CN107592235A - Optimal delay lower limit computing system and method - Google Patents
Optimal delay lower limit computing system and method Download PDFInfo
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- CN107592235A CN107592235A CN201610528208.XA CN201610528208A CN107592235A CN 107592235 A CN107592235 A CN 107592235A CN 201610528208 A CN201610528208 A CN 201610528208A CN 107592235 A CN107592235 A CN 107592235A
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- delay
- rolling average
- deviation
- lower limit
- quotation
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Abstract
Optimal delay lower limit computing system provided by the invention, has the feature that, including：Data acquisition module, collection delay rolling average, recent quotation, delay movement deviation；Deviation factor setting module, set deviation factor；Data comparison module, compare recent quotation and postpone the size of rolling average, and compare the size that recent quotation subtracts the absolute value of delay rolling average and delay movement deviation is multiplied by deviation factor；And early warning starting module, postpone rolling average when recent quotation is more than, and recent quotation subtracts the absolute value for postponing rolling average and is multiplied by deviation factor more than movement deviation is postponed, and delay shows abnormality, progress early warning.
Description
Technical field
The present invention relates to delay to calculate, more particularly to a kind of optimal delay lower limit computing system and method.
Background technology
The parameter of a set of load balancing hardware is made mistakes, and causes occur substantial amounts of packet loss on single line.When quotation frequency becomes
When fast, packet can suffer scattered, particularly bigger gradient price.
Data throughout exceeds bandwidth because of market fluctuation within moment, causes quotation to be stuck in buffer status, causes row
In price postponement rise below.
There is system or hardware fault in counterparty or quotation side, cause data by systematic delay or packet loss.
The reliability of the market price is vital for transaction system, but market generally existing transaction value postpones
Cause to strike a bargain and cause trade loss.Financial institution recognizes that the quality of quote data is to improve probability of transaction more and more
Preceding topic.In the foreign exchange market of high frequency, would rather there can not be the quotation of delay without quotation.Quotation with delay can cause pair
The misleading in market.The quotation for having delay by the use of one frequently can lead to tactful failure as the parameter of strategy.From most complicated calculation
Method strategy is the quality of data to simplest artificial strategy, most important success factor.The purpose of this scheme is to quotation
System and deal maker provide the early warning of improper delay price.According to this early warning, Market maker is reminded to adjust quotation strategy in time, than
Such as, price difference is widened to lower by the risk of arbitrage.At the same time, deal maker is allowed also to recognize that this quotation is that have delay in time
, it can not really react market situation instantly.
The content of the invention
The present invention is that used time few optimal prolongs, and it is an object of the present invention to provide calculating accurate in order to solving the above problems and carry out
Slow lower limit computing system and method.
Optimal delay lower limit computing system provided by the invention, has the feature that, including：Data acquisition module, adopt
Collection delay rolling average, recent quotation, delay movement deviation；Deviation factor setting module, set deviation factor；Data comparison mould
Block, compare recent quotation with postpone rolling average size, and compare recent quotation subtract delay rolling average absolute value with
Delay movement deviation is multiplied by the size of deviation factor；And early warning starting module, postpone rolling average when recent quotation is more than, and
And recent quotation subtracts the absolute value for postponing rolling average and is multiplied by deviation factor more than movement deviation is postponed, delay shows abnormality,
Carry out early warning.
Optimal delay lower limit computing system provided by the invention, also has the feature that：Wherein, rolling average is postponed,
Represent a basis delay.
Optimal delay lower limit computing system provided by the invention, also has the feature that：Wherein, movement deviation is postponed,
Represent the stability of data.
The optimal delay Method of Calculating Lower Limit that the present invention also provides, has the feature that, comprises the following steps：
Step 1, collection delay rolling average, recent quotation, delay movement deviation；
Step 2, set deviation factor；
Step 3, compare recent quotation and postpone the size of rolling average, and compare recent quotation and subtract delay movement
Average absolute value is multiplied by the size of deviation factor with delay movement deviation；And
Step 4, if recent quotation is more than delay rolling average, and recent quotation subtracts the exhausted of delay rolling average
It is more than delay movement deviation to value and is multiplied by deviation factor, delay performance is unusual, carries out early warning.
The optimal delay Method of Calculating Lower Limit that the present invention also provides, also has the feature that：Wherein, delay is mobile flat
, a basis delay is represented.
The optimal delay Method of Calculating Lower Limit that the present invention also provides, also has the feature that：Wherein, delay is mobile inclined
Difference, represent the stability of data.
The effect of example and effect
According to optimal delay lower limit computing system involved in the present invention and method, can be judged by unique data parameter
The range of operation of delay, and price of the automatic fitration with exception deferral；This set of system can allow participant in the market to select one
Specific transaction performs speed, by determining or using a price, being achieved in obtaining the optimal fair chance for performing speed；
The difference for the stochastic technique that this Innovation System uses is that it can automatically detect and screen in same electronic trade platform
The execution speed of upper different dealers.The system needs to send time point value according on quotation message come computing relay；If
This message is to use FIX agreements, then this value should be what is found on domain 52, sendingTime；When this time and system locality
Between difference be present, be due to that the time of each system sets and certain otherness be present, so this value is not one absolute
Length of delay；In some cases, the lead time of two different servers is likely to be breached the 1-2 seconds.
Brief description of the drawings
Fig. 1 is the structured flowchart of optimal delay lower limit computing system of the present invention in embodiment；And
Fig. 2 is the flow chart of optimal delay Method of Calculating Lower Limit of the present invention in embodiment.
Embodiment
Referring to the drawings and embodiment is made in detail to optimal delay lower limit computing system involved in the present invention and method
Description.
Embodiment
Fig. 1 is the structured flowchart of optimal delay lower limit computing system of the present invention in embodiment.
As shown in figure 1, optimal delay lower limit computing system, has：Data acquisition module 1, deviation factor setting module 2,
Data comparison module 3 and early warning starting module 4.
The collection delay of data acquisition module 1 rolling average, recent quotation, delay movement deviation.
Deviation factor setting module 2 sets deviation factor.
Data comparison module 3 compares recent quotation and postpones the size of rolling average, and compares recent quotation and subtract delay
The absolute value of rolling average is multiplied by the size of deviation factor with delay movement deviation.
Early warning starting module 4 is more than delay rolling average when recent quotation, and recent quotation subtracts delay rolling average
Absolute value be more than delay movement deviation and be multiplied by deviation factor, delay performance is unusual, carries out early warning.
Fig. 2 is the flow chart of optimal delay Method of Calculating Lower Limit of the present invention in embodiment.
As shown in Fig. 2 a kind of optimal delay Method of Calculating Lower Limit, comprises the following steps：
Step 1：Collection delay rolling average, recent quotation, delay movement deviation, into step 2.
Step 2：Deviation factor is set, into step 3.
Step 3：Compare recent quotation and postpone the size of rolling average, and compare recent quotation and subtract delay movement
Average absolute value is multiplied by the size of deviation factor with delay movement deviation, into step 4.
Step 4：If recent quotation is more than delay rolling average, and recent quotation subtracts the exhausted of delay rolling average
It is more than delay movement deviation to value and is multiplied by deviation factor, delay performance is unusual, carries out early warning.
Formula If Pn can be used>mAvg AND If|Pn-mAvg|>X (mStdDev) represents the mistake of whole multilevel iudge
Journey.
Wherein, mAvg=postpones rolling average；
Pn=recent quotations；
MStdDev=postpones movement deviation；
X=deviation factors (can be set).
If conditions above meets, delay performance is unusual, should carry out early warning.
Although this difference is not construed as an absolute time delay, in general, between server
Deviation is systematic.That is, the time deviation of two servers is constant.For delay analysis, it is known that definitely
Length of delay it is unimportant.It is important to know when postpone to show improper value.With the statistical method of rolling, sheet
System anticipation module can build a normal deferred run scope.This scope positions by two values:First, delay movement
Average, this value represents a basis delay；Second, delay movement deviation, this value represent the stability of data.From the two
Value, the system can make the range of operation of a routine.If the delay of a recent quotation is outside this scope, the system meeting
Into advanced judgment model, this data delay and other data sources are contrasted.If at this time other data sources are also all
If problematic, this may illustrate occur exception in communication or on hardware.Now, quotation below will not update again is
The rolling average of system and movement deviation.If 3-5 data delay of ining succession is all in improper state, then system will be entered
Enter modes of warning.
Under modes of warning, user is able to select whether to need the system automatically to shield the data for having exception deferral
Cover.If desired, the data with exception deferral will from can knock-down price become reference price, and give an order allow quotation system report
Valency widens automatically.If not needing automatic shield, the system will notify deal maker.
Most of time, delay issue are moments.Tranquil Deng market is arrived, data frequency slows down, or handling capacity
Reduce, delay nature can return normally.But it is exactly often that can be met with by arbitrage or loss within this short time.When prolonging
Recover normal late, this system is notified that deal maker/quotation system, and continues to update lasting movement deviation and move flat
.
The effect of embodiment and effect
Optimal delay lower limit computing system and method according to involved by the present embodiment, it can be sentenced by unique data parameter
The range of operation of disconnected delay, and price of the automatic fitration with exception deferral；This set of system can allow participant in the market to select one
Individual specific transaction performs speed, by determining or using a price, being achieved in obtaining the optimal fair machine for performing speed
Meeting；The difference for the stochastic technique that this Innovation System uses is that it can automatically detect and screen in same electronic transaction
The execution speed of different dealers on platform.The system needs to send time point value according on quotation message come computing relay；
If this message is to use FIX agreements, then this value should be what is found on domain 52, sendingTime；This time and system are worked as
There is difference in the ground time, be due to that the time setting of each system has certain otherness, so this value is not one exhausted
To length of delay；In some cases, the lead time of two different servers is likely to be breached the 1-2 seconds.
Above-mentioned embodiment is the preferred case of the present invention, is not intended to limit protection scope of the present invention.
Claims (6)
- A kind of 1. optimal delay lower limit computing system, it is characterised in that including：Data acquisition module, collection delay rolling average, recent quotation, delay movement deviation；Deviation factor setting module, set deviation factor；Data comparison module, the recent quotation and the size of the delay rolling average, and the recent quotation The absolute value for subtracting the delay rolling average is multiplied by the size of the deviation factor with the delay movement deviation；AndEarly warning starting module, when the recent quotation is more than the delay rolling average, and the recent quotation subtract it is described The absolute value of delay rolling average is more than the delay movement deviation and is multiplied by the deviation factor, and delay performance is unusual, carries out pre- It is alert.
- 2. optimal delay lower limit computing system according to claim 1, it is characterised in that：Wherein, the delay rolling average, a basis delay is represented.
- 3. optimal delay lower limit computing system according to claim 1, it is characterised in that：Wherein, the delay movement deviation, represent the stability of data.
- 4. a kind of optimal delay Method of Calculating Lower Limit, it is characterised in that comprise the following steps：Step 1, collection delay rolling average, recent quotation, delay movement deviation；Step 2, set deviation factor；Step 3, the recent quotation and the size of the delay rolling average, and the recent quotation subtract The absolute value of the delay rolling average is multiplied by the size of the deviation factor with the delay movement deviation；AndStep 4, if the recent quotation is more than the delay rolling average, and the recent quotation subtracts the delay The absolute value of rolling average is more than the delay movement deviation and is multiplied by the deviation factor, and delay performance is unusual, carries out early warning.
- 5. optimal delay Method of Calculating Lower Limit according to claim 4, it is characterised in that：Wherein, the delay rolling average, a basis delay is represented.
- 6. optimal delay Method of Calculating Lower Limit according to claim 4, it is characterised in that：Wherein, the delay movement deviation, represent the stability of data.
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| CN201610528208.XA CN107592235A (en) | 2016-07-06 | 2016-07-06 | Optimal delay lower limit computing system and method |
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