CN109544037A - It is a kind of without intrusive securities futures trading air control gateway system in advance - Google Patents
It is a kind of without intrusive securities futures trading air control gateway system in advance Download PDFInfo
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- CN109544037A CN109544037A CN201811558783.XA CN201811558783A CN109544037A CN 109544037 A CN109544037 A CN 109544037A CN 201811558783 A CN201811558783 A CN 201811558783A CN 109544037 A CN109544037 A CN 109544037A
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q10/00—Administration; Management
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- G06Q10/063—Operations research, analysis or management
- G06Q10/0635—Risk analysis of enterprise or organisation activities
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
Abstract
The invention discloses without intrusive securities futures trading air control gateway system in advance, design rationally, structure it is simple, avoid cross-region network delay, the calculating of high-precision cross-market air control index be provided, solve stock trader's counter system interface and dock difficult problem.Its technical solution are as follows: branch center air control frame avoids generating the network delay of cross-region, meets the nearest trade market deployment of stock trader's system and the pursuit to transactions velocity.Real-time synchronization between branch center this air control system that can provide high-precision cross-market air control index on the basis of providing accurate single centre air control center calculation to calculate, and overall target air control including stock markets of Shanghai and Shenzhen and now unifies air control across the phase.Mode without intrusion air control docking solves to dock difficult problem caused by the closing of stock trader's counter system interface, and the calculating for every air control index provides precondition.Existing stock trader's system seamless access this air control system, stock trader can need freely to adjust business between multiple counter systems according to operation.
Description
Technical field
The present invention relates to a kind of gateway systems, and in particular to applies the gateway system of the air control in advance on securities futures trading
System.
Background technique
With the fast development of securities market and the continuous promotion of securities broker company's operation level, the trading desk of securities industry
Very fastization, diversification, personalized development trend is presented in system, and purchasing different trading desk systems according to business feature becomes
The selection of many securities broker company self-operated business, Zi Guan business team.But multiple trading desk systems is parallel, leads to number of deals
According to being dispersed in not homologous ray, the air control module of original system can not obtain the data of isomery transaction system, can not carry out interdepartmental
The air control inspection in advance of system causes the conjunction rule air control requirement for being unable to reach securities broker company's management functions.In addition, financial derivative
Development, the diversification of investment team investment market, now investing across the phase becomes the important content that securities broker company provides pipe business on one's own account, trans-city
It is exactly very difficult that reason is regulated in the risk conjunction of field.
Therefore, traditional air control system mode can not cope with current cross-market, cross-system air control scene, and security are public
A set of independent air control system is badly in need of in department, can dock more set isomery trading desk systems, carry out summarizing for All Activity data
And Risk Calculation.The introducing of independent air control system cannot bring too big delay to original entire trade link simultaneously.
In addition, the introducing of new air control system will ensure the stabilization and minimal modifications of original system operation, and meets and extend in the future more
The convenience of more transaction systems.
Summary of the invention
A brief summary of one or more aspects is given below to provide to the basic comprehension in terms of these.This general introduction is not
The extensive overview of all aspects contemplated, and be both not intended to identify critical or decisive element in all aspects also non-
Attempt to define the range in terms of any or all.Its unique purpose is to provide the one of one or more aspects in simplified form
A little concepts are with the sequence for more detailed description given later.
The purpose of the present invention is to solve the above problem, provides a kind of without intrusive securities futures trading air control net in advance
Relationship system, design rationally, structure it is simple, avoid generate cross-region network delay, meet the nearest trade market of stock trader's system into
Row deployment and the ultimate attainment pursuit to transactions velocity, are capable of providing height on the basis of providing accurate single centre air control center calculation
The cross-market air control index of precision calculates, and can effectively solve the problem that and docks difficult problem caused by the closing of stock trader's counter system interface,
Existing stock trader's system can be with seamless access into this air control system, and subsequent counter system newly developed is not needed exclusively for docking yet
This system is changed, so that stock trader can need freely to adjust business between multiple counter systems according to operation.
The technical solution of the present invention is as follows: present invention discloses a kind of without intrusive securities futures trading air control gateway system in advance
System, including at least one air control center, the corresponding one or more exchanges in each air control center, wherein each air control center Jun Bao
Include transaction forwarding module, ticker module, air control service module, data are entered the court module, data end module, database service
Device, in which:
Database server, for storing basic metadata；
Ticker module is connect with the air control service module at this air control center, for received security, futures are real-time
Market data push to air control service module, the real-time calculating for related air control index；
Data are entered the court module, are connect respectively with the air control service module at database server, this air control center, for being wind
Real-time indicators during controlling service module load air control primary data and running change data；
Data end module is connect with the air control service module at database server, this air control center respectively, is used for wind
The real-time output result for controlling service module is updated into database server；
Air control service module, enter the court respectively with the data at this air control center module, data end module, ticker mould
The air control service module connection of block, transaction forwarding module and other air control centers, for receiving the order of transaction forwarding module
With report message, the air control service module at other centers order and report message, the present quotation message of ticker module,
Data enter the court module real-time air control index change message, order messages are verified, by check results and critical process number
It according to data end module is sent to, updates into database server, the order messages by verification will return to transaction forwarding
Module, and it is sent to the air control service module of other trade centers simultaneously；
Transaction forwarding module, connect, the stock trader for will acquire with the air control service module at this air control service module center
The order of transaction system is sent to air control service module and carries out air control inspection, and inspected order is sent to transaction on exchange system
System.
An embodiment according to the present invention without intrusive securities futures trading air control gateway system in advance, database service
The basic metadata that device is stored includes but is not limited to air control achievement data, transaction agent identification information data, products transactions letter
Breath.
An embodiment according to the present invention without intrusive securities futures trading air control gateway system in advance, air control service mould
Block is the Complex event processing engine that is included by air control service module according to the air control rule built to the verifying of order messages
What model was completed.
An embodiment according to the present invention without intrusive securities futures trading air control gateway system in advance, exchange is returned
After report information collection air control service module is sent to by forwarding module of trading in real time, participates in the calculating of air control index.
An embodiment according to the present invention without intrusive securities futures trading air control gateway system in advance, system are also wrapped
It includes:
System management module is connect with database server, and the management for providing air control index for system manager is tieed up
Protect entrance.
An embodiment according to the present invention without intrusive securities futures trading air control gateway system in advance, air control service mould
Block includes transaction data receiving thread, market data receiver thread, air control kernel thread, data publication thread, in which:
Market data receiver thread receives the present quotation data that ticker module is sent, and safeguards one in memory
Part market snapshot, records newest market slice of data, for it is subsequent newly calculate index of correlation into order when use；
Transaction data receiving thread receives the input data for other modules being connected with air control service module, and to multiple
The input data of module is lined up, and is output in the request data stream of serializing, and air control kernel thread is directed to the request data
Stream carries out air control business processing；
Air control kernel thread is sequentially completed the calculating and inspection of every control index for the order in request data stream, and
It writes results in result stream；
The processing result data of air control service module is sent to other modules by data publication thread.
An embodiment according to the present invention without intrusive securities futures trading air control gateway system in advance, market data connect
Market snapshot in take-up journey uses HashMap to be stored with convenient search, the keyword of HashMap using stock code or
Futures contract code, the market snapshot separated maintenance of each exchange is to avoid code conflicts.
An embodiment according to the present invention without intrusive securities futures trading air control gateway system in advance, transaction data connect
Request data stream in take-up journey synchronizes during maintenance updates file with persistence, when air control service module weight in local disk
Qi Shi first according to the treatment process of data of the stream file inverting including History Order on disk, and is finally restored to wind
At the time of the control service module last time exits service.
An embodiment according to the present invention without intrusive securities futures trading air control gateway system in advance, in data publication
In thread, the order of inspected, confirmation data are sent to transaction forwarding module, are finally transmitted to exchange and stock trader's sales counter system
System；The data such as hold position, is wrong single generated in order, conclusion of the business and calculating process are sent to data end module, final persistence
Into database；In addition, the order of inspected, confirmation, fetched data are sent to the air control service module at other centers, it is participated in
The calculating of internal cross-market index.
An embodiment according to the present invention without intrusive securities futures trading air control gateway system in advance, transaction data connect
The received data of take-up journey include the synchrodata of real-time transaction data, initial/real-time upper field data and other centers, respectively
Are as follows:
Real-time transaction data is sent by each transaction forwarding module at this center, is ordered including what stock trader's counter system was declared
Single information, the acknowledgement of orders of exchange's return, order deal message；
Initially/real-time upper field data is sent by data module of entering the court, including when system just starts, in database server
The initial basis data of maintenance, initial basis data include but is not limited to securities information, rate information, fund product, Gu Dongdai
Code, air control index；It further include the upper field data of system manager's real-time update during being run in disk, the upper field data of real-time update
The including but not limited to real time modifying of air control metrics-thresholds, time interval, the upper field data of real-time update is finally by air control core
Thread process；
The synchrodata at other centers is sent by the air control service module at other centers, including but not limited in other
The heart has passed through the order information of inspection, exchange's confirmation at other centers, deal message, the synchrodata at other centers participate in across
The calculating of market air control index.
An embodiment according to the present invention without intrusive securities futures trading air control gateway system in advance, air control core-wire
Mono- order processing process of Cheng Yunhang, the processing of order processing process the following steps are included:
Step 1: air control kernel thread takes out an order messages from request data stream；
Step 2: judging whether it is order that this center is declared according to order note identification, if it is go to step 3, otherwise turn
To step 4；
Step 3: for the order of declaring at this center, Complex event processing engine interface is called, to the associated items of order
Air control index is successively calculated and is checked, is not passed through if checked in some air control index, immediately rollback results of intermediate calculations
Data, and generate an air control early warning information；
Step 4: for the order of declaring at other centers, Complex event processing engine interface is called, it is only associated to order
Cross-market air control index calculate accumulative；
Step 5: order is completed after checking, the order table in memory database is updated, the order passed through if it is inspection
It also needs to update the record in table of holding position；If it is the unacceptable order of inspection, it is also necessary to newly-increased to be disappeared according to the early warning of step 3
Breath increases a record newly in the wrong single table of air control；
Step 6: order is completed after checking, is written in result data stream to return to transaction forwarding module, is completed subsequent
Forwarding work；
Step 7: if the order at this center by air control inspection, will also be written in synchronous data flow, to notify other
The air control service module at center.
An embodiment according to the present invention without intrusive securities futures trading air control gateway system in advance, Shanghai security are handed over
The transaction forwarding module at easy institute's air control center is docked by interface table with Shanghai Stock Exchange, and interface table includes interim commission
Table, provisional confirmation table, official commission table, official confirmation table and conclusion of the business table, the structure definition of each table and Shanghai Stock Exchange
Interface specification it is consistent, wherein transaction forwarding module only needs to acquire the data of conclusion of the business table；Wherein temporarily entrust the access mould of table
Formula is the write-in of stock trader's counter system, and transaction forwarding module is read；The access module of provisional confirmation table is that stock trader's counter system is read,
Forwarding module of trading is written；The access module of official commission table is that upper card small station program is read, transaction forwarding module write-in；Formally
The access module of confirmation form is upper card small station program write-in, and transaction forwarding module is read.
An embodiment according to the present invention without intrusive securities futures trading air control gateway system in advance, Shenzhen Stock Exchange security are handed over
The protocol interface including two kinds of agreements of Binary and Step is realized in the transaction forwarding module at easy institute's air control center, docks certificate
Quotient's counter system and Shen Zhen Stock Exchange's transaction gateway program；Docking stock trader's counter system and Shenzhen Stock Exchange net are realized inside transaction forwarding module
Close program to connection module, safeguard TCP conversational communication, the data interaction for both sides, wherein order data is sent after acquisition
Air control inspection is carried out to air control service module, transaction forwarding module, by corresponding session, turns after receiving inspected order
Issue Shenzhen Stock Exchange gateway program；Exchange's reward data issues air control service module after acquisition and participates in index calculating, while also will
By the session on another direction it is direct in be given to stock trader's counter system, nontransaction message directly passes through another direction
On session it is direct in be given to goal systems.
An embodiment according to the present invention without intrusive securities futures trading air control gateway system in advance, in futures air control
The transaction forwarding module of the heart is not straight with the transaction system of futures exchange between client trading program and futures counter system
Connect interaction；For each connection of client trading program, mirror image establishes the connection of one with futures counter system, transaction forwarding mould
Block is responsible at this to completion message collection and forwarding in session, wherein the order declaration data of client trading program is after acquisition
It is sent to air control service module and carries out air control inspection, transaction forwarding module passes through corresponding meeting after receiving inspected order
Words, are transmitted to futures counter system；The reward data that counter system returns issues air control service module ginseng after collecting
Calculated with air control, at the same also by by the session on another direction it is direct in be given to client trading program；Nontransaction disappears
Breath directly by the session on another direction it is direct in be given to goal systems.
The present invention, which compares the prior art, to be had following the utility model has the advantages that system of the invention is real based on branch center air control frame
Existing, design is reasonable, structure is simple, has fully considered the cross-region characteristic of securities futures trading.Compared to traditional centralized wind
Frame is controlled, air control frame in branch center of the invention can meet stock trader's system with regard to inbreeding to avoid the network delay for generating cross-region
Easy market carries out deployment and the ultimate attainment pursuit to transactions velocity.In addition, the real-time synchronization strategy between branch center makes this wind
Control system is capable of providing high-precision cross-market air control index meter on the basis of providing accurate single centre air control center calculation
It calculates, overall target air control and the unified air control existing across the phase including stock markets of Shanghai and Shenzhen.
In addition, the mode without intrusion air control docking in present system, passes through complete mock trading institute and counter system
Protocol interface behavior, devise the acquisition of reliable data and forwarding scheme, can effectively solve the problem that stock trader's counter system interface seals
Difficult problem is docked caused by closing.Compared to traditional front end air control system, the present invention based entirely on exchange transaction data
The interface specification of interface specification and futures sales counter API can effectively realize the business of more stock exchanges and futures exchange
Noninductive docking, the calculating for every air control index provide precondition.Meanwhile the docking concept does not make stock trader's counter system
Any requirement and condition hypothesis, existing stock trader's system can be with seamless access into this air control system, subsequent sales counter system newly developed
System does not need to change exclusively for docking this system yet, so that stock trader can need between multiple counter systems certainly according to operation
By adjustment business.
Detailed description of the invention
After the detailed description for reading embodiment of the disclosure in conjunction with the following drawings, it better understood when of the invention
Features described above and advantage.In the accompanying drawings, each component is not necessarily drawn to scale, and has similar correlation properties or feature
Component may have same or similar appended drawing reference.
Fig. 1 shows the structure of the invention without the intrusive securities futures trading embodiment of air control gateway system in advance
Figure.
Fig. 2 shows the internal logic schematic diagrames of the air control service module in the system of embodiment illustrated in fig. 1 of the invention.
Fig. 3 shows the order processing process of the air control kernel thread in air control service module shown in Fig. 2 of the invention
Figure.
Fig. 4 shows schematic diagram of the stock markets of Shanghai transaction forwarding without intrusion docking concept of the invention.
Fig. 5 shows schematic diagram of the Shenzhen stock market transaction forwarding without intrusion docking concept of the invention.
Fig. 6 shows schematic diagram of the futures exchange forwarding without intrusion docking concept of the invention.
Specific embodiment
Below in conjunction with the drawings and specific embodiments, the present invention is described in detail.Note that below in conjunction with attached drawing and specifically real
The aspects for applying example description is merely exemplary, and is understood not to carry out any restrictions to protection scope of the present invention.
Fig. 1 shows the structure of the invention without the intrusive securities futures trading embodiment of air control gateway system in advance.
The present embodiment without intrusive securities futures trading, air control gateway system includes multiple air control centers in advance.In the present embodiment,
For adapt to China Securities futures exchange the market structure, reduce as far as possible in advance air control system to the delay shadow of entire trade link
It rings, the present embodiment uses the architecture mode of the asynchronous air control in branch center, amounts to three air control centers: stock markets of Shanghai air control center, Shenzhen stock market wind
Control center, futures air control center are respectively used to directly dock Shanghai Stock Exchange, Shenzhen Stock Exchange, each futures exchange
Trading channel.
Each air control center includes: that transaction forwarding module, ticker module, air control service module, data are entered the court mould
Block, data end module, database server, system management module.
Database server, for storing all kinds of air control achievement datas, transaction agent identification information data, products transactions letter
The basic metadatas such as breath.
Ticker module is connect with the air control service module at this air control center, for received security, futures are real-time
Market data push air control service module, the real-time calculating for related air control index.
Data are entered the court module, are connect respectively with the air control service module at database server, this air control center, for being wind
Real-time indicators during controlling service module load air control primary data and running change data.
Data end module is connect with the air control service module at database server, this air control center respectively, is used for wind
The real-time output result for controlling service module is updated into database.
System management module is connect with database server, for providing the pipe of every air control index for system manager
Maintenance access is managed, uses WEB server in realization.
Air control service module, enter the court respectively with the data at this air control center module, data end module, ticker mould
The air control service module connection of block, transaction forwarding module and other air control centers.Air control service module turns for receiving transaction
Send out module order and report message, other centers air control service module order and report message, ticker module
Present quotation message, data are entered the court the real-time air control index change message of module, by the Complex event processing engine that includes according to
The air control rule model built verifies order messages, and check results and critical process data are sent to data end
Module is updated into database server；Order messages by verification will return to transaction forwarding module, and be sent to simultaneously
The air control service module of other trade centers.
Transaction forwarding module, connect, the stock trader for will acquire with the air control service module at this air control service module center
The order of transaction system is sent to air control service module and carries out air control inspection, and inspected order is sent to transaction on exchange system
System.In addition, after the reported information acquisition of exchange also air control service module will be sent in real time, the calculating of air control index is participated in.
The acquisition method of each exchange and docking concept are different, have generally accomplished to stock trader's transaction system without intrusion.
Fig. 2 shows the internal thread logics of the air control service module in the system of the present embodiment.As shown in Fig. 2, air control
Service module mainly includes transaction data receiving thread, market data receiver thread, air control kernel thread, data publication thread.
Market data receiver thread is responsible for receiving the present quotation data that ticker module is sent, and is tieed up in memory
Protect a market snapshot, record newest market slice of data, for it is subsequent newly calculate index of correlation into order when use.The market
Snapshot uses HashMap to be stored with convenient search, and the keyword of HashMap uses stock code (futures contract code)；
The market snapshot separated maintenance of each exchange, to avoid code conflicts.
Transaction data receiving thread, be responsible for receive other modules input data, and to the input data of multiple modules into
Row is lined up, and is output in the request data stream of serializing, and air control kernel thread carries out at air control business for the request data stream
Reason.The request data stream synchronous will update file with persistence, when air control service module is restarted in local disk during maintenance
When, it can be first according to the treatment process of the data such as stream file inverting History Order on disk, and finally it is restored to the module last time
At the time of exiting service.
The received data of transaction data receiving thread include real-time transaction data, it is initial/in real time upper field data and other
The synchrodata at center, is respectively described below:
Real-time transaction data: it is sent by each transaction forwarding module at this center, is ordered including what stock trader's counter system was declared
Single information, the acknowledgement of orders of exchange's return, order deal message.
Initially/real-time upper field data: being sent by data module of entering the court, including when system just starts, in database server
Initial basis data of maintenance, such as securities information, rate information, fund product, ssc code, air control index etc.；Further include
During running in disk, upper field data of system manager's real-time update, such as air control metrics-thresholds, time interval etc. are repaired in real time
Change, these data modifications will be handled finally by air control kernel thread.
The synchrodata at other centers: it is sent by the air control service module at other centers, is included in other centers and has passed through
The order information of inspection, exchange's confirmation at other centers, deal message.These data will participate in the meter of cross-market air control index
It calculates, such as Hold warehouse control, needs the security of stock markets of Shanghai and Shenzhen under integrated fund product to hold position together and calculate；And the phase now matches control
System then needs the stock price index futures contract of comprehensive Chinese Financial Futures Market exchange to hold position and holds position with the security of stock markets of Shanghai and Shenzhen index mark
Calculating is compared.
Particularly, when receiving the order information that transaction forwarding module is sent, transaction data receiving thread will be according to ordering
Stock code (futures contract code) in list, retrieves the fresh picture of the security (contract) from the market snapshot in memory,
Key message, such as newest valence, exchange hand etc. are extracted, together in storage to order Field, is then written in request data stream,
Air control kernel thread subsequent in this way is not required to when doing the calculating such as market value class air control index, exchange hand air control index for this order
Retrieval market snapshot is removed again, mitigate the pressure of air control kernel thread.
Air control kernel thread, be responsible for being sequentially completed for the order in request data stream the calculating of every air control index and
It checks, and writes results in result stream, other correlation modules are finally sent to by data publication thread and (such as are sent to number
According to the air control service module of end module and other centers).Air control kernel thread is handled respectively using Complex event processing engine
The real-time calculating of item index, and using data sequences such as memory database maintenance order, conclusions of the business.
It is described further below with reference to business processing logic of the Fig. 3 to air control kernel thread.Fig. 3 shows air control core
The order processing process of thread.The processing of the air control kernel thread of the present embodiment the following steps are included:
Step S1: air control kernel thread takes out an order messages from request data stream.
Step S2: judge whether it is order that this center is declared according to order note identification, if it is go to step S3, otherwise
Go to step S4.
Step S3: for the order of declaring at this center, Complex event processing engine interface is called, to the associated items of order
Air control index successively calculates and inspection, such as: anti-bucketing control, exchange hand control, Hold warehouse control, phase show match control
Deng, do not pass through if checked in some air control index, immediately rollback results of intermediate calculations data, such as it is accumulative hold position,
Hold warehouse etc., and generate an air control early warning information.
Step S4: for the order of declaring at other centers, calling Complex event processing engine interface, only associated to order
Cross-market air control index, which calculate, to add up, such as: Hold warehouse control, time limit match control etc..
Step S5: order is completed after checking, needs to update the order table in memory database, is passed through if it is inspection
Order also needs to update the record in table of holding position；If it is the unacceptable order of inspection, it is also necessary to newly-increased according to the pre- of step S3
Alert message increases a record newly in the wrong single table of air control.
Step S6: order is completed after checking, needs to be written in result data stream, complete to return to transaction forwarding module
At subsequent forwarding work.
Step S7: if the order at this center has passed through air control inspection, it is also necessary to be written in synchronous data flow, to notify it
The air control service module at his center.
It returns to shown in Fig. 2, the data publication thread in air control service module, is responsible for sending out the processing result data of this module
Give correlation module.Wherein, the order of inspected, confirmation data will be sent to transaction forwarding module, finally be transmitted to exchange
With stock trader's counter system；Meanwhile the data such as hold position, is wrong single generated in order, conclusion of the business and calculating process, number will be sent to
According to end module, finally it is persisted in database；In addition, the order of inspected, confirmation, fetched data will be sent in other
The air control service module of the heart participates in the calculating of its internal cross-market index.
Air control frame in branch center proposed by the present invention, rationally, structure is simple, has fully considered securities futures trading for design
Cross-region characteristic.Compared to traditional centralized air control frame, air control frame in branch center of the invention can be to avoid generation cross-region
Network delay, meet the nearest trade market of stock trader's system and dispose, and the ultimate attainment pursuit to transactions velocity；In addition, point
Real-time synchronization strategy between center, so that this air control system is on the basis of providing accurate single centre air control center calculation, energy
It enough provides high-precision cross-market air control index to calculate, the overall target air control including stock markets of Shanghai and Shenzhen, and the unification existing across the phase
Air control.
Fig. 4 to fig. 6 is that each the external of air control center transaction forwarding module docks implementation schematic diagram.Fig. 4 is the present invention
Stock markets of Shanghai transaction forwarding without intrusion docking concept schematic diagram.Fig. 4 is referred to, the transaction interface of Shanghai Stock Exchange is to be based on
A group interface table (bid and bring platform i.e. commission table, confirmation form and conclusion of the business table together) on SQLServer, stock trader's counter system passes through
The mode and exchange small station program of access interface table carry out data interaction, complete declaring for order and connecing for exchange's return
It receives.
The present invention is to realize to stock trader's counter system without intrusion, docks oral thermometer and carries out derivative definition, interface table includes: to face
When commission table, provisional confirmation table, official commission table, official confirmation table and conclusion of the business table, the structure of each table define and exchange
Interface specification is consistent.Interim table is used for and upper card small station for the data interaction between stock trader's counter system, formal table
Data interaction between program, the transaction forwarding module at stock markets of Shanghai air control center be responsible for doing on interface table in real time data acquisition and
Transfer write-in.Further, since the system of air control in advance that the present invention realizes does not need to modify to exchange's transation report-back, so
Transaction forwarding module only needs to acquire the data of conclusion of the business table, stock trader's counter system and upper card small station program to the access side of conclusion of the business table
Formula is constant.
Wherein, the access module of interim commission table is: the write-in of stock trader's counter system, transaction forwarding module of the invention are read
It takes；The access module of provisional confirmation table is: stock trader's counter system is read, transaction forwarding module write-in of the invention；Official commission
The access module of table is that upper card small station program is read, transaction forwarding module write-in of the invention；The access module of official confirmation table
It is upper card small station program write-in, transaction forwarding module of the invention is read.
Particularly, the air control exception order of stock markets of Shanghai will modify its field stock (security generation before official commission table is written
Code) value be " * * * * * * ", and it is expected wrong singles be judged to by exchange return, correct air control is finally modified to inside this system
Exception error code writes back in provisional confirmation table, notifies stock trader's counter system.
Fig. 5 is Shenzhen stock market transaction forwarding of the invention without intrusion docking concept schematic diagram.Refer to Fig. 5, Shenzhen securities trading
Institute's external disclosure transaction data interface specification provides the data interchange format definition of standard.The present invention is to realize to stock trader's sales counter
System without intrusion, the protocol interface (two kinds of agreements of Binary and Step) of Shen Zhen Stock Exchange is realized in transaction forwarding module, it is complete
The full analogue's behavior for simulating interaction both sides, can be with seamless interfacing stock trader counter system and Shen Zhen Stock Exchange's transaction gateway program.It is handing over
Inside easy forwarding module, realize docking stock trader's counter system and Shenzhen Stock Exchange gateway program to connection module, wherein respectively Shenzhen stock market
Stock concentration bid, it is nontransaction processing etc. 5 business platforms, safeguard TCP conversational communication, the data interaction for both sides.Its
In, order data is sent to air control service module after acquisition and carries out air control inspection, and transaction forwarding module is ordered receiving inspected
By corresponding session after list, it is transmitted to Shenzhen Stock Exchange gateway program；Exchange's reward data issues air control after collecting
Service module participates in index and calculates, at the same also by by the session on another direction it is direct in be given to stock trader's counter system；It is non-
The messages such as message, such as heartbeat packet, logins for class of trading, by directly by the session on another direction it is direct in be given to target
System.
Particularly, the air control exception order of Shenzhen stock market is converted into according to Shen Zhen Stock Exchange's interface specification inside transaction forwarding module
Service denial message (Business Reject), and by the respective session between stock trader's counter system, it is transmitted directly to certificate
Quotient's counter system.
Fig. 6 is futures exchange forwarding of the invention without intrusion docking concept schematic diagram.Because each futures exchange is targeted
The access of transaction system has strict requirements and limitation, and externally only provides this access way of API, so air control gateway system
Agency's forwarding is realized between futures trading system and futures counter system, be very difficult.In consideration of it, the present invention by
Futures counter system and its api interface realize the acquisition and transfer of forward business data.
As shown in fig. 6, the transaction forwarding module at futures air control center between client trading program and futures counter system it
Between, it is not interacted directly with the transaction system of four futures exchanges；For each connection of client trading program, mirror image establishes one
A connection with futures counter system, transaction forwarding module are responsible at this to completion message collection and forwarding in session.Wherein, objective
The order declaration data of family transaction program is sent to air control service module after acquisition and carries out air control inspection, and transaction forwarding module exists
It receives after inspected order through corresponding session, is transmitted to futures counter system；The reward data that counter system returns exists
Issue air control service module after collecting and participate in air control and calculate, at the same also will by the session on another direction it is direct in
It is given to client trading program；The messages such as nontransaction message, such as heartbeat packet, login, inquiry request, inquiry response, will be straight
Goal systems is given to during the session connected on another direction is direct.
Particularly, the air control exception order at futures air control center, according to the mistake of counter system inside transaction forwarding module
Single lattice formula completes conversion, and issues client trading program.
It is proposed by the present invention without intrusion air control docking concept, pass through complete mock trading institute and the protocol interface of counter system
Behavior devises reliable data acquisition and forwarding scheme, and it is right caused by the closing of stock trader's counter system interface to can effectively solve the problem that
Connect difficult problem.
Compared to traditional front end air control system, the present invention based entirely on exchange transaction data interface specification and futures
The interface specification of sales counter API can effectively realize the noninductive docking of business of more stock exchanges and futures exchange, for items
The calculating of air control index provides precondition.Meanwhile the docking concept does not make stock trader's counter system any to want condition for peace
It is assumed that existing stock trader's system can be with seamless access into this air control system, subsequent counter system newly developed is not needed specially yet
It is changed to dock this system, so that stock trader can need freely to adjust business between multiple counter systems according to operation.
Although for simplify explain the above method is illustrated to and is described as a series of actions, it should be understood that and understand,
The order that these methods are not acted is limited, because according to one or more embodiments, some movements can occur in different order
And/or with from it is depicted and described herein or herein it is not shown and describe but it will be appreciated by those skilled in the art that other
Movement concomitantly occurs.
Those skilled in the art will further appreciate that, the various illustratives described in conjunction with the embodiments described herein
Logic plate, module, circuit and algorithm steps can be realized as electronic hardware, computer software or combination of the two.It is clear
Explain to Chu this interchangeability of hardware and software, various illustrative components, frame, module, circuit and step be above with
Its functional form makees generalization description.Such functionality be implemented as hardware or software depend on concrete application and
It is applied to the design constraint of total system.Technical staff can realize every kind of specific application described with different modes
Functionality, but such realization decision should not be interpreted to cause departing from the scope of the present invention.
General place can be used in conjunction with various illustrative logic plates, module and the circuit that presently disclosed embodiment describes
Reason device, digital signal processor (DSP), specific integrated circuit (ASIC), field programmable gate array (FPGA) other are compiled
Journey logical device, discrete door or transistor logic, discrete hardware component or its be designed to carry out function described herein
Any combination is realized or is executed.General processor can be microprocessor, but in alternative, which, which can be, appoints
What conventional processor, controller, microcontroller or state machine.Processor is also implemented as calculating the combination of equipment, example
As DSP and the combination of microprocessor, multi-microprocessor, the one or more microprocessors to cooperate with DSP core or it is any its
His such configuration.
The step of method or algorithm for describing in conjunction with embodiment disclosed herein, can be embodied directly in hardware, in by processor
It is embodied in the software module of execution or in combination of the two.Software module can reside in RAM memory, flash memory, ROM and deposit
Reservoir, eprom memory, eeprom memory, register, hard disk, removable disk, CD-ROM or known in the art appoint
In the storage medium of what other forms.Exemplary storage medium is coupled to processor so that the processor can be from/to the storage
Medium reads and writees information.In alternative, storage medium can be integrated into processor.Pocessor and storage media can
It resides in ASIC.ASIC can reside in user terminal.In alternative, pocessor and storage media can be used as discrete sets
Part is resident in the user terminal.
In one or more exemplary embodiments, described function can be in hardware, software, firmware, or any combination thereof
Middle realization.If being embodied as computer program product in software, each function can be used as one or more item instructions or generation
Code may be stored on the computer-readable medium or be transmitted by it.Computer-readable medium includes computer storage medium and communication
Both media comprising any medium for facilitating computer program to shift from one place to another.Storage medium can be can quilt
Any usable medium of computer access.It is non-limiting as example, such computer-readable medium may include RAM, ROM,
EEPROM, CD-ROM or other optical disc storages, disk storage or other magnetic storage apparatus can be used to carrying or store instruction
Or data structure form desirable program code and any other medium that can be accessed by a computer.Any connection is also by by rights
Referred to as computer-readable medium.For example, if software is using coaxial cable, fiber optic cables, twisted pair, digital subscriber line
(DSL) or the wireless technology of such as infrared, radio and microwave etc is passed from web site, server or other remote sources
It send, then the coaxial cable, fiber optic cables, twisted pair, DSL or such as infrared, radio and microwave etc is wireless
Technology is just included among the definition of medium.Disk (disk) and dish (disc) as used herein include compression dish
(CD), laser disc, optical disc, digital versatile disc (DVD), floppy disk and blu-ray disc, which disk (disk) are often reproduced in a manner of magnetic
Data, and dish (disc) with laser reproduce data optically.Combinations of the above should also be included in computer-readable medium
In the range of.
Offer is to make any person skilled in the art all and can make or use this public affairs to the previous description of the disclosure
It opens.The various modifications of the disclosure all will be apparent for a person skilled in the art, and as defined herein general
Suitable principle can be applied to other variants without departing from the spirit or scope of the disclosure.The disclosure is not intended to be limited as a result,
Due to example described herein and design, but should be awarded and principle disclosed herein and novel features phase one
The widest scope of cause.
Claims (14)
1. a kind of without intrusive securities futures trading air control gateway system in advance, which is characterized in that including at least one air control
The heart, the corresponding one or more exchanges in each air control center, wherein each air control center includes that transaction forwarding module, market connect
Receive module, air control service module, data are entered the court module, data end module, database server, in which:
Database server, for storing basic metadata；
Ticker module is connect with the air control service module at this air control center, is used for received security, futures present quotation
Data push to air control service module, the real-time calculating for related air control index；
Data are entered the court module, are connect respectively with the air control service module at database server, this air control center, for taking for air control
Real-time indicators during module loading air control primary data of being engaged in and operation change data；
Data end module is connect, for taking air control respectively with the air control service module at database server, this air control center
The real-time output result for module of being engaged in is updated into database server；
Air control service module, module of entering the court respectively with the data at this air control center, ticker module, are handed over data end module
Easy forwarding module and the connection of the air control service module at other air control centers, for receiving the order of transaction forwarding module and returning
Report message, other centers air control service module order and report message, present quotation message, the data of ticker module
The real-time air control index for module of entering the court changes message, verifies to order messages, and check results and critical process data are sent out
Data end module to be given, is updated into database server, the order messages by verification will return to transaction forwarding module,
And it is sent to the air control service module of other trade centers simultaneously；
Transaction forwarding module, connect with the air control service module at this air control service module center, stock trader's transaction for that will acquire
The order of system is sent to air control service module and carries out air control inspection, and inspected order is sent to transaction on exchange system.
2. according to claim 1 without intrusive securities futures trading air control gateway system in advance, which is characterized in that data
The basic metadata that library server is stored includes but is not limited to air control achievement data, transaction agent identification information data, transaction
Product information.
3. according to claim 1 without intrusive securities futures trading air control gateway system in advance, which is characterized in that air control
Service module is the Complex event processing engine that is included by air control service module according to the wind built to the verifying of order messages
Control what rule model was completed.
4. according to claim 1 without intrusive securities futures trading air control gateway system in advance, which is characterized in that transaction
Reported information acquisition after air control service module is sent to by forwarding module of trading in real time, participate in the calculating of air control index.
5. according to claim 1 without intrusive securities futures trading air control gateway system in advance, which is characterized in that system
Further include:
System management module is connect with database server, and the management service for providing air control index for system manager enters
Mouthful.
6. according to claim 1 without intrusive securities futures trading air control gateway system in advance, which is characterized in that air control
Service module includes transaction data receiving thread, market data receiver thread, air control kernel thread, data publication thread, in which:
Market data receiver thread receives the present quotation data that ticker module is sent, and safeguards a row in memory
Feelings snapshot records newest market slice of data, for it is subsequent newly into order calculate index of correlation when use；
Transaction data receiving thread receives the input data for other modules being connected with air control service module, and to multiple modules
Input data be lined up, be output in the request data stream of serializing, air control kernel thread is flowed into for the request data
Row air control business processing；
Air control kernel thread is sequentially completed the calculating and inspection of every control index for the order in request data stream, and will knot
Fruit is written in result stream；
The processing result data of air control service module is sent to other modules by data publication thread.
7. according to claim 6 without intrusive securities futures trading air control gateway system in advance, which is characterized in that market
Market snapshot in data receiver thread uses HashMap to be stored with convenient search, and the keyword of HashMap uses security
Code or futures contract code, the market snapshot separated maintenance of each exchange is to avoid code conflicts.
8. according to claim 6 without intrusive securities futures trading air control gateway system in advance, which is characterized in that transaction
Request data stream in data receiver thread synchronizes during maintenance updates file with persistence, when air control service in local disk
When module is restarted, first according to the treatment process of data of the stream file inverting including History Order on disk, and it is finally extensive
At the time of arriving the air control service module last time again and exit service.
9. according to claim 6 without intrusive securities futures trading air control gateway system in advance, which is characterized in that in number
According in publication thread, the order of inspected, confirmation data are sent to transaction forwarding module, are finally transmitted to exchange and stock trader's cabinet
Platform system；The data such as hold position, is wrong single generated in order, conclusion of the business and calculating process are sent to data end module, finally hold
Longization is into database；In addition, the order of inspected, confirmation, fetched data are sent to the air control service module at other centers, ginseng
With the calculating of its internal cross-market index.
10. according to claim 6 without intrusive securities futures trading air control gateway system in advance, which is characterized in that hand over
The easy received data of data receiver thread include the synchronization of real-time transaction data, initial/real-time upper field data and other centers
Data are respectively as follows:
Real-time transaction data is sent by each transaction forwarding module at this center, the order letter declared including stock trader's counter system
Breath, the acknowledgement of orders of exchange's return, order deal message；
Initially/real-time upper field data is sent by data module of entering the court, including when system just starts, and is safeguarded in database server
Initial basis data, initial basis data include but is not limited to securities information, rate information, fund product, ssc code, wind
Control index；It further include the upper field data of system manager's real-time update during being run in disk, the upper field data of real-time update includes
But it is not limited to the real time modifying of air control metrics-thresholds, time interval, the upper field data of real-time update is finally by air control kernel thread
Processing；
The synchrodata at other centers, by other centers air control service module send, including but not limited to other centers
Cross-market is participated in by the synchrodata of the order information of inspection, exchange's confirmation at other centers, deal message, other centers
The calculating of air control index.
11. according to claim 6 without intrusive securities futures trading air control gateway system in advance, which is characterized in that wind
Control kernel thread and run an order processing process, the processing of order processing process the following steps are included:
Step 1: air control kernel thread takes out an order messages from request data stream；
Step 2: judging whether it is order that this center is declared according to order note identification, if it is go to step 3, otherwise go to step
Rapid 4；
Step 3: for the order of declaring at this center, calling Complex event processing engine interface, items air control associated to order
Index is successively calculated and is checked, is not passed through if checked in some air control index, immediately rollback results of intermediate calculations data,
And generate an air control early warning information；
Step 4: for the order of declaring at other centers, Complex event processing engine interface is called, it is only associated to order trans-city
Field air control index calculate accumulative；
Step 5: order is completed after checking, the order table in memory database is updated, and the order passed through if it is inspection also needs
Update the record in table of holding position；If it is the unacceptable order of inspection, it is also necessary to the newly-increased early warning information according to step 3,
A record is increased newly in the wrong single table of air control；
Step 6: order is completed after checking, is written in result data stream to return to transaction forwarding module, is completed subsequent turn
Send out work；
Step 7: if the order at this center by air control inspection, will also be written in synchronous data flow, to notify other centers
Air control service module.
12. according to claim 1 without intrusive securities futures trading air control gateway system in advance, which is characterized in that on
The transaction forwarding module at extra large stock exchange's air control center is docked by interface table with Shanghai Stock Exchange, and interface table includes facing
When commission table, provisional confirmation table, official commission table, official confirmation table and conclusion of the business table, structure definition and the Shanghai security of each table
The interface specification of exchange is consistent, wherein transaction forwarding module only needs to acquire the data of conclusion of the business table；Wherein temporarily entrust table
Access module is the write-in of stock trader's counter system, and transaction forwarding module is read；The access module of provisional confirmation table is stock trader's sales counter system
System is read, transaction forwarding module write-in；The access module of official commission table is that upper card small station program is read, and transaction forwarding module is write
Enter；The access module of official confirmation table is upper card small station program write-in, and transaction forwarding module is read.
13. according to claim 1 without intrusive securities futures trading air control gateway system in advance, which is characterized in that deep
It demonstrate,proves and realizes that the agreement including two kinds of agreements of Binary and Step connects in the transaction forwarding module at stock exchange's air control center
Mouthful, dock stock trader's counter system and Shen Zhen Stock Exchange's transaction gateway program；Docking stock trader's sales counter system is realized inside transaction forwarding module
System and Shenzhen Stock Exchange gateway program safeguard TCP conversational communication, the data interaction for both sides, wherein order data exists to connection module
It is sent to air control service module after acquisition and carries out air control inspection, forwarding module of trading passes through corresponding after receiving inspected order
Session, be transmitted to Shenzhen Stock Exchange gateway program；Exchange's reward data issues air control service module after acquisition and participates in index calculating,
Simultaneously also by by the session on another direction it is direct in be given to stock trader's counter system, nontransaction message directly passes through separately
Goal systems is given to during session on one direction is direct.
14. according to claim 1 without intrusive securities futures trading air control gateway system in advance, which is characterized in that the phase
The transaction forwarding module at goods air control center between client trading program and futures counter system, not with the friendship of futures exchange
Easy system is directly interactive；For each connection of client trading program, mirror image establishes the connection of one with futures counter system, hands over
Easy forwarding module is responsible at this to completion message collection and forwarding in session, wherein the order declaration data of client trading program
It is sent to air control service module after acquisition and carries out air control inspection, forwarding module of trading passes through opposite after receiving inspected order
The session answered is transmitted to futures counter system；The reward data that counter system returns issues air control service after collecting
Module participates in air control and calculates, at the same also by by the session on another direction it is direct in be given to client trading program；It is nontransaction
The message of class directly pass through the session on another direction it is direct in be given to goal systems.
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| CN112132681A (en) * | 2020-07-02 | 2020-12-25 | 上海金融期货信息技术有限公司 | Market source unified access system |
| CN112416610A (en) * | 2020-11-30 | 2021-02-26 | 南京艾科朗克信息科技有限公司 | System for stock counter big concurrent data storage database |
| CN112712432A (en) * | 2020-12-30 | 2021-04-27 | 上海金仕达软件科技有限公司 | Wind control method, device and system and storage medium |
| CN113159939A (en) * | 2021-01-28 | 2021-07-23 | 上海金融期货信息技术有限公司 | Debt futures trading system based on sub-account wind control |
| CN113159939B (en) * | 2021-01-28 | 2024-04-16 | 上海金融期货信息技术有限公司 | National debt futures trading system based on account-dividing wind control |
| CN112508581A (en) * | 2021-02-05 | 2021-03-16 | 深圳华锐金融技术股份有限公司 | Commission order risk control method, system, computer equipment and storage medium |
| CN112927076A (en) * | 2021-02-26 | 2021-06-08 | 深圳华锐金融技术股份有限公司 | Securities trading risk control method and device, computer equipment and storage medium |
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