CN112200683A - Financial market member end holographic market information acquisition method - Google Patents
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Abstract
The invention provides a financial market member end holographic market acquisition method, which comprises the steps of acquiring network data of a financial exchange through a kernel bypass; recombining the acquired network data packets according to corresponding financial exchange market quotation protocols to acquire a market quotation one by one; extracting a message record number from the one-by-one quotation, and judging whether the corresponding one-by-one quotation is lost or not; the data is stored in the shared memory, so that the data still exists even after the process exits; distributing stroke-by-stroke data to different Disproptor queues according to contract hash values in stroke-by-stroke quotations; the order book and the content generator form a service pipeline, and the entrance of the pipeline is a Dispeptor queue; and after the order book is constructed, generating quotations to investors concurrently. The method provided by the invention solves the problem that the financial market inventory information can not be rapidly and completely acquired, and the method has the advantages of complete construction inventory information, low delay, high expansibility, simple architecture and high development iteration and marketing speed.
Description
Technical Field
The invention belongs to the technical field of computer data processing, and relates to a financial market member end holographic market information acquisition method.
Background
The financial exchange issues each consignment and deal information, which we call as "data by data"
The data of market transmitted by the financial exchange in real time includes entrusted ID, entrusted contract, entrusted quantity and entrusted price, and also includes withdrawal order and deal. All the commissions on the day are accumulated according to price, the withdrawal and the transaction are deducted, and the total price of the commissions from the drop to the rise is obtained, all the commissions which are not committed are collected together to be called 'holographic quotations', and a data structure containing the information is generally recorded as 'order book (OrderBook)'.
Since there is a limit of the minimum price change unit (denoted as TickSize) in the trade rules of a contract, the price step number (denoted as LevelCount) can be calculated by the following formula within the range of fluctuation range formed by the highest price (denoted as HighLimit) and the lowest price (denoted as LowLimit) of a single contract: LevelCount ═ Int ((HighLimit-LowLimit)/TickSize) + 1.
With the development of the global financial market, more and more users participate in financial transactions such as stock and futures, the dynamic state of a trading disk is changed and becomes more and more complex, the price grade number provided by the current market system is generally below 10 grades, the complete comprehensiveness of the information of the disk is sacrificed, the visual field of the users is limited, and great challenges are brought to the clear dynamic state of the disk. The high frequency transaction requires a market system that can provide more complete, lower delay market data, higher extensibility, and requires products to be quickly marketed.
Disclosure of Invention
1. The technical problem to be solved is as follows:
the existing financial market opening information can not be acquired quickly and completely.
2. The technical scheme is as follows:
in order to solve the above problems, the invention provides a financial market member end holographic market acquiring method, which comprises the following steps: the method comprises the following steps: acquiring a market quotation network data packet of a financial transaction by a kernel bypass; step two: recombining the acquired market quotation network data packets according to corresponding financial exchange market quotation protocols to acquire market quotations one by one; step three: extracting message record numbers from the market quotations one by one, judging whether the market quotations corresponding to the missing information are missing or not, and requesting missing data from a transaction according to the missing message record numbers if the market quotations are missing; step four: distributing the stroke-by-stroke data to different Disproptor queues according to contract hash values in the stroke-by-stroke quotation, wherein the hash function is as follows: (ii) a Step five: dividing a market into a plurality of mutually independent contract sets according to contracts, wherein one contract set is distributed with one service pipeline, and each pipeline is mutually independent and does not share resources; step six: inputting stroke-by-stroke data and constructing an order book; the stroke-by-stroke data comprises stroke-by-stroke entrusting and stroke-by-stroke bargaining; step seven: and after the order book is constructed, generating quotations to investors concurrently.
The method for judging the deletion in the third step comprises the following steps: and judging whether the message record numbers extracted from the strokes are continuously and monotonically increased by 1 or not, and if not, generating data loss.
And step two, storing the acquired quotations one by one in a shared memory.
The data includes entrusted ID, entrusted contract, entrusted quantity, entrusted price, and also includes withdrawn quantity and transaction price.
The specific steps of the input stroke-by-stroke entrusting are as follows: firstly, storing the one-by-one entrusts, searching a corresponding price gear group array according to a contract, obtaining a price gear group in a corresponding direction in the price gear group array according to a buying and selling direction, finding a corresponding price gear in the price gear group according to the price, and adding the total number of the gears to the number of the current one-by-one entrusts if the price is the buying direction; if the price is the selling direction, the total number of the gear is subtracted by the current consignment-by-delivery number, and if the total number of the current price units is 0, the data of the gear is deleted from the price gear group.
And the data is stored one by adopting a hash table structure.
The specific steps of the input stroke-by-stroke deal making are as follows: if the buyer entrustment index is 0, the corresponding buyer entrustment does not exist, and if the buyer entrustment index is 1, the corresponding buyer entrustment exists, the buyer entrustment information record number is used for searching the memory base, and the corresponding entrustment is stored one by one; if the seller entrusted index is 0, which means no corresponding seller entrusts, and 1, which means corresponding seller entrusts, the seller entrusted message record number is used to search the memory base, and the stored corresponding entrusts are ordered one by one.
In step seven, the quotation is produced according to the theme by adopting a multicast UDP mode.
The theme includes: frequency of holographic market generation, contract number and gear.
3. Has the advantages that:
the method provided by the invention solves the problem that the financial market inventory information can not be rapidly and completely acquired, and the method has the advantages of complete construction inventory information, low delay, high expansibility, simple architecture and high development iteration and marketing speed. Compared with the prior art, the invention has the following advantages: the information of the disc opening is complete; order book construction and market generation can be performed in parallel, processing delay is low, and microsecond-level penetration delay is achieved; the expansibility is good, more CPU cores are adapted, and higher throughput is obtained. The data of multiple periods and multiple gears can be flexibly generated to the client.
Detailed Description
The present invention will be described in detail below with reference to examples.
Example 1
A holographic quotation obtaining method for financial market member end includes obtaining network data packet by kernel bypass mode, bypassing high delay of kernel network protocol stack of traditional operation system, recombining obtained quotation network data packet according to corresponding financial exchange quotation protocol to obtain quotation one by one, and dividing into entrusting and bargaining. And then extracting a message record number (sequence number) from the market quotation, judging whether the message record number is continuously and monotonically increased by 1, if not, the data is lost, and requesting the lost data from the exchange according to the lost message record number.
In order to ensure the integrity of the data, the data is stored in the shared memory, so that the data still exists even after the process exits, the reliability of the system is improved, the service is quickly recovered after the self fault of the system is ensured, and the holographic market information service is provided for investors.
Then distributing the stroke-by-stroke data to different Disproptor queues according to contract hash values in the stroke-by-stroke quotation,a contract is generally a string of characters that is converted to an integer and then the integer is used to compute a hash value. The hash function is
The number of the dispatcher queues needs to be prime numbers, such as 2,3,5 and 7 …, and only one modular operation is needed, so that the algorithm for distributing data is low in complexity and high in speed.
The method comprises the steps of dividing a market into a plurality of mutually independent contract sets according to contracts, distributing a service production line by one contract set, enabling each service production line to be mutually independent and not to share any resource, linearly expanding the service production lines according to the number of CPUs (central processing units) of a server, realizing load balance and expanding throughput.
Example 2
On the basis of example 1, entrusts one by one: the method is characterized in that firstly, the one-by-one entrusts are saved, the one-by-one data are saved by adopting a hash table structure, compared with the traditional array form, more space is saved, the query is more efficient, the key of the hash table is a message record number, and the value is the one-by-one entrusts.
The data includes ID of entrustment, entrustment contract, entrustment quantity and entrustment price, and also includes withdrawal and deal. All the commissions on the day are accumulated according to price, the withdrawal order and the completed commitment are deducted, and the total price of the commitment from the drop to the rise is obtained, and all the commissions which are not completed are collected together, so that the 'holographic quotation (HologricQuotes)'.
And searching a corresponding price gear group array according to the contract, obtaining a price gear group in a corresponding direction in the price gear group array according to the buying and selling direction, and finding a corresponding price gear in the price gear group according to the price. Calculating the quantity, if the direction is buying, adding the total quantity of the gears to the quantity of current one-by-one entrusts; if the price is the selling direction, the total number of the gear is subtracted by the current consignment-by-delivery number, and if the total number of the current price units is 0, the data of the gear is deleted from the price gear group.
And (3) carrying out transaction by stroke: if the buyer entrustment index is 0, no corresponding buyer entrustment exists, if the buyer entrustment index is 1, corresponding entrustment in the memory is searched by using the buyer entrustment message record number, and thus the entrustment processing flow is entered, if the seller entrustment index is 0, no corresponding seller entrustment exists, if the seller entrustment index is 1, corresponding entrustment in the memory is searched by using the seller entrustment message record number, and thus the entrustment processing flow is entered.
In example 3
On the basis of the embodiment 1 or the embodiment 2, after the single book is constructed, a market is concurrently generated to investors, and generally, a multicast UDP mode is adopted to generate contents according to a theme. The theme may include: frequency of holographic market generation, contract number, gear, etc.
And the market data issued to investors under the condition of less gears are not compressed. And for the condition of more gears, the released gear data is compressed for the investor in real time.
Although the present invention has been described with reference to the preferred embodiments, it should be understood that various changes and modifications can be made therein by those skilled in the art without departing from the spirit and scope of the invention as defined by the appended claims.
Claims (9)
1. A financial market member end holographic market acquisition method comprises the following steps: the method comprises the following steps: acquiring a market quotation network data packet of a financial transaction by a kernel bypass; step two: recombining the acquired market quotation network data packets according to corresponding financial exchange market quotation protocols to acquire market quotations one by one; step three: extracting message record numbers from the market quotations one by one, judging whether the market quotations corresponding to the missing information are missing or not, and requesting missing data from a transaction according to the missing message record numbers if the market quotations are missing; step four: distributing the stroke-by-stroke data to different Disproptor queues according to contract hash values in the stroke-by-stroke quotation, wherein the hash function is as follows:
(ii) a Step five: according to the contract, the market conditions are changed one by oneDividing the contract into a plurality of independent contract sets, distributing a service pipeline by one contract set, wherein each pipeline is independent and does not share resources; step six: inputting stroke-by-stroke data and constructing an order book; the stroke-by-stroke data comprises stroke-by-stroke entrusting and stroke-by-stroke bargaining; step seven: and after the order book is constructed, generating quotations to investors concurrently.
2. The method of claim 1, wherein: the method for judging the deletion in the third step comprises the following steps: and judging whether the message record numbers extracted from the strokes are continuously and monotonically increased by 1 or not, and if not, generating data loss.
3. The method of claim 1, wherein: and step two, storing the acquired quotations one by one in a shared memory.
4. The method of claim 1, wherein: the data includes entrusted ID, entrusted contract, entrusted quantity, entrusted price, and also includes withdrawn quantity and transaction price.
5. The method of any one of claims 1-4, wherein: the specific steps of the input stroke-by-stroke entrusting are as follows: firstly, storing the one-by-one entrusts, searching a corresponding price gear group array according to a contract, obtaining a price gear group in a corresponding direction in the price gear group array according to a buying and selling direction, finding a corresponding price gear in the price gear group according to the price, and adding the total number of the gears to the number of the current one-by-one entrusts if the price is the buying direction; if the price is the selling direction, the total number of the gear is subtracted by the current consignment-by-delivery number, and if the total number of the current price units is 0, the data of the gear is deleted from the price gear group.
6. The method of claim 5, wherein: and the data is stored one by adopting a hash table structure.
7. The method of any one of claims 1-4, wherein: the specific steps of the input stroke-by-stroke deal making are as follows: if the buyer entrustment index is 0, the corresponding buyer entrustment does not exist, and if the buyer entrustment index is 1, the corresponding buyer entrustment exists, the buyer entrustment information record number is used for searching the memory base, and the corresponding entrustment is stored one by one; if the seller entrusted index is 0, which means no corresponding seller entrusts, and 1, which means corresponding seller entrusts, the seller entrusted message record number is used to search the memory base, and the stored corresponding entrusts are ordered one by one.
8. The method of any one of claims 1-4, wherein: in step seven, the quotation is produced according to the theme by adopting a multicast UDP mode.
9. The method of claim 9, wherein: the theme includes: frequency of holographic market generation, contract number and gear.
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| CN202011125119.3A CN112200683A (en) | 2020-10-20 | 2020-10-20 | Financial market member end holographic market information acquisition method |
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Cited By (2)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| CN114549129A (en) * | 2022-02-22 | 2022-05-27 | 上海金融期货信息技术有限公司 | Low-delay high-throughput real-time order book generation method |
| CN115686869A (en) * | 2022-12-29 | 2023-02-03 | 杭州迈拓大数据服务有限公司 | Resource processing method, system, electronic device and storage medium |
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| US20120317051A1 (en) * | 2011-06-07 | 2012-12-13 | Tall Iv Charles H | System and Method for Delegated Pricing and Quote Maintenance for Trading of Dependent Financial Instruments |
| CN107748797A (en) * | 2017-11-07 | 2018-03-02 | 众安信息技术服务有限公司 | The processing method of financial market data |
| CN107808261A (en) * | 2017-11-29 | 2018-03-16 | 上海大智慧信息科技有限公司 | ACE decision-making stock analysis method and system |
| CN108269188A (en) * | 2016-12-30 | 2018-07-10 | 上海金融期货信息技术有限公司 | A kind of exchange's quotation information processing method and system based on FPGA |
-
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- 2020-10-20 CN CN202011125119.3A patent/CN112200683A/en active Pending
Patent Citations (4)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| US20120317051A1 (en) * | 2011-06-07 | 2012-12-13 | Tall Iv Charles H | System and Method for Delegated Pricing and Quote Maintenance for Trading of Dependent Financial Instruments |
| CN108269188A (en) * | 2016-12-30 | 2018-07-10 | 上海金融期货信息技术有限公司 | A kind of exchange's quotation information processing method and system based on FPGA |
| CN107748797A (en) * | 2017-11-07 | 2018-03-02 | 众安信息技术服务有限公司 | The processing method of financial market data |
| CN107808261A (en) * | 2017-11-29 | 2018-03-16 | 上海大智慧信息科技有限公司 | ACE decision-making stock analysis method and system |
Cited By (2)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| CN114549129A (en) * | 2022-02-22 | 2022-05-27 | 上海金融期货信息技术有限公司 | Low-delay high-throughput real-time order book generation method |
| CN115686869A (en) * | 2022-12-29 | 2023-02-03 | 杭州迈拓大数据服务有限公司 | Resource processing method, system, electronic device and storage medium |
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