CN112132681A - Market source unified access system - Google Patents
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Abstract
The invention discloses a quotation source unified access system, which simplifies the complexity of receiving multi-source quotations, reduces the quotation docking cost, reduces the quotation acquisition delay, improves the system reliability, reduces the user maintenance cost, and brings convenience and stability for secondary development. The technical scheme is as follows: the system comprises a plurality of quotation adaptation modules, quotation forwarding modules and quotation returning modules, wherein each quotation adaptation module is respectively connected with the quotation forwarding module and the quotation returning module, each quotation adaptation module is respectively connected with the quotation of one exchange, processes different access modes of the corresponding exchanges, analyzes corresponding access protocols, converts the access protocols into a uniform quotation structure body, and then releases the uniform quotation structure body to the quotation forwarding module and the quotation returning module; a user session list is maintained in the market forwarding module, and the received market is subjected to landing and forwarding of a file stream according to the subscription requirements of the user; the market quotation returning module is used for uniformly managing the current day quotations of a plurality of exchanges and returning the current day quotations to the accessed users.
Description
Technical Field
The invention relates to the field of financial transaction software, in particular to a technology for unified access management of external market source data.
Background
At present, in the financial market, the current market access scenario is shown in fig. 1, and exchanges respectively provide a set of market services, which are deployed inside the exchanges, and an accessor can deploy a network dedicated line channel to communicate with the exchange.
At present, a set of market quotation gateway is locally built by an accessor required by Shanghai stock exchange and Shenzhen stock exchange in China for directly interfacing market quotation service of the stock exchange, and the accessor can receive market quotation from the market quotation gateway. Other exchanges allow the market receiving system to directly access its own market services.
From the above, each exchange has its own market publishing mode and network protocol, and there are technical threshold and admission threshold for market customers to obtain the market of each exchange, and meanwhile, its own maintenance cost is high and reliability is low.
Disclosure of Invention
The following presents a simplified summary of one or more aspects in order to provide a basic understanding of such aspects. This summary is not an extensive overview of all contemplated aspects, and is intended to neither identify key or critical elements of all aspects nor delineate the scope of any or all aspects. Its sole purpose is to present some concepts of one or more aspects in a simplified form as a prelude to the more detailed description that is presented later.
The present invention is directed to solve the above problems and to provide a system for accessing market sources in a unified manner, which simplifies the complexity of receiving market from market sources in multiple exchanges, reduces market docking cost, greatly reduces delay in acquiring market, improves system reliability, reduces maintenance cost for users, and provides convenience and stability for secondary development of an accessor.
The technical scheme of the invention is as follows: the invention discloses a quotation source unified access system, which comprises a plurality of quotation adaptation modules, quotation forwarding modules and quotation returning modules, wherein the output end of each quotation adaptation module is respectively connected with the quotation forwarding modules and the quotation returning modules, and the quotation source unified access system comprises:
each market adaptation module is respectively connected with the market of an external exchange, is used for processing different access modes of the corresponding exchange, analyzes the corresponding access protocol, converts the access protocol into a uniform market structure body, and then releases the uniform market structure body to the market forwarding module and the market returning module;
the market forwarding module maintains a user session list inside, and performs landing and forwarding of the file stream on the received market according to the subscription requirements of the user;
and the quotation returning module is used for uniformly managing the quotations of the plurality of exchanges on the same day and returning the quotations to the accessed users.
According to an embodiment of the system for unified access of market information sources of the present invention, the unified market information structure converted by the market information adaptation module includes unified futures market information and spot market information.
According to an embodiment of the market source unified access system, for market services of three exchange, namely a Chinese financial futures exchange, a large-link commodity futures exchange and a Zhengzhou commodity futures exchange, a market adaptation module is configured to encapsulate a market service API provided by the exchange, convert a market data structure provided by the exchange into a unified market structure, write the converted market data into a file stream, and simultaneously issue the market data to a market forwarding module; the file flow is a file stored in a binary form, and the file flow is a message queue in the form of a quotation data structure of each frame under the same theme.
According to an embodiment of the market source unified access system, for the second-generation multicast market service of the Shanghai futures exchange, the market adaptation module is configured to use a UDP multicast access component and a TCP access component to complete the process of accessing the market service provided by the exchange, convert the structure into unified market structure data after receiving the market data provided by the exchange, finally write the converted market data into a file stream, and simultaneously issue the file stream to the market forwarding module; the market service comprises a real-time market service and a market reconstruction service of the exchange.
According to an embodiment of the quotation source unified access system, for the quotation services of the Shanghai stock exchange and the Shenzhen stock exchange, the quotation adaptation module is configured to adopt the TCP access component to complete the process of accessing the quotation services provided by the exchange, and after the quotation data provided by the exchange is received, the quotation structure is converted into an index, spot and option quotation structure according to the service.
According to an embodiment of the system for uniformly accessing market quotation sources, the market quotation adaptation module is further configured to extract two fields of update time and update millisecond in the market quotation when each frame of market quotation is received, calculate a millisecond-level timestamp of the frame of market quotation in a combined manner, add the timestamp into a new market quotation structure body to serve as a market quotation serial number of the frame, and enable the market quotation of each contract to form an ordered arrangement through the market quotation serial number so as to ensure the ordering of the output market quotation; when receiving the quotation, the current quotation serial number of each contract is recorded, and when receiving the new quotation of the contract, the current quotation serial number is used for comparison, and the quotation smaller than the current quotation serial number is filtered out, so that the ordering of the collected quotation is ensured.
According to an embodiment of the system for uniformly accessing the quotation sources, the quotation forwarding module is configured to establish a contract queue corresponding to each transaction in the memory, the contract queue stores the current snapshot quotation of each contract, and the current snapshot quotation is updated when a new quotation is received; the market situation forwarding module supports a user to inquire contract information and a current contract snapshot of a trading exchange; the market forwarding module receives a subscription request of a user API, establishes long connection with the user API, and pushes different data according to a theme subscribed by the user.
According to an embodiment of the system for uniformly accessing the quotation sources, the quotation returning module is configured to be simultaneously in TCP long connection with the quotation adaptation modules of all exchanges, receives the quotation data issued by the quotation adaptation modules and writes the quotation data into a file stream by taking a contract as a unit for the received quotation; when a user requests the current-day historical market retransmission of a certain contract through the API, the market feedback module searches and obtains a data stream sequence corresponding to the contract from the file stream falling to the ground, reads binary data in the file stream according to the initial time specified by the user and sends the binary data to the user API; the API used by the user locally falls to the binary stream in contract units, so that the received data are ensured to be ordered.
Compared with the prior art, the invention has the following beneficial effects: the market situation adaptation module in the system solves the problems of different access modes and different protocols of a plurality of exchanges, achieves the effect of unifying output market situation structures, reduces the difficulty of acquiring market situations and simplifies the secondary development of market situations. The market situation adaptation in the system of the invention provides a plurality of access modes such as plug-in mode, API and the like, so that the mode of collecting market situation is more flexible, and the requirements on different performances and stability are met. The market adaptation module in the system of the invention provides the functions of ground data and data return to improve the stability and fault tolerance rate in the market receiving process. The quotation forwarding module in the system uniformly manages the six exchanges and provides a convenient channel for the user to create an API (application programming interface) example, so that the six exchanges can be collected. The market information forwarding module in the system supports multi-node deployment, real-time hot standby ensures automatic fault switching, receives multi-node market information at the same time for duplication removal, ensures that the market information is not interrupted, improves the reliability of the whole system and reduces the operation and maintenance cost of users.
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The above features and advantages of the present disclosure will be better understood upon reading the detailed description of embodiments of the disclosure in conjunction with the following drawings. In the drawings, components are not necessarily drawn to scale, and components having similar relative characteristics or features may have the same or similar reference numerals.
Fig. 1 shows a schematic diagram of an existing market access scenario.
Fig. 2 shows a schematic diagram of an embodiment of the market source unified access system of the present invention.
Fig. 3 to 5 show schematic diagrams of a market adaptation module in the system of the invention.
Fig. 6 shows schematic diagrams of three user access modes of the market situation adaptation module in the system of the present invention.
Fig. 7 shows a schematic diagram of a market forwarding module in the system of the present invention.
Fig. 8 shows a schematic diagram of the market return module in the system of the present invention.
Detailed Description
The invention is described in detail below with reference to the figures and specific embodiments. It is noted that the aspects described below in connection with the figures and the specific embodiments are only exemplary and should not be construed as imposing any limitation on the scope of the present invention.
Fig. 2 shows an overall structure of an embodiment of the market source unified access system of the present invention. Referring to fig. 2, the quotation source unified access system of the present embodiment includes a plurality of quotation adaptation modules, a quotation forwarding module, and a quotation returning module.
The output end of each market situation adaptation module is respectively connected with the market situation forwarding module and the market situation returning module.
Each market adaptation module is respectively connected with the market of an external exchange, is used for processing different access modes of the corresponding exchange, analyzes the corresponding access protocol, converts the access protocol into a uniform market structure body, and distributes the uniform market structure body to the market forwarding module and the market returning module through a TCP/IP channel.
The market forwarding module maintains a user session list and distributes market according to the subscription requirements of users.
The market return module is used for uniformly managing the market of a plurality of exchanges on the same day and returning the market to the accessed users.
The specific implementation principle of the market condition adaptation module is described in detail as follows.
The market adaptation module carries out structure conversion to the different market structures of many exchanges, and the market structure after the conversion divide into unified futures market and spot market, and wherein the futures market is as follows structure:
the spot market structure is as follows:
in this embodiment, the external multiple exchanges, such as the chinese financial futures exchange, the jungle commodity futures exchange, the zheng zhou commodity futures exchange, the shanghai stock exchange, and the shenzhen stock exchange, are explained as examples.
For the market service of three exchanges, namely, the chinese financial futures exchange, the large-link commodity futures exchange and the zheng zhou commodity futures exchange, as shown in fig. 3, the market adaptation module in the system of the present embodiment is configured to encapsulate the market service API provided by the exchange, convert the market data structure provided by the exchange into a unified market structure, write the converted market data into a file stream (i.e., the illustrated unified market data stream), and simultaneously issue the converted market data to the market forwarding module. The file stream is a file stored in a binary form, and the file stream is a message queue in the form of a quotation data structure of each frame under the same theme (namely quotation data of a trading post or a group of quotation data of the same type published by the trading post).
For the second-generation multicast market service of the shanghai futures exchange, as shown in fig. 4, the market adaptation module in the system of this embodiment is configured to use the UDP multicast access component and the TCP access component to complete the process of accessing the market service provided by the exchange (including the real-time market service and the market reconstruction service of the exchange), convert the structure into uniform market structure data after receiving the market data provided by the exchange, write the converted market data into a file stream, and simultaneously issue the file stream to the market forwarding module.
For the market service of the spot exchange (shanghai stock exchange and shenzhen stock exchange), as shown in fig. 5, the market adaptation module in the system of this embodiment is configured to use the TCP access component to complete the process of accessing the market service provided by the exchange, and after receiving the market data provided by the exchange, the market structure is converted into an index, spot (stock, bond, fund) and option market structure according to the business.
The market situation adaptation module realizes the unification of market situation source access and the unification of output market situation structure and protocol, thereby being easy to expand transversely. When receiving the market of each frame, the market adaptation module extracts two fields of update time and update millisecond in the market, calculates the millisecond-level timestamp of the frame market in a combined manner, and adds the millisecond-level timestamp into a new market structure body to serve as the market serial number of the frame. On the premise that the quotations issued by the exchange are ordered, the quotations of each contract form an ordered arrangement through the quotation sequence number so as to ensure the ordering of the output quotations. The current market serial number of each contract is recorded when the market is received, and the market serial number is used for comparison when a new market of the contract is received, so that market smaller than the current market serial number is filtered out, and the order of collecting the market is ensured.
As shown in fig. 6, the market adaptation module provides three user access modes through different packaging forms of the API. The following details each of these three user access methods.
The first user access mode is as follows: the user directly uses the C + + API dynamic library of the market situation adaptation module of the appointed exchange to create the API instance to be directly connected with the market situation service of the exchange, so that the market situation service with the highest performance is obtained.
The second user access mode is as follows: a user accesses the market situation adaptation module by using the C + + API dynamic library of the market situation adaptation module, acquires market situation data issued by the market situation adaptation module in the same mode of creating an API example, and is suitable for a mode of market situation issuance and market situation downstream deployment on different machines.
The third user access mode is as follows: the user uses the C + + API dynamic library of the market information forwarding module and is connected to the market information forwarding module to acquire market information data in a mode of creating an API example. The user can subscribe the quotations of the six exchanges by using one API example and directly acquire the corresponding quotation data. Meanwhile, by means of a multi-node multi-activity deployment mode, one API example is used for simultaneously connecting the active and standby quotation forwarding modules and receiving multiple quotation sources. The API takes a contract as a unit, market data of the contract which is just contracted is fallen to a file stream, when a new market is received, a timestamp serial number of the market is compared with a maximum timestamp serial number in the file stream, and the market data is pushed to a user only when the received market timestamp serial number is large, so that the duplicate removal effect is achieved. Therefore, when receiving two market sources, the user can only receive the fastest market, and even if one market source goes wrong, the user can still obtain the market without perception, so that the market service with the highest stability is obtained.
The market forwarding module is simultaneously in TCP long connection with the market adaptation modules of the six exchanges, receives market data issued by the market forwarding module, and performs landing and forwarding of file streams on the received market.
The market situation forwarding module establishes a contract queue of each exchange in a memory in the implementation process, the contract queue stores the current snapshot market situation of each contract, and the current snapshot market situation is updated when a new market situation is received. The market forwarding module supports the user to inquire the contract information and the current contract snapshot of the exchange. The market forwarding module receives a subscription request of a user API, establishes long connection with the user API, and pushes different data according to the subscribed theme of the user, including subscription in modes of a trading exchange, a single contract market and the like.
The market situation adaptation module ensures the ordering of market situations, and can perform duplicate removal processing on the contract through the serial number of the contract, so that the stability and reliability of the whole system can be improved by using the transverse extension of the market situation forwarding module.
As shown in fig. 7, when accessing to the forwarding core using the API, the downstream application may simultaneously connect to the illustrated forwarding core 1 and forwarding core 2 and receive the market conditions of both paths at the same time. A plurality of file streams can be landed for a user in the API, the landed file streams take contracts as units, and all quotations of one contract on the day are stored in each file stream. When the API receives the quotation, the corresponding file stream is searched first, the current latest timestamp serial number is confirmed, and the frame quotation is pushed to the user only when the received quotation timestamp serial number is larger than the latest timestamp. Therefore, when a problem occurs in link 2, the data of link 1 is still stably pushed to the user, and the user is unaware of the problem in link 2.
The market return module realizes the function of uniformly managing the market of a plurality of exchanges on the same day and returning the market to the accessed users. The quotation returning module is simultaneously in TCP long connection with the quotation adaptation modules of all exchanges, receives the quotation data issued by the quotation adaptation modules, and writes the quotation data into a file stream by taking a contract as a unit for the received quotation. As shown in fig. 8, a user requests a current-day historical market retransmission of a certain contract through an API, the market feedback module searches for a data stream sequence corresponding to the contract from the file stream falling to the ground, starts to read binary data in the file stream according to a start time specified by the user, and sends the binary data to the user API. The API used by the user is the same as that mentioned in the market forwarding module, and the user can fall to the binary stream locally by taking a contract as a unit, so that the received data is ensured to be ordered, and the disorder phenomenon possibly occurring in the return process is prevented.
While, for purposes of simplicity of explanation, the methodologies are shown and described as a series of acts, it is to be understood and appreciated that the methodologies are not limited by the order of acts, as some acts may, in accordance with one or more embodiments, occur in different orders and/or concurrently with other acts from that shown and described herein or not shown and described herein, as would be understood by one skilled in the art.
Those of skill would further appreciate that the various illustrative logical blocks, modules, circuits, and algorithm steps described in connection with the embodiments disclosed herein may be implemented as electronic hardware, computer software, or combinations of both. To clearly illustrate this interchangeability of hardware and software, various illustrative components, blocks, modules, circuits, and steps have been described above generally in terms of their functionality. Whether such functionality is implemented as hardware or software depends upon the particular application and design constraints imposed on the overall system. Skilled artisans may implement the described functionality in varying ways for each particular application, but such implementation decisions should not be interpreted as causing a departure from the scope of the present invention.
The various illustrative logical blocks, modules, and circuits described in connection with the embodiments disclosed herein may be implemented or performed with a general purpose processor, a Digital Signal Processor (DSP), an Application Specific Integrated Circuit (ASIC), a Field Programmable Gate Array (FPGA) or other programmable logic device, discrete gate or transistor logic, discrete hardware components, or any combination thereof designed to perform the functions described herein. A general purpose processor may be a microprocessor, but in the alternative, the processor may be any conventional processor, controller, microcontroller, or state machine. A processor may also be implemented as a combination of computing devices, e.g., a combination of a DSP and a microprocessor, a plurality of microprocessors, one or more microprocessors in conjunction with a DSP core, or any other such configuration.
The steps of a method or algorithm described in connection with the embodiments disclosed herein may be embodied directly in hardware, in a software module executed by a processor, or in a combination of the two. A software module may reside in RAM memory, flash memory, ROM memory, EPROM memory, EEPROM memory, registers, hard disk, a removable disk, a CD-ROM, or any other form of storage medium known in the art. An exemplary storage medium is coupled to the processor such the processor can read information from, and write information to, the storage medium. In the alternative, the storage medium may be integral to the processor. The processor and the storage medium may reside in an ASIC. The ASIC may reside in a user terminal. In the alternative, the processor and the storage medium may reside as discrete components in a user terminal.
In one or more exemplary embodiments, the functions described may be implemented in hardware, software, firmware, or any combination thereof. If implemented in software as a computer program product, the functions may be stored on or transmitted over as one or more instructions or code on a computer-readable medium. Computer-readable media includes both computer storage media and communication media including any medium that facilitates transfer of a computer program from one place to another. A storage media may be any available media that can be accessed by a computer. By way of example, and not limitation, such computer-readable media can comprise RAM, ROM, EEPROM, CD-ROM or other optical disk storage, magnetic disk storage or other magnetic storage devices, or any other medium that can be used to carry or store desired program code in the form of instructions or data structures and that can be accessed by a computer. Any connection is properly termed a computer-readable medium. For example, if the software is transmitted from a web site, server, or other remote source using a coaxial cable, fiber optic cable, twisted pair, Digital Subscriber Line (DSL), or wireless technologies such as infrared, radio, and microwave, then the coaxial cable, fiber optic cable, twisted pair, DSL, or wireless technologies such as infrared, radio, and microwave are included in the definition of medium. Disk (disk) and disc (disc), as used herein, includes Compact Disc (CD), laser disc, optical disc, Digital Versatile Disc (DVD), floppy disk and blu-ray disc where disks (disks) usually reproduce data magnetically, while discs (discs) reproduce data optically with lasers. Combinations of the above should also be included within the scope of computer-readable media.
The previous description of the disclosure is provided to enable any person skilled in the art to make or use the disclosure. Various modifications to the disclosure will be readily apparent to those skilled in the art, and the generic principles defined herein may be applied to other variations without departing from the spirit or scope of the disclosure. Thus, the disclosure is not intended to be limited to the examples and designs described herein but is to be accorded the widest scope consistent with the principles and novel features disclosed herein.
Claims (8)
1. The utility model provides a unified access system of quotation source which characterized in that, system include a plurality of quotation adaptation modules, quotation forward module and quotation passback module, and the quotation is forwarded module and quotation passback module respectively to connect the quotation equally to each quotation adaptation module's output, wherein:
each market adaptation module is respectively connected with the market of an external exchange, is used for processing different access modes of the corresponding exchange, analyzes the corresponding access protocol, converts the access protocol into a uniform market structure body, and then releases the uniform market structure body to the market forwarding module and the market returning module;
the market forwarding module maintains a user session list inside, and performs landing and forwarding of the file stream on the received market according to the subscription requirements of the user;
and the quotation returning module is used for uniformly managing the quotations of the plurality of exchanges on the same day and returning the quotations to the accessed users.
2. The system of claim 1, wherein the uniform market structure transformed by the market adaptation module comprises uniform futures market and spot market.
3. The system of claim 1, wherein for the market services of three exchanges, namely, the chinese financial futures exchange, the grand junior commodity futures exchange and the zhengzhou commodity futures exchange, the market adaptation module is configured to encapsulate the market service API provided by the exchange, convert the market data structure provided by the exchange into a unified market structure, write the converted market data into a file stream, and simultaneously issue the converted market data to the market forwarding module; the file flow is a file stored in a binary form, and the file flow is a message queue in the form of a quotation data structure of each frame under the same theme.
4. The system of claim 1, wherein for the second-generation multicast market service of the shanghai futures exchange, the market adaptation module is configured to use a UDP multicast access component and a TCP access component to complete the process of accessing the market service provided by the exchange, convert the structure into uniform market structure data after receiving the market data provided by the exchange, and finally write the converted market data into a file stream and simultaneously issue the file stream to the market forwarding module; the market service comprises a real-time market service and a market reconstruction service of the exchange.
5. The system of claim 1, wherein for market services of shanghai stock exchange and shenzhen stock exchange, the market adaptation module is configured to use the TCP access component to complete the process of accessing the market services provided by the stock exchange, and after receiving market data provided by the stock exchange, the market structure is converted into an exponent, spot and option market structure according to the service.
6. The system according to claim 1, wherein the market adaptation module is further configured to extract two fields of update time and update millisecond in market when each frame of market is received, calculate a millisecond-level timestamp of the frame of market in combination and add the timestamp to a new market structure as a market serial number of the frame, and form an ordered arrangement of market of each contract according to the market serial number to ensure the ordering of the output market; when receiving the quotation, the current quotation serial number of each contract is recorded, and when receiving the new quotation of the contract, the current quotation serial number is used for comparison, and the quotation smaller than the current quotation serial number is filtered out, so that the ordering of the collected quotation is ensured.
7. The system of claim 1, wherein the market forwarding module is configured to establish a contract queue corresponding to each exchange in the memory, and store a current snapshot market of each contract in the contract queue, and update the current snapshot market each time a new market is received; the market situation forwarding module supports a user to inquire contract information and a current contract snapshot of a trading exchange; the market forwarding module receives a subscription request of a user API, establishes long connection with the user API, and pushes different data according to a theme subscribed by the user.
8. The system according to claim 1, wherein the market return module is configured to perform TCP long connection with market adaptation modules of each exchange at the same time, receive market data issued by the market adaptation modules, and write the market data into the file stream in contract units for the received market; when a user requests the current-day historical market retransmission of a certain contract through the API, the market feedback module searches and obtains a data stream sequence corresponding to the contract from the file stream falling to the ground, reads binary data in the file stream according to the initial time specified by the user and sends the binary data to the user API; the API used by the user locally falls to the binary stream in contract units, so that the received data are ensured to be ordered.
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| CN114995813A (en) * | 2022-06-28 | 2022-09-02 | 上海中汇亿达金融信息技术有限公司 | Exchange API module and related exchange application platform |
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| CN112132681B (en) | 2024-03-26 |
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