of described input and output step and automated transaction step is based on fpga logic circuit realiration.
10. automatic transaction method according to claim 9, it is characterised in that:
Described input and output step includes that first network protocol processes step and the second procotol process step；
Described first network protocol processes step receives the network packet containing market conditions data, and according to procotol, described network packet is resolved to market conditions packet；
Described second procotol processes step and receives the Transaction Information that described automated transaction step generates, and Transaction Information is encapsulated as network packet and is sent to trade market.
11. automatic transaction methods according to claim 10, also include:
Market conditions switch process, for parsing market conditions data according to marketing data agreement from the market conditions packet that described first network protocol processes step parses；And
Lower single stage, places an order for the Transaction Information control generating according to described automated transaction step, and described order placement information processes in step in described second procotol and is sent to trade market.
12. automatic transaction methods according to according to any one of claim 9～11, it is characterised in that:
Described automated transaction step includes logic operation step, condition decision steps and instruction generation step；
In described logic operation step, carry out logical operation according to market forming, calculate derivative value；
In described condition decision steps, derive according to the judgment condition judgement prestoring and be worth to court verdict；
In described instruction generation step, perform corresponding instruction set according to the court verdict prestoring with the corresponding relation of instruction set.
13. automatic transaction methods according to claim 12, it is characterised in that:
Also include strategies configuring step, for accept user instruction and accordingly the work to described automated transaction step configure.
14. automatic transaction methods according to claim 13, it is characterised in that:
In described strategies configuring step, configured by the running parameter of automated transaction step described in register pair.
15. automatic transaction methods according to claim 12, it is characterised in that:
In described logic operation step, multiple logical operation formula is used to calculate multiple derivative value according to market forming；
In described condition decision steps, the combination of judgement multiple court verdicts corresponding with the plurality of derivative value；
In described instruction generation step, the court verdict combination according to prestoring performs corresponding instruction set with the corresponding relation of instruction set.
16. automatic transaction methods according to claim 12, it is characterised in that:
Described automated transaction step also includes market format conversion step, and the market forming receiving is converted in described market format conversion step the market forming of set form.
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