CN109801164A - The system and method for main force's act of purchase and sale analysis are realized based on transaction data - Google Patents
The system and method for main force's act of purchase and sale analysis are realized based on transaction data Download PDFInfo
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Abstract
The present invention relates to a kind of systems for realizing the analysis of main force's act of purchase and sale based on transaction data, including message queue module, for receiving and pushing level2 market data；Server is had an X-rayed by the main force, for receiving processing customer transaction data, and analyzes main force's act of purchase and sale；Database module, for storing data, statistics detail transaction data and classification and ordination.The invention further relates to a kind of methods that main force's act of purchase and sale analysis based on transaction data is realized using the system.Using the system and method, handle data due to wherein using streaming method, support countings, summation, average, maximum, minimum, variance, standard deviation, covariance, K rank central moment, continuously, incremented/decremented, maximum a variety of real-time computation models of distribution such as be increased continuously/successively decrease；The algorithm calculating of high-availability cache, powerful timing sequence process, energy complete independently complexity, low delay and high concurrent, the real-time computing of Millisecond can be realized by this processing logic, while meeting the access request of hundreds of thousands of users.
Description
Technical field
The present invention relates to data processing fields more particularly to transaction data quantification treatment field, in particular to one kind to be based on
Transaction data realizes the system and method for main force's act of purchase and sale analysis.
Background technique
With the rise of internet finance and the upgrading of market data, data processing tools are also being constantly updated.Level-2
Market mainly provide the real-time transaction data of security product, including ten grades of market, buy and sell queue, strike a bargain by pen, commission total amount and
Weight a variety of new-type data such as price.A large amount of information by digitization, user can not capture with conventional method or tool, management and
It is quickly found out effective information, processing analysis is carried out to these magnanimity, the data of streaming for convenience, main force's act of purchase and sale analyzes work
Tool comes into being.
Main force's act of purchase and sale analysis tool is mainly from ten grades of market and dealing queue, by pen conclusion of the business detail, according to algorithm
Model and threshold value setting, define three the super main force, the main force, big casual household gears, analyze main force's behavior, can ancillary investment person sentence
The true intention of the disconnected main force, captures market focus, excavates industry new advancement.
Summary of the invention
The purpose of the present invention is overcoming the above-mentioned prior art, a kind of low delay, high efficiency, independent complete is provided
At the system and method for realizing the analysis of main force's act of purchase and sale based on transaction data of complicated calculations.
To achieve the goals above, system and its side of the invention that the analysis of main force's act of purchase and sale is realized based on transaction data
Method is as follows:
The system for realizing the analysis of main force's act of purchase and sale based on transaction data, wherein the system includes:
Message queue module, for receiving and pushing level2 market data；
Server is had an X-rayed by the main force, is connected with the message queue module, for receiving processing customer transaction data, and
Analyze main force's act of purchase and sale；
Database module is connected with main force's perspective server, for storing data, counts detail transaction data
And classification and ordination.
Preferably, described main force's perspective server is connected with client, it is used for according to user preset gear to client
Hold propelling data.
Preferably, the message queue module is kafka message queue.
Preferably, the database module is codis database.
This realizes the method for main force's act of purchase and sale analysis based on transaction data based on above system, is mainly characterized by,
The method the following steps are included:
(1) message queue module described in obtains active user's real-time deal detail, and by level2 transaction journal data
Push to main force's perspective server and database module；
(2) database module described in receives and stores same day customer transaction data, according to quantization method of commerce and threshold value
The judgement screening main force buys and sells operation behavior, and defines the big single data gear of transaction according at fight number and turnover；
(3) main force's perspective server described in receives treated transaction data, and according to user preset gear to visitor
Family end propelling data.
Preferably, active user's real-time deal detail in the step (1) includes stock code, buys in quantity, buys
Enter the amount of money, sells quantity, sells the amount of money, sheet quantity, the sheet amount of money, sheet quantity and operating time.
Preferably, the step (2) specifically includes the following steps:
(2.1) database module described in is according to conclusion of the business, sheet and removes the single amount of money and quantity and threshold definitions transaction and is
The no data gear for belonging to the super main force, the main force or big casual household, if it is, continuing step (2.2)；Otherwise, continue step
(1)；
(2.2) database module described in judges whether transaction belongs to that the main force strikes a bargain, the main force removes the row of list or main force's sheet
For if it is, continuing step (3)；Otherwise, continue step (2.1).
Preferably, judge to trade in the step (2.1) whether belong to the super main force data gear specifically include with
Lower step:
Database module described in (1-2.1.1) judges whether the single of the transaction is not less than 2000 hands at fight number, or
Whether turnover is not less than 1,000,000, if it is, the transaction belongs to the data gear of the super main force；Otherwise, which does not belong to
In the data gear of the super main force.
Whether belong to the data gear of the main force preferably, judge to trade in the step (2.1) and specifically include following step
It is rapid:
Database module described in (2-2.1.1) judges whether the single of the transaction is not less than 1000 hands and small at fight number
Whether it is not less than 500,000 in 2000 hands or turnover and less than 1,000,000, if it is, the transaction belongs to the data of the main force
Gear；Otherwise, continue step (2-2.1.2)；
Database module described in (2-2.1.2) judge whether the circulation value of the transaction less than 30,000,000,000 and at fight number,
Remove singlehanded number and sheet hand number be all larger than the 0.08% of Circulating Stock, or whether the circulation value of the transaction be greater than 30,000,000,000 and at
Fight number removes singlehanded number and sheet hand number is respectively less than the 0.08% of Circulating Stock, if it is, the transaction belongs to the data shelves of the main force
Position；Otherwise, which is not belonging to the data gear of the main force.
Preferably, judge to trade in the step (2.1) whether belong to big casual household data gear specifically include it is following
Step:
Database module described in (3-2.1.1) judges whether the single of the transaction is not less than 200 hands and small at fight number
Whether it is not less than 100,000 in 1000 hands or turnover and less than 500,000, if it is, the transaction belongs to the data of big casual household
Gear；Otherwise, which is not belonging to the data gear of big casual household.
Preferably, judge in the step (2.2) transaction whether belong to main force's conclusion of the business specifically includes the following steps:
Database module described in (1-2.2.1) judges conclusion of the business queue caching whether order with the seller by existing buyer's order number
Odd numbers if it is, recording the exchange hand of the user, transaction value and closing time for the first time, and closing time will be recorded as the first time
The starting point of sliding time window；Otherwise, the accumulative exchange hand and transaction value of the user are calculated, and by the transaction closing time
It is recorded as the starting point of sliding time window；
Database module described in (1-2.2.2) judges that conclusion of the business queue caching whether there is expired time window, if
It is then to continue step (1-2.2.3)；Otherwise, continue step (2.1)；
Database module described in (1-2.2.3) judges whether accumulative exchange hand is not less than X strands or accumulative transaction value and is
Whether the no ratio not less than Y member or accumulative exchange hand and Circulating Stock capital stock number is not less than Z, if it is, the main force is at Bank of Communications
To sell behavior for main force's Buying Behavior or the main force；Otherwise, it is unsatisfactory for main force's conclusion of the business behavior.
Preferably, judge to trade in the step (2.2) whether belong to main force's sheet specifically includes the following steps:
Database module described in (2-2.2.1) will entrust data deposit commission queue caching；
Database module described in (2-2.2.2) judges whether accumulative commission amount is not less than X strands or accumulative commission volume and is
Whether the no ratio not less than Y member or accumulative commission amount and Circulating Stock capital stock number is not less than Z, if it is, main force's sheet row
Behavior is sold to hang to buy behavior or the main force and hang for the main force；Otherwise, it is unsatisfactory for main force's sheet behavior.
Preferably, judge in the step (2.2) transaction whether belong to the main force remove singly specifically includes the following steps:
Database module described in (3-2.2.1) judge cancel and entrust queue caching whether existing buyer's order number and
Seller's order number if it is, recording the revocation amount of the user, revocation volume and cancelling the time for the first time, and will cancel the time for the first time
It is recorded as the starting point of sliding time window；Otherwise, the accumulative revocation amount and revocation volume of the user are calculated, and the transaction is removed
The pin time is recorded as the starting point of sliding time window；
The judgement revocation queue caching of database module described in (3-2.2.2) whether there is expired time window, if
It is then to continue step (3-2.2.3)；Otherwise, continue step (2.1)；
Database module described in (3-2.2.3) judges whether accumulative revocation amount is not less than X strands or accumulative revocation volume and is
Whether the no ratio not less than Y member or accumulative revocation amount and Circulating Stock capital stock number is not less than Z, if it is, the main force removes uniline
To remove the behavior of buying for the main force or the main force removes the behavior of selling；Otherwise, it is unsatisfactory for the main force and removes single act.
Preferably, active user's real-time deal detail in the step (1) includes stock code, buys in quantity, buys
Enter the amount of money, sells quantity, sells the amount of money, sheet quantity, the sheet amount of money, sheet quantity and operating time.
Preferably, the transaction data is level2 market data.
Using the system and method for the invention for realizing the analysis of main force's act of purchase and sale based on transaction data, using streaming
Method handles data, based on the mobile dynamic data rapid treating technology (timing sequence process) of time window and based on event driven
Mode identification technology (CEP) and context relation ability support counting, summation, average, maximum, minimum, variance, standard deviation, association
Variance, K rank central moment, continuous, incremented/decremented, maximum are increased continuously/successively decrease, uniqueness differentiates, acquisition, filtering, sequence etc. are more
The distributed real-time computation model of kind；High-availability cache, powerful timing sequence process, energy complete independently can be realized by this processing logic
Complicated algorithm calculates, low delay and high concurrent, the real-time computing of Millisecond, while the access for meeting hundreds of thousands of users is asked
It asks.
Detailed description of the invention
Fig. 1 is the flow chart for the method that realization of the invention is analyzed based on main force's act of purchase and sale of transaction data.
Fig. 2 is that main force's perspective backstage of the method for the main force's act of purchase and sale analysis of realization of the invention based on transaction data is patrolled
Collect figure.
Fig. 3 be realization of the invention based on transaction data main force's act of purchase and sale analyze method stock markets of Shanghai main force sheet
Remove the schematic diagram of single embodiment.
Specific embodiment
It is further to carry out combined with specific embodiments below in order to more clearly describe technology contents of the invention
Description.
The system that should realize the analysis of main force's act of purchase and sale based on transaction data of the invention, the system include:
Message queue module, for receiving and pushing level2 market data；
Server is had an X-rayed by the main force, is connected with the message queue module, for receiving processing customer transaction data, and
Analyze main force's act of purchase and sale；
Database module is connected with main force's perspective server, for storing data, counts detail transaction data
And classification and ordination.
As the preferred embodiment of the present invention, main force's perspective server is connected with client, is used for basis
User preset gear is to client push data.
As the preferred embodiment of the present invention, the message queue module is kafka message queue.
As the preferred embodiment of the present invention, the database module is codis database.
The method that realization of the invention is analyzed based on main force's act of purchase and sale of transaction data, including following steps:
(1) message queue module described in obtains active user's real-time deal detail, and by level2 transaction journal data
Push to main force's perspective server and database module；
(2) database module described in receives and stores same day customer transaction data, according to quantization method of commerce and threshold value
The judgement screening main force buys and sells operation behavior, and defines the big single data gear of transaction according at fight number and turnover；
(2.1) database module described in is according to conclusion of the business, sheet and removes the single amount of money and quantity and threshold definitions transaction and is
The no data gear for belonging to the super main force, the main force or big casual household, if it is, continuing step (2.2)；Otherwise, continue step
(1)；
Database module described in (1-2.1.1) judges whether the single of the transaction is not less than 2000 hands at fight number, or
Whether turnover is not less than 1,000,000, if it is, the transaction belongs to the data gear of the super main force；Otherwise, which does not belong to
In the data gear of the super main force；
Database module described in (2-2.1.1) judges whether the single of the transaction is not less than 1000 hands and small at fight number
Whether it is not less than 500,000 in 2000 hands or turnover and less than 1,000,000, if it is, the transaction belongs to the data of the main force
Gear；Otherwise, continue step (2-2.1.2)；
Database module described in (2-2.1.2) judge whether the circulation value of the transaction less than 30,000,000,000 and at fight number,
Remove singlehanded number and sheet hand number be all larger than the 0.08% of Circulating Stock, or whether the circulation value of the transaction be greater than 30,000,000,000 and at
Fight number removes singlehanded number and sheet hand number is respectively less than the 0.08% of Circulating Stock, if it is, the transaction belongs to the data shelves of the main force
Position；Otherwise, which is not belonging to the data gear of the main force；
(2.2) database module described in judges whether transaction belongs to that the main force strikes a bargain, the main force removes the row of list or main force's sheet
For if it is, continuing step (3)；Otherwise, continue step (2.1)；
Database module described in (3-2.1.1) judges whether the single of the transaction is not less than 200 hands and small at fight number
Whether it is not less than 100,000 in 1000 hands or turnover and less than 500,000, if it is, the transaction belongs to the data of big casual household
Gear；Otherwise, which is not belonging to the data gear of big casual household；
Database module described in (1-2.2.1) judges conclusion of the business queue caching whether order with the seller by existing buyer's order number
Odd numbers if it is, recording the exchange hand of the user, transaction value and closing time for the first time, and closing time will be recorded as the first time
The starting point of sliding time window；Otherwise, the accumulative exchange hand and transaction value of the user are calculated, and by the transaction closing time
It is recorded as the starting point of sliding time window；
Database module described in (1-2.2.2) judges that conclusion of the business queue caching whether there is expired time window, if
It is then to continue step (1-2.2.3)；Otherwise, continue step (2.1)；
Database module described in (1-2.2.3) judges whether accumulative exchange hand is not less than X strands or accumulative transaction value and is
Whether the no ratio not less than Y member or accumulative exchange hand and Circulating Stock capital stock number is not less than Z, if it is, the main force is at Bank of Communications
To sell behavior for main force's Buying Behavior or the main force；Otherwise, it is unsatisfactory for main force's conclusion of the business behavior；
Database module described in (2-2.2.1) will entrust data deposit commission queue caching；
Database module described in (2-2.2.2) judges whether accumulative commission amount is not less than X strands or accumulative commission volume and is
Whether the no ratio not less than Y member or accumulative commission amount and Circulating Stock capital stock number is not less than Z, if it is, main force's sheet row
Behavior is sold to hang to buy behavior or the main force and hang for the main force；Otherwise, it is unsatisfactory for main force's sheet behavior；
Database module described in (3-2.2.1) judge cancel and entrust queue caching whether existing buyer's order number and
Seller's order number if it is, recording the revocation amount of the user, revocation volume and cancelling the time for the first time, and will cancel the time for the first time
It is recorded as the starting point of sliding time window；Otherwise, the accumulative revocation amount and revocation volume of the user are calculated, and the transaction is removed
The pin time is recorded as the starting point of sliding time window；
The judgement revocation queue caching of database module described in (3-2.2.2) whether there is expired time window, if
It is then to continue step (3-2.2.3)；Otherwise, continue step (2.1)；
Database module described in (3-2.2.3) judges whether accumulative revocation amount is not less than X strands or accumulative revocation volume and is
Whether the no ratio not less than Y member or accumulative revocation amount and Circulating Stock capital stock number is not less than Z, if it is, the main force removes uniline
To remove the behavior of buying for the main force or the main force removes the behavior of selling；Otherwise, it is unsatisfactory for the main force and removes single act；
(3) main force's perspective server described in receives treated transaction data, and according to user preset gear to visitor
Family end propelling data.
As the preferred embodiment of the present invention, active user's real-time deal detail in the step (1) includes stock
Ticket code, buy in quantity, buy in the amount of money, sell quantity, sell the amount of money, sheet quantity, the sheet amount of money, sheet quantity and operation when
Between.
As the preferred embodiment of the present invention, the transaction data is level2 market data.
In a specific embodiment of the invention, the present invention is to disclose one kind to realize main force's act of purchase and sale based on transaction data
The method and tool of analysis, full name: main force's perspective.Its principle is to obtain user's correlation according to ten grades of market data sources of level2 to buy
Operation detail is sold, in conjunction with the stock of customer investment, quantity and the amount of money, filters out the main force by quantization trading algorithms and threshold value setting
Buy and sell operation behavior；The related dealing operation detail includes: to buy in conclusion of the business, sell conclusion of the business, buy in and remove list, sell and remove list, buy
Enter sheet, sell sheet.
According to user's conclusion of the business, sheet, remove single amount of money and quantity or circulation value, in a certain range when, strike a bargain, remove it is single and
Whether sheet quantity and the ratio of Circulating Stock have exceeded restriction threshold value, if having exceeded threshold value is considered as main force's operation, will exceed threshold
Every of value strikes a bargain, removes single and commission and be pushed to user；If do not shown to user without departing from threshold value.It is disclosed in the present application
Above-mentioned function scheme helps user to identify that the true operation of the main force is intended to, preferably holds quotations on the stock market trend, provides more effective
Index reference.
The present invention according to the different conclusion of the business of user, sheet, removes single amount of money and quantity according to level2 market data, definition
Three the super main force, the main force, big casual household gears:
Super master force threshold range: single is at fight number >=2000 hands or turnover >=1,000,000；
Main force's threshold range: single is at fight number >=1000 hands or the friendship amount of money >=500,000；
Big casual household's threshold range: single is at fight number >=200 hands or turnover >=100,000；
If other meet circulation value less than 30,000,000,000, strikes a bargain, removes 0.08% of list, sheet hand number greater than Circulating Stock, or
It when meeting circulation value greater than 30,000,000,000, strikes a bargain, remove list, sheet hand number less than the 0.08% of Circulating Stock, be classified as the big list of the main force.
The method for analyzing main force's act of purchase and sale is more quasi- using the calculated big single classification of threshold value described above and algorithm model
Really.
1. the algorithm logic that the main force strikes a bargain is as follows:
For Shanghai, every, Shenzhen market stock by pen conclusion of the business queue, judge buyer's order number and seller's order respectively
Number whether first appear, i.e., it is whether existing in conclusion of the business queue caching.If first appear be added conclusion of the business queue caching, according at
Friendship valence and exchange hand record user number and corresponding exchange hand and transaction value, keep track of time and are accurate to the second, as the user number
Closing time for the first time then proceed to wait conclusion of the business queue in this, as the starting point of sliding time window (tentative 1 minute).
It is non-to find corresponding user number in conclusion of the business queue caching when first appearing, by the exchange hand of the transaction, strike a bargain
Volume and the exchange hand in caching, transaction value aggregation add up to, using this closing time as new time window starting point (deferred window
The mouth phase), it then proceedes to wait conclusion of the business queue.
Judge expired with the presence or absence of time window in conclusion of the business queue caching, i.e., the user number without new deal in 1 minute.For
Expired user number, judges whether the accumulative exchange hand of the user number and transaction value meet one of following conditions:
(1) exchange hand >=X strands
(2) transaction value >=Y member
(3) exchange hand ÷ Circulating Stock capital stock number >=Z
Main force's conclusion of the business is exported to be that the main force buys in or be that the main force sells；It is unsatisfactory for, does not export result.
2. the algorithm logic of main force's sheet is as follows:
By pen queue is entrusted for Shanghai, every, Shenzhen market stock, every commission deposit commission queue caches, for after
It is continuous to remove single association use；Judge whether the commission amount of this commission, commission volume meet one of following conditions:
Commission amount >=X strands
Commission volume >=Y member
Commission amount ÷ Circulating Stock capital stock number >=Z
Output main force's sheet be the main force hang buy or be the main force hang sell；It is unsatisfactory for, does not export result
3. it is as follows that the main force removes single algorithm logic:
For Shanghai, every, Shenzhen market stock by pen cancel queue and commission queue it is data cached, observation buyer order
Nonzero term in odd numbers and seller's order number, judges whether this order number user number first appears, i.e., in revocation queue caching
It is whether existing, if first appear be added revocation queue caching, removed according to the main force buy or the main force remove sell commission queue caching
It is associated with respective orders number and inquires corresponding commission valence, while whether the quantitative relation of the lower revocation amount of judgement and commission amount is reasonable, side
To whether identical.The user number and corresponding revocation amount and revocation volume are recorded, the record time cancels for the first time as the customer ID
Time waits subsequent revocation queue in this, as the starting point of sliding time window (1 minute tentative).
It is non-to find corresponding user number in revocation queue caching when first appearing, by revocation amount/revocation volume of this revocation and
Revocation amount/revocation volume aggregation in caching is total, using the revocation time as the new deferred window phase of time window starting point, then
Continue waiting for conclusion of the business queue.
It is expired with the presence or absence of time window in judgement revocation queue caching, i.e., without the user number newly cancelled in 1 minute.For
Expired user number, judges whether the accumulative revocation amount of the user number and revocation volume meet one of following conditions:
(1) revocation amount >=X strands
(2) volume >=Y member is cancelled
(3) revocation amount ÷ Circulating Stock capital stock number >=Z
It is that the main force removes and buys or the main force removes and sells that the output main force, which removes single non-zero,；It is unsatisfactory for, does not export result.
It is arranged by algorithm above model and threshold value, filters out third gear main force conclusion of the business detail, respectively indicated with different graphic
The main force strikes a bargain, removes list, sheet behavior, and main force's transaction scatterplot distribution can be intuitively shown on Time Index Chart.Main force's conclusion of the business index dissipates
Point diagram logic: each main force strikes a bargain (buy in/sell) in display timesharing, the main force removes list (buy and remove/sell and remove), main force's sheet (is hung
Buy/hang and sell) scatter plot.The corresponding amount for striking a bargain, removing list, sheet of the height put on Time Index Chart, unit are ten thousand hands.When a certain point
When there are the main forces to buy in, the main force sells the interior position in the same amount, the main force buy remove, the main force sell remove, the main force hang buy, the main force hangs and sells
In the case where more than two of them behavior, that nearest pen is only drawn.
Other than showing the real-time main force's transaction details of personal share, the statistics available Shanghai and Shenzhen A share market same day main force conclusion of the business list of this function,
The main force removes single list, main force's sheet list, can be ranked up according to quantity, the amount of money, conclusion of the business (sheet removes list) quantity.
The bargain is closed for the main force, sheet, removes single act and usually will affect volatility, and when buy order hangs up huge list, the seller dissipates
Family psychology can generate pressure.Suspection is so singly bought greatly, and share price is also possible to see a high line.On the contrary, when selling hangs up huge list,
Buyer casual household can hang back.Name of the present invention provide the user the method and tool of analysis main force's act of purchase and sale, can be real
When handle mass data, entrust detail and conclusion of the business by pen by algorithm never second transaction number data up to ten thousand, filtering out the main force
Detail can prejudge Future price tendency to a certain extent.
The object of the present invention is to provide it is a kind of based on transaction data realize the main force's act of purchase and sale analysis method and tool, under
Face will be briefly described explanation to attached drawing needed in embodiment description.Obviously, described embodiment is only
A part of the embodiment of the present invention, the flow chart of specific embodiment mode as shown in Figure 1, this method comprises:
Step 1: related to 2 market data acquisition user of level provided by Shenzhen Stock Exchange transaction real according to Shanghai exchange
When bargain transaction detail.
Step 2: background system obtains and stores same day customer transaction data, is set by quantization trading algorithms and threshold value
Filter out main force's dealing operation behavior.
Step 3: will singly be defined as three gears greatly according at fight number and turnover: the super main force, big dissipates the main force
Family；User can customize gear, filters out the personal share list that the same day meets condition, is ranked up according to the amount of money and quantity.
To the data of upper type acquisition, in the form of patterned by main force's act of purchase and sale Overlapping display on Time Index Chart,
Anticipation share tendency can be analyzed in conjunction with present quotation user；By buying in, sell, sheet, remove single amount of money and arranged in the form of list
Sequence, the statistics personal share same day real-time main force buys, sells, sheet, removing singular amount, is able to satisfy different type investor differentiation and deeper
Secondary market demand, faster it is real quickly to grasp the main force for the more empty more empty strength of personal share of assessment, the main force, the actual display whole city order ticket
Power and actual cost, the auxiliary judgment main force are intended to, and find main force's trend in time, make decision more acurrate.
It is as follows that the Shanghai and Shenzhen market main force strikes a bargain, the main force removes list, the processing logic of main force's sheet:
One, the Shenzhen stock market main force strikes a bargain
1. being limited for every, Shenzhen market stock by pen conclusion of the business queue: MSG_TYPE=" SZZC ",
SMDStreamID=" 011 ", cExecType=70
2, i64BidApplySeqNum (buyer's order number) and i64OfferApplySeqNum (seller's order are judged respectively
Number) (i.e. whether existing in " conclusion of the business queue caching ") whether first appeared:
2.1 first appearing
2.1.1 " conclusion of the business queue caching " is added, is recorded according to i64LastPx (knock-down price) and i64LastQty (exchange hand)
Lower SeqNum and corresponding exchange hand and transaction value.Compare the size of buyer's order number He seller's order number, if buyer's order
Number > seller's order number, then buyer's meter is actively bought, seller's meter is passively sold, and otherwise buyer's meter is passively bought, and the seller counts active and sells.Splicing
UDate (YYYYMMDD)+i64TransactTime (HHmmssSSS) is used as SeqNum closing time for the first time, in this, as cunning
The starting point of dynamic time window (45 seconds tentative), waits subsequent conclusion of the business queue.
2.2 non-first appear
2.2.1 corresponding SeqNum is found in " conclusion of the business queue caching ", by the exchange hand/transaction value and caching of the transaction
In exchange hand/transaction value aggregation it is total, recalculate the variation of main passive dealing amount, using this closing time as it is new when
Between Window Start point (deferred window phase), wait subsequent conclusion of the business queue.
3, judge the SeqNum that whether there is time window expired (without new deal in i.e. 45 seconds) in " conclusion of the business queue caching ".
For expired SeqNum, judge whether the accumulative exchange hand of the SeqNum and transaction value meet the condition of main force's identification.
3.1 meet, and the output main force strikes a bargain, and (BidApplySeqNum is that the main force buys in, OfferApplySeqNum is the main force
It sells).Compare the active dealing amount of the SeqNum and the size of passive dealing amount simultaneously, stamps corresponding main passive marker.
3.2 are unsatisfactory for, and do not export result.
Two, Shenzhen stock market main force sheet
1, queue is entrusted by pen for every, Shenzhen market stock, limited: MSG_TYPE=" SZZW ",
SMDStreamID=" 011 " is stored in " commission queue caching " (removing single association use for subsequent)
2, judge this commission commission amount (i64OrderQty)/commission volume (i64OrderQty*i64Price) whether
Meet the main force and assert condition.
2.1. meet, output main force's sheet (cSide=49 is that main force's extension is bought, cSide=50 is that main force's extension is sold)
2.2. it is unsatisfactory for, does not export result
Three, the Shenzhen stock market main force removes list
1, for every, Shenzhen market stock by pen revocation queue (limit: MSG_TYPE=" SZZC ",
SMDStreamID=" 011 ", cExecType=52) and " commission queue caching " data
2, i64BidApplySeqNum (buyer's order number) and i64OfferApplySeqNum (seller's order number) are observed
In nonzero term (theoretically only one), judge whether this order number SeqNum first appears (i.e. " revocation queue caching " in
It is whether existing):
2.1. first appearing
2.1.1. " revocation queue caching " is added, " committee is gone according to BidApplySeqNum (or OfferApplySeqNum)
Hold in the palm queue caching " the corresponding commission valence (i64Price) of the corresponding ApplSeqNum of association, while judging lower revocation amount and commission amount
Quantitative relation whether rationally, direction it is whether identical.Record the SeqNum and corresponding revocation amount and revocation volume, splicing
UDate+i64TransactTime cancels the time as the SeqNum for the first time, in this, as sliding time window (45 seconds tentative)
Starting point, wait subsequent revocation queue.
2.2. non-to first appear
2.2.1. corresponding SeqNum is found in " revocation queue caching ", the revocation amount/revocation volume and caching that this is cancelled
In revocation amount/revocation volume aggregation it is total, will the revocation time as new time window starting point (deferred window phase), after waiting
Continuous revocation queue.
3, with the presence or absence of the SeqNum of time window expired (without new revocation in i.e. 45 seconds) in judgement " revocation queue caching ".
For expired SeqNum, judge whether the accumulative revocation amount of the SeqNum and revocation volume meet the main force and assert condition.
3.1. meet, the output main force removes list, and (BidApplySeqNum non-zero is removed for the main force and bought, and OfferApplySeqNum is non-
Zero for the main force remove sell)
3.2. it is unsatisfactory for, does not export result
Four, the stock markets of Shanghai main force strikes a bargain
1, it is limited: MSG_TYPE=" SHZC " for every, Shanghai market stock by pen conclusion of the business queue
2, judge whether iTradeBuyNo (buyer's order number) and iTradeSellNo (seller's order number) go out for the first time respectively
It is existing (i.e. " conclusion of the business queue caching " in it is whether existing):
2.1. first appearing
2.1.1. " conclusion of the business queue caching " is added, records buyer/seller order number (iTradeBuyNo/ respectively
) and corresponding exchange hand (iTradeQty) and transaction value (iTradeMoney) iTradeSellNo.Compare buyer's order number and
The size of seller's order number, if buyer's order number > seller's order number, buyer's meter is actively bought, seller's meter is passively sold, and is otherwise bought
Side's meter is passively bought, and the seller, which counts, actively to sell.Splicing uDate (YYYYMMDD)+uTradeTime (HHmmssSSS) is ordered as the two
The closing time for the first time of odd numbers waits subsequent conclusion of the business queue in this, as the starting point of sliding time window (45 seconds tentative).
2.2. non-to first appear
2.2.1. find corresponding buyer/seller order number in " conclusion of the business queue caching ", by the exchange hand of the transaction/at
Exchange hand/transaction value aggregation in friendship volume and caching is total, the variation of main passive dealing amount is recalculated, by this closing time
As new time window starting point (deferred window phase), subsequent conclusion of the business queue is waited.
3, judge " conclusion of the business queue caching " in whether there is time window expired (without new deal in i.e. 45 seconds) buyer/sell
Square order number.For expired order number, judge whether its accumulative exchange hand and transaction value meet the main force and assert condition.
3.1. meet, the output main force strikes a bargain (iTradeBuyNo is that the main force buys in, iTradeSellNo is that the main force sells).
Compare the active dealing amount of the SeqNum and the size of passive dealing amount simultaneously, stamps corresponding main passive marker.
3.2. it is unsatisfactory for, does not export result
Five, stock markets of Shanghai main force sheet remove list
1, ten grades of commission market of preceding the late two strokes LEVEL2 of Shanghai market (MSG_TYPE=" SHL2 ") every stock are directed to
Data (Tn and Tn+1).Note: theoretically 3 seconds slices of every stock, but if not pushed then in 3 seconds without striking a bargain and entrusting.
We only consider to buy 3 and amount to 16 grades of prices to selling 10 to buying 10, sell 3 at present, why reject to buy 1 and sell 1 and buy 2 and sell the commission of 2 fourth gear,
It is most possibly to be struck a bargain relatively because this fourth gear price is closest to current knock-down price, so the commission of this part can not judge to hang
Remove situation.
2, ten grades of dealing entrusted informations of Tn slice are recorded:
Shen buying price list: buyPriceArrayn [3], [4] ..., [10]
The Shen amount of buying list: buyVolArrayn [3], [4] ..., [10]
Shen selling price list: sellPriceArrayn [3], [4] ..., [10]
The Shen amount of selling list: sellVolArrayn [3], [4] ..., [10]
It is assembled into map (buyPriceArrayn [3], buyVolArrayn [3])
map(buyPriceArrayn[4],buyVolArrayn[4])
……
3, the arrival for waiting next slice Tn+1, repeats the above steps.
4, judge 3 to 10 of for i from
4.1)if buyPriceArrayn+1[i]between buyPriceArrayn[3]and buyPriceArrayn
[10]
4.1.1) if TRUE and buyPriceArrayn+1 [i]=buyPriceArrayn [j]
Then calculate DeltaVol=buyVolArrayn+1 [i]-buyVolArrayn [j], DeltaAmt=
DeltaVol*buyPriceArrayn+1[i]
4.1.2)if TRUE and buyPriceArrayn+1[i]not in(buyPriceArrayn[3],[4],…,
[10])
Then calculate DeltaVol=buyVolArrayn+1 [i] -0, DeltaAmt=DeltaVol*
buyPriceArrayn+1[i]
4.2) judgement of sellPriceArrayn+1 [i] is same as above
}
5, judge whether DeltaVol (commission amount difference) and DeltaAmt (commission volume difference) meet the main force and assert condition.
1) abs (DeltaVol) >=X strands (X takes 100,000)
2) abs (DeltaAmt) >=Y is first (Y takes 800,000)
3) (Z takes 0.08% to abs (DeltaVol) ÷ Circulating Stock capital stock number >=Z when circulation value >=30,000,000,000 yuan, city of circulating
When value < 30,000,000,000 yuan 0.04%) Z takes
5.1. meeting, if buyPriceArrayn+1 [i] corresponding DeltaVol < 0then output main force, which removes, buys,
If sellPriceArrayn+1 [i] corresponding DeltaVol < 0then output main force, which removes, sells,
If buyPriceArrayn+1 [i] corresponding DeltaVol > 0then output main force hangs and buys,
If sellPriceArrayn+1 [i] corresponding DeltaVol > 0then output main force hangs and sells
5.2. it is unsatisfactory for, does not export result.For the clearer technical solution for illustrating the prior art of the present invention, below will
Attached drawing needed to be used in the description of the prior art is briefly described, specifically as shown in Figure 2:
(1) Message Queuing of 2 market data-pushing of level to kafka is acquired.
Market data are active user's real-time deal detail, including stock code, buy in quantity, buy in the amount of money, sell number
It measures, sell the amount of money, sheet quantity, the sheet amount of money, sheet quantity, operating time；
(2) kafka message queue receives data and pushes level 2 in real time to main force's perspective server, codis database
Transaction journal.
(3) codis database receives 2 data of level and stores, and counts dealing sheet respectively according to algorithm and threshold value, buys
Sell price of removing that single, The bargain is closed, The bargain is closed quantity and distinguish it is main passive；
According to sheet, remove that list, exchange hand and number count main force's sheet list of stock markets of Shanghai A-share respectively, the main force removes single list, the main force
Conclusion of the business list, and according to the amount of buying in, sell quantity, buy in number, sell outdegree free switching list sequence.
(4) main force's perspective server receives treated 2 data of level, according to the customized gear of user, gives client
Hold PUSH message；
(5) client request data obtain the details transaction details of single stock according to stock code and fixture type；Root
Shanghai and Shenzhen A-share main force list is obtained according to list type.
Using the system and method for the invention for realizing the analysis of main force's act of purchase and sale based on transaction data, using streaming
Method handles data, based on the mobile dynamic data rapid treating technology (timing sequence process) of time window and based on event driven
Mode identification technology (CEP) and context relation ability support counting, summation, average, maximum, minimum, variance, standard deviation, association
Variance, K rank central moment, continuous, incremented/decremented, maximum are increased continuously/successively decrease, uniqueness differentiates, acquisition, filtering, sequence etc. are more
The distributed real-time computation model of kind；High-availability cache, powerful timing sequence process, energy complete independently can be realized by this processing logic
Complicated algorithm calculates, low delay and high concurrent, the real-time computing of Millisecond, while the access for meeting hundreds of thousands of users is asked
It asks.
In this description, the present invention is described with reference to its specific embodiment.But it is clear that can still make
Various modifications and alterations are without departing from the spirit and scope of the invention.Therefore, the description and the appended drawings should be considered as illustrative
And not restrictive.
Claims (14)
1. a kind of system for realizing the analysis of main force's act of purchase and sale based on transaction data, which is characterized in that the system includes:
Message queue module, for receiving and pushing transaction data；
Server is had an X-rayed by the main force, is connected with the message queue module, for receiving processing customer transaction data, and analyzes
Main force's act of purchase and sale；
Database module is connected with main force's perspective server, for storing data, counts detail transaction data and divide
Class sequence.
2. the system according to claim 1 for realizing the analysis of main force's act of purchase and sale based on transaction data, which is characterized in that institute
The main force's perspective server stated is connected with client, is used for according to user preset gear to client push data.
3. the system according to claim 1 for realizing the analysis of main force's act of purchase and sale based on transaction data, which is characterized in that institute
The message queue module stated is kafka message queue.
4. the system according to claim 1 for realizing the analysis of main force's act of purchase and sale based on transaction data, which is characterized in that institute
The database module stated is codis database.
5. a kind of method that main force's act of purchase and sale analysis based on transaction data is realized using system described in claim 1,
Be characterized in that, the method the following steps are included:
(1) message queue module described in obtains active user's real-time deal detail, and by level2 transaction journal data-pushing
To main force's perspective server and database module；
(2) database module described in receives and stores same day customer transaction data, according to quantization method of commerce and threshold decision
It screens the main force and buys and sells operation behavior, and define the big single data gear of transaction according at fight number and turnover；
(3) main force's perspective server described in receives treated transaction data, and according to user preset gear to client
Propelling data.
6. the method for main force act of purchase and sale analysis of the realization according to claim 5 based on transaction data, which is characterized in that
The step (2) specifically includes the following steps:
(2.1) database module described according to conclusion of the business, sheet and removes whether the single amount of money and quantity and threshold definitions transaction belong to
In the data gear of the super main force, the main force or big casual household, if it is, continuing step (2.2)；Otherwise, continue step (1)；
(2.2) database module described in judges whether transaction belongs to that the main force strikes a bargain, the main force removes the behavior of list or main force's sheet, such as
Fruit is then to continue step (3)；Otherwise, continue step (2.1).
7. the method for main force act of purchase and sale analysis of the realization according to claim 6 based on transaction data, which is characterized in that
Judge to trade in the step (2.1) whether belong to the super main force data gear specifically includes the following steps:
Database module described in (1-2.1.1) judges whether the single of the transaction is not less than 2000 hands at fight number, or strikes a bargain
Whether the amount of money is not less than 1,000,000, if it is, the transaction belongs to the data gear of the super main force；Otherwise, which is not belonging to surpass
The data gear of the grade main force.
8. the method for main force act of purchase and sale analysis of the realization according to claim 6 based on transaction data, which is characterized in that
Judge to trade in the step (2.1) whether belong to the main force data gear specifically includes the following steps:
Database module described in (2-2.1.1) judges whether the single of the transaction is not less than 1000 hands at fight number and is less than
Whether 2000 hands or turnover are not less than 500,000 and less than 1,000,000, if it is, the transaction belongs to the data shelves of the main force
Position；Otherwise, continue step (2-2.1.2)；
Database module described in (2-2.1.2) judge whether the circulation value of the transaction less than 30,000,000,000 and at fight number, remove list
Hand number and sheet hand number are all larger than the 0.08% of Circulating Stock, or whether the circulation value of the transaction is greater than 30,000,000,000 and at fight
Number removes singlehanded number and sheet hand number is respectively less than the 0.08% of Circulating Stock, if it is, the transaction belongs to the data gear of the main force；
Otherwise, which is not belonging to the data gear of the main force.
9. the method for main force act of purchase and sale analysis of the realization according to claim 6 based on transaction data, which is characterized in that
Judge to trade in the step (2.1) whether belong to big casual household data gear specifically includes the following steps:
Database module described in (3-2.1.1) judges whether the single of the transaction is not less than 200 hands at fight number and is less than
Whether 1000 hands or turnover are not less than 100,000 and less than 500,000, if it is, the transaction belongs to the data shelves of big casual household
Position；Otherwise, which is not belonging to the data gear of big casual household.
10. the method for main force act of purchase and sale analysis of the realization according to claim 6 based on transaction data, feature exist
Judge in, the step (2.2) transaction whether belong to main force's conclusion of the business specifically includes the following steps:
Database module described in (1-2.2.1) judge conclusion of the business queue caching whether existing buyer's order number and seller's order
Number, if it is, recording the exchange hand of the user, transaction value and closing time for the first time, and closing time will be recorded as sliding for the first time
The starting point of dynamic time window；Otherwise, the accumulative exchange hand and transaction value of the user are calculated, and the transaction closing time is remembered
Record is the starting point of sliding time window；
Database module described in (1-2.2.2) judges that conclusion of the business queue caching whether there is expired time window, if it is,
Continue step (1-2.2.3)；Otherwise, continue step (2.1)；
Database module described in (1-2.2.3) judges whether or not accumulative exchange hand be not less than X strands or accumulative transaction value
Whether the ratio less than Y member or accumulative exchange hand and Circulating Stock capital stock number is not less than Z, if it is, main force's conclusion of the business behavior is
Main force's Buying Behavior or the main force sell behavior；Otherwise, it is unsatisfactory for main force's conclusion of the business behavior.
11. the method for main force act of purchase and sale analysis of the realization according to claim 6 based on transaction data, feature exist
Judge to trade in, the step (2.2) whether belong to main force's sheet specifically includes the following steps:
Database module described in (2-2.2.1) will entrust data deposit commission queue caching；
Database module described in (2-2.2.2) judges whether or not accumulative commission amount be not less than X strands or accumulative commission volume
Whether the ratio less than Y member or accumulative commission amount and Circulating Stock capital stock number is not less than Z, if it is, main force's sheet behavior is
Behavior of buying is hung by the main force or the main force hangs and sells behavior；Otherwise, it is unsatisfactory for main force's sheet behavior.
12. the method for main force act of purchase and sale analysis of the realization according to claim 6 based on transaction data, feature exist
Judge in, the step (2.2) transaction whether belong to the main force remove singly specifically includes the following steps:
Database module described in (3-2.2.1) judge cancel and entrust queue caching whether existing buyer's order number and the seller
Order number if it is, recording the revocation amount of the user, revocation volume and cancelling the time for the first time, and will cancel time record for the first time
For the starting point of sliding time window；Otherwise, when calculating the accumulative revocation amount and revocation volume of the user, and the transaction being cancelled
Between be recorded as the starting point of sliding time window；
The judgement revocation queue caching of database module described in (3-2.2.2) whether there is expired time window, if it is,
Continue step (3-2.2.3)；Otherwise, continue step (2.1)；
Database module described in (3-2.2.3) judges whether or not accumulative revocation amount be not less than X strands or accumulative revocation volume
Whether the ratio less than Y member or accumulative revocation amount and Circulating Stock capital stock number is not less than Z, if it is, the main force removes single act is
The main force removes the behavior of buying or the main force removes the behavior of selling；Otherwise, it is unsatisfactory for the main force and removes single act.
13. the method for main force act of purchase and sale analysis of the realization according to claim 5 based on transaction data, feature exist
In active user's real-time deal detail in the step (1) includes stock code, buys in quantity, buy in the amount of money, sell number
It measures, sell the amount of money, sheet quantity, the sheet amount of money, sheet quantity and operating time.
14. the side that the realization according to any one of claim 5 to 13 is analyzed based on main force's act of purchase and sale of transaction data
Method, which is characterized in that the transaction data is level2 market data.
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| CN112365346A (en) * | 2020-10-30 | 2021-02-12 | 北京数秦科技有限公司 | Method, device and storage medium for determining and displaying stock trading entrustment order |
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