CN112132681B - Unified access system for quotation sources - Google Patents
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Abstract
The invention discloses a unified quotation source access system, which simplifies the complexity of receiving multisource quotations, reduces quotation butt joint cost, reduces quotation acquisition delay, improves system reliability, reduces user maintenance cost and brings convenience and stability for secondary development. The technical proposal is as follows: each quotation adaptation module is respectively connected with the quotation forwarding module and the quotation return module, each quotation adaptation module is respectively connected with a trading exchange quotation in a butt joint mode, processes different access modes of the corresponding trading exchange, analyzes corresponding access protocols, converts the corresponding access protocols into a unified quotation structure body, and then distributes the uniform quotation structure body to the quotation forwarding module and the quotation return module; the quotation forwarding module internally maintains a user session list, and the received quotation performs the landing and forwarding of the file stream according to the subscription requirement of the user; and the quotation return module is used for uniformly managing the quotations of the trading exchanges on the same day and returning the 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
In the financial market at present, the existing market access scene is shown in fig. 1, each exchange provides a set of market service, the market service is deployed inside the exchange, and an accessor can deploy a network private line channel to communicate with the market service.
At present, the domestic Shanghai securities exchange and Shenzhen securities exchange require that an accessor locally build a set of quotation gateway for directly interfacing quotation service of the exchange, and the accessor can receive quotation from the quotation gateway. Other exchanges allow the ticker receiving system to directly access their ticker services.
From the above, each exchange has its own market issuing mode and network protocol, and market clients obtain the technical threshold and admission threshold of each exchange market, and at the same time, the maintenance cost of each exchange is higher and the reliability is lower.
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 invention aims to solve the problems, and provides a unified quotation source access system which simplifies the complexity of quotation receiving from quotation sources of a plurality of exchange exchanges, reduces quotation butting cost, greatly reduces quotation obtaining delay, improves system reliability, reduces maintenance cost of users and brings convenience and stability to secondary development of accessors.
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 return modules, wherein the output end of each quotation adaptation module is respectively connected with the quotation forwarding module and the quotation return module, wherein the quotation adaptation modules are respectively connected with the quotation return modules, and the quotation return modules are respectively connected with the quotation adaptation modules:
each quotation adapting module is respectively in butt joint with quotations of an external exchange and is used for processing different access modes of the corresponding exchange, analyzing the corresponding access protocol, converting the access protocol into a unified quotation structure body and then issuing the uniform quotation structure body to the quotation forwarding module and the quotation return module;
the quotation forwarding module internally maintains a user session list, and the received quotation performs the landing and forwarding of the file stream according to the subscription requirement of the user;
and the quotation return module is used for uniformly managing the quotations of the trading exchanges on the same day and returning the quotations to the accessed users.
According to an embodiment of the quotation source unified access system of the present invention, the unified quotation structure into which the quotation adaptation module is converted includes unified futures quotation and spot quotation.
According to an embodiment of the market source unified access system, for market services of three exchanges, namely, a Chinese financial futures exchange, a great-link commodity futures exchange and a Zhengzhou commodity futures exchange, a market adaptation module is configured to encapsulate market service APIs provided by the exchanges, convert market data structures provided by the exchanges into unified market structures, write the converted market data into file streams, and issue the converted market data to a market forwarding module; wherein the file stream is a file stored in binary form, and the file stream is a message queue in the form of a data structure of each frame of 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 complete the process of accessing the market service provided by the exchange by using the UDP multicast access module and the TCP access module, convert the structure into unified market structure data after receiving market data provided by the exchange, and finally write the converted market data into a file stream and issue the file stream to the market forwarding module; wherein the quotation services comprise real-time quotation services and quotation reconstruction services of the exchange.
According to an embodiment of the market source unified access system of the invention, for market service of Shanghai securities exchange and Shenzhen securities exchange, the market adaptation module is configured to complete a process of accessing market service provided by the exchange by adopting the TCP access component, and convert market structure into index, spot and option market structure according to service after receiving market data provided by the exchange.
According to an embodiment of the unified access system of the quotation source of the invention, the quotation adapting module is further configured to extract two fields of update time and update millisecond in the quotation when each frame of quotation is received, calculate the millisecond-level time stamp of the frame of quotation in a combined way and add the time stamp into a new quotation structure body to be used as the quotation serial number of the frame, and the quotation of each contract forms an orderly arrangement through the quotation serial number so as to ensure the order of the output quotation; when receiving quotation, recording current quotation serial number of each contract, when receiving new quotation of the contract, comparing by using the current quotation serial number, filtering quotation smaller than the current quotation serial number, so as to ensure the order of collecting quotation.
According to an embodiment of the unified access system of the quotation source, 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 every time a new quotation is received; the quotation forwarding module supports a user to inquire contract information of a trade exchange and a current contract snapshot; and the quotation forwarding module receives a subscription request of the user API, establishes long connection with the user API, and pushes different data according to the topic subscribed by the user.
According to one embodiment of the quotation source unified access system, the quotation return module is configured to simultaneously carry out TCP long connection with the quotation adaptation module of each exchange, receive quotation data issued by the quotation adaptation module, and write the received quotation data into a file stream in units of contracts; when a user requests the retransmission of the current day history quotation of a certain contract through the API, the quotation return module searches the data stream sequence of the corresponding contract from the landed file stream, reads binary data in the file stream according to the starting time designated by the user and sends the binary data to the user API; wherein the API used by the user lands the binary stream locally in units of contracts, thereby ensuring that the received data is ordered.
Compared with the prior art, the invention has the following beneficial effects: the quotation adapting module in the system solves the problems of different access modes and different protocols of a plurality of exchanges, achieves the effect of unifying the output quotation structure, reduces the difficulty of obtaining quotation, and simplifies the secondary development of quotation. The quotation adaptation in the system of the invention provides a plurality of access modes such as plug-in, API and the like, so that the quotation collection mode is more flexible, and the requirements on different performances and stability are met. The market adaptation module in the system provides functions of floor data and data return to improve stability and fault tolerance in the market collection process. The quotation forwarding module in the system of the invention uniformly manages six exchanges and provides a user with a convenient channel for receiving six quotations by creating an API instance. The quotation forwarding module in the system supports multi-node deployment, real-time hot standby ensures automatic fault switching, and can simultaneously receive quotations of multiple nodes for duplication elimination, ensure that the quotations are not interrupted, improve the reliability of the whole system and reduce the operation and maintenance cost of users.
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The above features and advantages of the present invention will be better understood after reading the detailed description of embodiments of the present disclosure in conjunction with the following drawings. In the drawings, the components are not necessarily to scale and components having similar related features or characteristics may have the same or similar reference numerals.
Fig. 1 shows a schematic diagram of an existing market access scenario.
Figure 2 illustrates a schematic diagram of one embodiment of a uniform market source 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 a schematic diagram of three user access modes of the market 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 a market return module in the system of the present invention.
Detailed Description
The invention is described in detail below with reference to the drawings and the specific embodiments. It is noted that the aspects described below in connection with the drawings and the specific embodiments are merely exemplary and should not be construed as limiting the scope of the invention in any way.
Fig. 2 shows the overall structure of an embodiment of the uniform market source access system of the present invention. Referring to fig. 2, the system for unified access of a market place source in this embodiment includes a plurality of market place adapting modules, a market place forwarding module and a market place returning module.
The output end of each quotation adaptation module is respectively connected with the quotation forwarding module and the quotation return module.
Each quotation adaptation module is respectively in butt joint with an external exchange quotation and is used for processing different access modes of the corresponding exchange, analyzing the corresponding access protocol, converting the access protocol into a unified quotation structure body and issuing the uniform quotation structure body to the quotation forwarding module and the quotation return module through the TCP/IP channel.
And maintaining a user session list in the quotation forwarding module, and distributing quotations according to the subscription requirements of the users.
The quotation return module is used for uniformly managing the quotations of the trading exchange on the same day and returning the quotations to the accessed users.
The specific implementation principle of the market adaptation module is described in detail below.
The quotation adaptation module carries out structural conversion on different quotation structures of a plurality of exchanges, and the converted quotation structure body is divided into unified futures quotation and spot quotation, wherein the futures quotation is of the following structure:
the stock market structure is as follows:
in this embodiment, the external multi-family trading is exemplified by the chinese financial futures trading, the great link commodity futures trading, the zheng state commodity futures trading, the Shanghai securities trading, and the Shenzhen securities trading.
For the market service of three exchanges, namely, the Chinese financial futures exchange, the Dalian commodity futures exchange and the Zheng state commodity futures exchange, as shown in fig. 3, the market adaptation module in the system of the embodiment is configured to encapsulate the market service API provided by the exchanges, convert the market data structure provided by the exchanges into a unified market structure, write the converted market data into a file stream (i.e., the illustrated unified market data stream), and issue the converted market data to the market forwarding module. The file stream is a file stored in binary form, and is a message queue in the form of a data structure of each frame of quotation under the same theme (namely, quotation data of a trade exchange or a group of quotation data of the same class issued by a trade exchange).
For the second-generation multicast quotation service of the Shanghai futures exchange, as shown in fig. 4, the quotation adapting module in the system of the embodiment is configured to complete the process of accessing the quotation service (including the real-time quotation service and the quotation reconstruction service of the exchange) provided by the exchange by using the UDP multicast access component and the TCP access component, convert the structure into uniform quotation structure data after receiving the quotation data provided by the exchange, and finally write the converted quotation data into a file stream and issue the converted quotation data to the quotation forwarding module.
For the quotation service of the stock exchange (Shanghai stock exchange, shenzhen stock exchange), as shown in fig. 5, the quotation adapting module in the system of the embodiment is configured to complete the process of accessing the quotation service provided by the exchange by adopting the TCP access component, and convert the quotation structure into an index, stock (stock, bond, fund) and option quotation structure according to the business after receiving the quotation data provided by the exchange.
The quotation adaptation module realizes unification of quotation source access and unification of output quotation structures and protocols, thereby being easy to transversely expand. And when receiving each frame of quotation, the quotation adapting module extracts two fields of updating time and updating millisecond in the quotation, calculates the millisecond-level time stamp of the frame of quotation in a combined way, and adds the time stamp into a new quotation structure body to be used as the quotation serial number of the frame. On the premise that the quotations issued by the exchange are orderly, the quotations of each contract form an orderly arrangement through the quotation serial number so as to ensure the order of the output quotations. When receiving quotation, recording current quotation serial number of each contract, when receiving new quotation of the contract, comparing by using the quotation serial number, filtering quotation smaller than the current quotation serial number, so as to ensure the order of collecting quotation.
As shown in fig. 6, the market adaptation module provides three user access modes through different packaging forms of the API. The three user access modes are described in detail below.
The first user access mode is: and the user directly uses the API dynamic library of C++ of the quotation adaptation module of the appointed exchange to create an API instance direct-connection exchange quotation service so as to acquire the quotation service with the highest performance.
The second user access mode is: the user uses the API dynamic library of C++ of the quotation adapting module to access the quotation adapting module, and the mode of creating the API instance is also adopted to obtain the quotation data issued by the quotation adapting module, thereby being suitable for quotation issuing and modes of downstream deployment of quotation on different machines.
The third user access mode is: the user uses the API dynamic library of C++ of the quotation forwarding module, and is also connected to the quotation forwarding module by using a mode of creating an API instance to acquire quotation data. A user can subscribe the quotations of six exchanges by using one API instance, and corresponding quotation data can be directly obtained. Meanwhile, by means of a multi-node multi-activity deployment mode, an API instance is used for simultaneously connecting the main and standby quotation forwarding modules, and multipath quotation sources are received. The API takes a contract as a unit, the quotation data of the right contract is landed into a file stream, when a new quotation is received, the time stamp sequence number of the quotation is compared with the maximum time stamp sequence number in the file stream, and the received quotation time stamp sequence number is pushed to a user only when the received quotation time stamp sequence number is larger, so that the duplicate removal effect is achieved. Therefore, when receiving two paths of quotation sources, a user can only receive the fastest quotation, and even if one path of quotation source has a problem, the user can still obtain the quotation without perception, so that the quotation service with the highest stability is obtained.
And the quotation forwarding module is simultaneously connected with the quotation adaptation modules of the six exchanges in a TCP long way, receives quotation data issued by the quotation adaptation modules, and performs landing and forwarding of file streams on the received quotations.
The quotation forwarding module establishes a contract queue of each exchange in a memory in the implementation process, the contract queue stores the current snapshot quotation of each contract, and the current snapshot quotation is updated every time a new quotation is received. The quotation forwarding module supports the user to inquire contract information of the exchange and the current contract snapshot. The quotation forwarding module receives a subscription request of a user API, establishes long connection with the user API, pushes different data according to a theme subscribed by the user, and subscribes according to a trading exchange, a single contract quotation and other modes.
The quotation adaptation module guarantees the order of quotations, the contracts can be subjected to duplication removal processing through the serial numbers of the contracts, and the stability and the reliability of the whole system can be improved by using the transverse expansion of the quotation forwarding module.
As shown in fig. 7, when the downstream application accesses the forwarding core using the API, it may connect to the illustrated forwarding core 1 and forwarding core 2 at the same time, and receive the quotations of the two paths at the same time. The API internally lands a plurality of file streams for a user, and the landed file streams are in units of contracts, and each file stream stores all quotations of one contract on the same day. When the API receives the quotation, the API searches the corresponding file stream, confirms the current latest time stamp sequence number, and pushes the frame quotation to the user only when the time stamp sequence number of the received quotation is larger than the latest time stamp. Thus, 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 quotation return module realizes unified management of quotations of a plurality of exchanges on the same day and carries out return function to an accessed user. The quotation return module is simultaneously connected with the quotation adaptation modules of the exchanges in a TCP (transmission control protocol) manner, receives quotation data issued by the quotation adaptation modules, and writes the received quotation data into the file stream by taking contracts as units. As shown in fig. 8, a user requests the retransmission of the current day history quotation of a certain contract through the API, and the quotation return module searches the data stream sequence of the corresponding contract from the landed file stream, starts to read binary data in the file stream according to the starting time designated by the user, and then sends the binary data to the user API. The API used by the user is the same as that mentioned in the quotation forwarding module, and the binary stream can be landed locally by taking contracts as units, so that the received data is ensured to be orderly, and the possible disorder phenomenon in the returning 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 and appreciated by those 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 (disk) as used herein include Compact Disc (CD), laser disc, optical disc, digital Versatile Disc (DVD), floppy disk and blu-ray disc where disks (disk) usually reproduce data magnetically, while discs (disk) 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 (2)
1. The utility model provides a unified access system of quotation source, its characterized in that, the system includes a plurality of quotation adaptation modules, quotation forwarding module and quotation passback module, and the output of every quotation adaptation module is connected quotation forwarding module and quotation passback module respectively, wherein:
each quotation adapting module is respectively in butt joint with quotations of an external exchange and is used for processing different access modes of the corresponding exchange, analyzing the corresponding access protocol, converting the access protocol into a unified quotation structure body and then issuing the uniform quotation structure body to the quotation forwarding module and the quotation return module;
the quotation forwarding module internally maintains a user session list, and the received quotation performs the landing and forwarding of the file stream according to the subscription requirement of the user;
the quotation return module is used for uniformly managing quotations of a plurality of exchanges on the same day and returning the quotations to the accessed users;
the system comprises a quotation forwarding module, a quotation forwarding module and a data processing module, wherein the quotation forwarding module is configured to establish a contract queue corresponding to each transaction in a memory, the contract queue stores the current snapshot quotation of each contract, and the current snapshot quotation is updated every time a new quotation is received; the quotation forwarding module supports a user to inquire contract information of a trade exchange and a current contract snapshot; the quotation 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;
the quotation feedback module is configured to simultaneously carry out TCP long connection with the quotation adaptation modules of the exchanges, receive quotation data issued by the quotation adaptation modules, and write the received quotation data into the file stream by taking contracts as units; when a user requests the retransmission of the current day history quotation of a certain contract through the API, the quotation return module searches the data stream sequence of the corresponding contract from the landed file stream, reads binary data in the file stream according to the starting time designated by the user and sends the binary data to the user API; wherein the API used by the user lands the binary stream locally in units of contracts, thereby ensuring that the received data is ordered;
for the market service of three exchanges, namely, a Chinese financial futures exchange, a great-link commodity futures exchange and a Zhengzhou commodity futures exchange, the market adaptation module is configured to package market service APIs provided by the exchanges, convert market data structures provided by the exchanges into uniform market structures, write the converted market data into file streams and issue the converted market data to the market forwarding module; the file stream is a file stored in a binary form, and is a message queue in the form of a data structure of each frame of quotation under the same theme;
for the second-generation multicast quotation service of the Shanghai futures exchange, the quotation adapting module is configured to complete the process of accessing the quotation service provided by the exchange by using the UDP multicast access component and the TCP access component, convert the structure into uniform quotation structure data after receiving the quotation data provided by the exchange, and finally write the converted quotation data into a file stream and issue the converted quotation data to the quotation forwarding module; wherein the quotation service comprises real-time quotation service and quotation reconstruction service of the exchange;
for the quotation service of the Shanghai securities exchange and the Shenzhen securities exchange, the quotation adapting module is configured to complete the process of accessing the quotation service provided by the exchange by adopting the TCP access component, and convert the quotation structure into an index, spot and option quotation structure body according to the service after receiving the quotation data provided by the exchange;
the quotation adapting module is further configured to extract two fields of update time and update millisecond in the quotation when each frame quotation is received, calculate the millisecond-level time stamp of the frame quotation in a combined way, add the time stamp into a new quotation structure body to be used as the quotation serial number of the frame, and enable the quotation of each contract to form an ordered arrangement through the quotation serial number so as to ensure the ordering of the output quotation; when receiving quotation, recording current quotation serial number of each contract, when receiving new quotation of the contract, comparing by using the current quotation serial number, filtering quotation smaller than the current quotation serial number, so as to ensure the order of collecting quotation.
2. The quotation source uniform access system of claim 1, wherein the uniform quotation structure into which the quotation adaptation module converts comprises uniform futures quotation and spot quotation.
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| CN113222764A (en) * | 2021-05-25 | 2021-08-06 | 南京艾科朗克信息科技有限公司 | Market local processing system supporting double-path optimization |
| CN114995813B (en) * | 2022-06-28 | 2023-12-19 | 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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| CN108768983A (en) * | 2018-05-17 | 2018-11-06 | 上海金融期货信息技术有限公司 | Mass network bursty data dissemination system based on FPGA |
| CN109544037A (en) * | 2018-12-19 | 2019-03-29 | 上海金融期货信息技术有限公司 | It is a kind of without intrusive securities futures trading air control gateway system in advance |
| CN110278260A (en) * | 2019-06-17 | 2019-09-24 | 武汉灯塔之光科技有限公司 | A kind of forwarding recorded broadcast mthods, systems and devices of difference securities market data |
| CN110415027A (en) * | 2019-07-16 | 2019-11-05 | 上海金融期货信息技术有限公司 | A kind of big data market plateform system |
| CN110517136A (en) * | 2019-07-30 | 2019-11-29 | 上海兮通信息科技有限公司 | A kind of quotation accelerated processing method and system |
| CN111104594A (en) * | 2019-12-12 | 2020-05-05 | 上海金纳信息科技有限公司 | Market quotation pushing method and device |
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| CN112132681A (en) | 2020-12-25 |
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