CN112529652A

CN112529652A - Processing method and device for central order book

Info

Publication number: CN112529652A
Application number: CN202011399056.0A
Authority: CN
Inventors: 王炎斌; 贾耀龙; 任佳; 王伯阳; 郭加
Original assignee: China Citic Bank Corp Ltd
Current assignee: China Citic Bank Corp Ltd
Priority date: 2020-12-04
Filing date: 2020-12-04
Publication date: 2021-03-19
Anticipated expiration: 2040-12-04
Also published as: CN112529652B

Abstract

The invention provides a processing method and a processing device of a central order book, wherein a central order book engine module receives first instruction message information sent by a strategy engine module; obtaining a first analysis instruction; acquiring first message header information and first message body information according to the first analysis instruction; judging whether the first message header information and the first message body information meet a first preset condition or not; if yes, obtaining a first transaction mode; obtaining a first order; judging whether the first order can be matched and submitted in the central order book engine module or not; if the transaction can not be matched in the central order book engine module, judging whether a second order is included in the central order book engine module according to a second preset rule; if the central order book engine module internally includes the second order; the first order and the second order are submitted in the central order book engine module, so that the technical effects of improving the transaction safety and the transaction opportunity and reducing the transaction cost and the time cost are achieved.

Description

Processing method and device for central order book

Technical Field

The invention relates to the technical field of finance, in particular to a method and a device for processing a central order book.

Background

At present, with the gradual opening of the domestic financial market, financial transactions are increasingly active. Business modes of inter-bank and inter-institution transactions are gradually enriched, wherein quantitative and automatic transactions are gradually started in capital markets, and are more and more emphasized by financial practitioners due to the advantages of high speed, high efficiency, frequent transaction amount and objectivity. But the self-transaction risk, liquidity risk and transaction cost are increased gradually. Currently, the auto-commit prevention function of an ICE exchange provides this function for an auto-trader that uses algorithmic trading, directly connected to the exchange. The anti-autonegotiation function of the CME is used at partner exchanges whose exchanges are supported by the CME Global platform. The Eurex's auto-commit prevention function (prior art 3) is used at the de-dealings and zurich exchanges within the group. The Shanghai gold exchange, the Shanghai foreign exchange center and the Shanghai futures exchange have independent market conditions for the transactions in different transaction modes (order driving mode, quotation driving mode and negotiation driving mode), but the market conditions cannot be mutually exchanged.

However, the applicant of the present invention finds that the prior art has at least the following technical problems:

the automatic transaction prevention function in the prior art is only suitable for continuous transaction stages and is mainly used by market participants voluntarily, the automatic transaction prevention function is carried out in an external exchange, if the exchange has a logic error, a bank can be caused to carry out automatic transaction, potential safety hazards and potential risk hazards exist, market quotations in different transaction modes cannot be mutually transacted, and the liquidity cannot be improved to the maximum extent.

Disclosure of Invention

The embodiment of the invention provides a processing method and a device of a central order book, which solve the technical problems that the automatic transaction prevention function in the prior art is only suitable for continuous transaction stages and market conditions in different transaction modes cannot be mutually transacted, achieve the technical effects of enriching the applicability of the transaction modes, preventing automatic transaction, improving the transaction safety, transaction opportunity and market liquidity and reducing the transaction cost and time cost.

In view of the foregoing problems, embodiments of the present application are provided to provide a method and an apparatus for processing a central order book.

In a first aspect, the present invention provides a method for processing a central order book, the method comprising: step 100: the central order book engine module receives first instruction message information sent by the strategy engine module; step 200: obtaining a first analysis instruction; step 300: according to the first analysis instruction, after the first instruction message information is analyzed, first message header information and first message body information are obtained; step 400: judging whether the first message header information and the first message body information meet a first preset condition or not; step 500: if the first preset condition is met, obtaining a first transaction mode of the first instruction message information, wherein the first transaction mode is one of a statement transaction mode, a quotation transaction mode and an inquiry transaction mode; step 600: according to the first transaction mode and an algorithm library, carrying out format conversion on the first instruction message information to obtain a first order; step 700: according to a first preset rule, judging whether the first order can be matched and submitted in the central order book engine module or not; step 800: if the transaction cannot be matched in the central order book engine module, judging whether a second order is included in the central order book engine module according to a second preset rule, wherein the second order can be in flow transaction with the first order; step 900: if the central order book engine module internally comprises the second order, obtaining a first canceling instruction; step 1000: according to the first canceling instruction, after the second order is canceled from the inside of the central order book engine module, the first order and the second order are submitted in the inside of the central order book engine module.

In a second aspect, the present invention provides an apparatus for processing a central order book, the apparatus comprising:

the first receiving unit is used for the central order book engine module to receive first instruction message information sent by the strategy engine module;

a first obtaining unit, configured to obtain a first parsing instruction;

a second obtaining unit, configured to obtain first packet header information and first packet body information after analyzing the first instruction packet information according to the first analysis instruction;

a first determining unit, configured to determine whether the first packet header information and the first packet body information satisfy a first preset condition;

a third obtaining unit, configured to obtain a first transaction mode of the first instruction packet information if the first preset condition is met, where the first transaction mode is one of an invoice transaction mode, a quotation transaction mode, and an inquiry transaction mode;

a fourth obtaining unit, configured to obtain a first order after performing format conversion on the first instruction packet information according to the first transaction mode and according to an algorithm library;

a second judging unit, configured to judge whether the first order can be matched within the central order book engine module according to a first predetermined rule;

a third judging unit, configured to judge, according to a second predetermined rule, whether a second order is included in the central order book engine module if the trade cannot be matched in the central order book engine module, where the second order can be in flow transaction with the first order;

a fifth obtaining unit configured to obtain a first cancel instruction if the second order is included in the central order book engine module;

a first execution unit, configured to cancel the second order from inside the central order book engine module according to the first cancel instruction, and then deal the first order with the second order inside the central order book engine module.

In a third aspect, the present invention provides a central order book processing apparatus comprising a memory, a processor and a computer program stored on the memory and executable on the processor, the processor implementing the steps of the method of the first aspect when executing the program.

One or more technical solutions in the embodiments of the present application have at least one or more of the following technical effects:

according to the processing method and device of the central order book provided by the embodiment of the invention, the possibility of internal matching is judged through the algorithm base according to the principles of same priority, internal priority, price priority and time priority by the central order book, and if the internal matching of the same trader is realized, the self-transaction risk of an external exchange is prevented, and the supervision requirement is met. If the internal transaction is carried out by different traders, the internal transaction liquidity of the company is improved, and the transaction cost and the commission charge of the exchange are saved. Furthermore, the central order book integrates orders of statement, quotation and inquiry under three trading modes through a unified central order format, and the orders under different trading modes can be mutually circulated and traded, so that the technical problems that the self-transaction prevention function in the prior art can only be applied to continuous trading stages and market quotations under different trading modes cannot be mutually traded are solved, the applicability of the trading modes is enriched, the self-transaction is prevented, the trading safety, the trading opportunity and the market liquidity are improved, and the technical effects of trading cost and time cost are reduced.

The foregoing description is only an overview of the technical solutions of the present invention, and the embodiments of the present invention are described below in order to make the technical means of the present invention more clearly understood and to make the above and other objects, features, and advantages of the present invention more clearly understandable.

Drawings

FIG. 1 is a flowchart illustrating a method for processing a central order book according to an embodiment of the present invention;

FIG. 2 is another flowchart illustrating a method for processing a central order book according to an embodiment of the present invention;

FIG. 3 is a schematic diagram illustrating a module connection relationship of a processing method of a central order book according to an embodiment of the present invention;

FIG. 4 is a schematic diagram illustrating module deployment of a method for processing a central order book according to an embodiment of the present invention;

FIG. 5 is a schematic structural diagram of a central order book processing apparatus according to an embodiment of the present invention;

fig. 6 is a schematic structural diagram of another exemplary electronic device in an embodiment of the present invention.

Description of reference numerals: a first receiving unit 11, a first obtaining unit 12, a second obtaining unit 13, a first judging unit 14, a third obtaining unit 15, a fourth obtaining unit 16, a second judging unit 17, a third judging unit 18, a fifth obtaining unit 19, a first executing unit 20, a receiver 301, a processor 302, a transmitter 303, a memory 304, and a bus interface 306.

Detailed Description

The embodiment of the invention provides a processing method and a processing device of a central order book, which are used for solving the technical problems that the automatic transaction prevention function in the prior art is only suitable for continuous transaction stages and market quotations in different transaction modes cannot be mutually traded, achieving the technical effects of enriching the applicability of the transaction modes, preventing automatic transaction, improving the transaction safety, the transaction opportunity and the market liquidity and reducing the transaction cost and the time cost.

Hereinafter, example embodiments according to the present application will be described in detail with reference to the accompanying drawings. It should be apparent that the described embodiments are merely some embodiments of the present application and not all embodiments of the present application, and it should be understood that the present application is not limited to the example embodiments described herein.

Summary of the application

Currently, the auto-commit prevention function of an ICE exchange provides this function for an auto-trader that uses algorithmic trading, directly connected to the exchange. The anti-autonegotiation function of the CME is used at partner exchanges whose exchanges are supported by the CME Global platform. The Eurex's auto-commit prevention function (prior art 3) is used at the de-dealings and zurich exchanges within the group. The Shanghai gold exchange, the Shanghai foreign exchange center and the Shanghai futures exchange have independent market conditions for the transactions in different transaction modes (order driving mode, quotation driving mode and negotiation driving mode), but the market conditions cannot be mutually exchanged.

In order to solve the technical problems, the technical scheme provided by the invention has the following general idea:

the embodiment of the application provides a processing method of a central order book, which comprises the following steps: step 100: the central order book engine module receives first instruction message information sent by the strategy engine module; step 200: obtaining a first analysis instruction; step 300: according to the first analysis instruction, after the first instruction message information is analyzed, first message header information and first message body information are obtained; step 400: judging whether the first message header information and the first message body information meet a first preset condition or not; step 500: if the first preset condition is met, obtaining a first transaction mode of the first instruction message information, wherein the first transaction mode is one of a statement transaction mode, a quotation transaction mode and an inquiry transaction mode; step 600: according to the first transaction mode and an algorithm library, carrying out format conversion on the first instruction message information to obtain a first order; step 700: according to a first preset rule, judging whether the first order can be matched and submitted in the central order book engine module or not; step 800: if the transaction cannot be matched in the central order book engine module, judging whether a second order is included in the central order book engine module according to a second preset rule, wherein the second order can be in flow transaction with the first order; step 900: if the central order book engine module internally comprises the second order, obtaining a first canceling instruction; step 1000: according to the first canceling instruction, after the second order is canceled from the inside of the central order book engine module, the first order and the second order are submitted in the inside of the central order book engine module.

After the fundamental principle of the present application is introduced, the technical solutions of the present invention are described in detail with reference to the accompanying drawings and specific embodiments, and it should be understood that the specific features in the embodiments and examples of the present application are detailed descriptions of the technical solutions of the present application, and are not limitations of the technical solutions of the present application, and the technical features in the embodiments and examples of the present application may be combined with each other without conflict.

Example one

Fig. 1 is a flowchart illustrating a processing method of a central order book according to an embodiment of the present invention. As shown in fig. 1 and 2, an embodiment of the present invention provides a method for processing a central order book, the method is applied to an intelligent trading system, and the system includes a policy engine module, a central order book engine module, and a simulation exchange engine module, the method includes:

step 100: the central order book engine module receives first instruction message information sent by the strategy engine module;

specifically, the processing method of the central order book in this embodiment is applied to an intelligent trading system, as shown in fig. 3 and 4, the system mainly includes 3 modules, which are a policy engine, a central order book engine, and a simulation exchange engine. Among them, the system software may include jdk1.8, rabbitMQ3.8.3, pycharm2019.2, redis4.0.10. The hardware devices of the policy engine and the central order book engine comprise linux, 64GB of memory, a CPU32 core and a hard disk 500G. The simulation exchange engine comprises linux, 32GB of memory, a CPU8 core and a hard disk 100G. Further, the setting may be performed according to actual needs, and the embodiment is not particularly limited. The central order book engine is a module for data analysis and processing in this embodiment. Furthermore, the strategy engine module has the function of sending out report, quotation and inquiry instruction messages, and the corresponding transaction modes are an order driving mode, a quotation driving mode and a negotiation driving mode respectively. Therefore, after the policy engine module sends the first instruction message information, that is, the policy sends the instruction message, the instruction message may be one of three modes of reporting, quoting and inquiring, and the central order book engine module receives the first instruction message information sent by the policy engine module. When the central order book engine receives the instruction message, firstly, the instruction is analyzed through an algorithm library, and three different messages are converted into the internal order format of the central order; then, carrying out self-transaction processing; then entering internal transaction logic; and finally, the order is sent to a simulated exchange, and the engine module of the simulated exchange receives the order message, then carries out response processing and returns a result.

Step 200: obtaining a first analysis instruction;

step 300: according to the first analysis instruction, after the first instruction message information is analyzed, first message header information and first message body information are obtained;

specifically, after the central order book engine module receives the first instruction message information sent by the policy engine module, the central order book engine module can correspondingly generate a first parsing instruction, and then under the instruction of the first parsing instruction, the first instruction message information is parsed to obtain first message header information and first message body information.

Step 400: judging whether the first message header information and the first message body information meet a first preset condition or not;

further, in order to accurately determine whether the transaction element is complete, step 400 of the embodiment of the present application further includes:

step 410: judging whether the first message header information comprises trader information and trading place information or not, and obtaining a first judgment result;

step 420: judging whether the first message body information comprises contract information, direction information, price information, transaction amount information and transaction mode information or not, and obtaining a second judgment result;

step 430: when the first judgment result and the second judgment result are both included, the step 500 is executed;

step 440: and returning judgment error information when the first judgment result and the second judgment result are not completely included.

Specifically, after the first packet header information and the first packet body information are obtained, it needs to be further determined whether the first packet header information and the first packet body information satisfy a first preset condition, where the specific determination method is as follows: judging whether the first message header information comprises trader information and trading place information or not, and then obtaining a first judgment result; judging whether the first message body information comprises contract information, direction information, price information, transaction amount information and transaction mode information or not, and then obtaining a second judgment result; if the first judgment result and the second judgment result are both sometimes, that is, the first message header information includes trader information and trading place information, and the first message body information includes contract information, direction information, price information, trading volume information and trading mode information, then the next working process needs to be entered, if not all are sometimes, an error needs to be returned, and therefore the purpose of accurately judging the integrity of the trading elements is achieved.

Step 500: if the first preset condition is met, obtaining a first transaction mode of the first instruction message information, wherein the first transaction mode is one of a statement transaction mode, a quotation transaction mode and an inquiry transaction mode;

specifically, after the transaction element is judged to be complete, the transaction mode needs to be further judged, wherein the first transaction mode is one of a receipt transaction mode, a quotation transaction mode and an inquiry transaction mode, that is, whether the first transaction mode of the first instruction message information is the receipt transaction mode, the quotation transaction mode or the inquiry transaction mode is judged.

Step 600: according to the first transaction mode and an algorithm library, carrying out format conversion on the first instruction message information to obtain a first order;

specifically, after the transaction mode is obtained, the message can be converted into a central order format of a central order book through the algorithm library, and the central order format is recorded as a first order. In the central order book engine module, the central order book records the internal order list of the local traders for reporting, quoting and inquiring, and integrates all orders in three trading modes. The internal order format of the central order book has no unique standard, as long as the business elements of the three transaction modes are covered.

Step 700: according to a first preset rule, judging whether the first order can be matched and submitted in the central order book engine module or not;

further, determining whether the first order can be matched within the central order book engine module, the method further comprising:

step 710: acquiring first trader information and first exchange information of the first instruction message information;

step 720: inquiring whether the first trader comprises a third order capable of self-making with the first order in the first exchange or not in the central order book engine module according to the same priority, internal priority, price priority and time priority principles;

step 730: if the third order is not included, the process proceeds to step 800.

Further, the same priority, internal priority, price priority and time priority principles specifically include:

the orders with the same priority are matched with the orders with the same trader priority;

the internal priority is the order priority matching of the internal system;

the price is preferentially the high-price buying declaration over the low-price buying declaration, and the low-price selling declaration over the high-price selling declaration;

the time is the order with the same buying and selling direction and price preferentially, and the first declarator is prior to the second declarator.

Specifically, after the first order after format conversion is obtained, it needs to be further determined whether the first order can be matched and submitted inside the central order book engine module, and the specific determination method is as follows: firstly, obtaining first trader information and first exchange information of first instruction message information; then, according to the same priority, internal priority, price priority and time priority principle, in the central order book engine module, it is queried whether the first trader includes a third order that can self-form with the first order in the first exchange, if not, the subsequent step 800 is executed. The self-closing refers to that a trader respectively reports a buy order and a sell order in a trading exchange, and the two orders can be matched. Further, the same priority, internal priority, price priority and time priority principles respectively correspond to: the orders of the same trader are matched preferentially; the orders of the internal system are matched preferentially; higher price buy declarations are prioritized over lower price buy declarations, lower price sell declarations are prioritized over higher price sell declarations; the first declaring person takes precedence over the later declaring person for the order with the same buying and selling direction and price. In other words, according to the same priority, internal priority, price priority and time priority, the central order book is searched through the algorithm library to determine whether the order of the same exchange placed by the trader can be made by itself, for example, whether there are orders in the opposite direction in the central order book and whether the price can be made, if not, the process goes to the subsequent step 800. If yes, the subsequent flow is continued.

Further, in the step 700, the method further includes:

step 740: if the third order is included, performing rolling difference on the first order and the third order to obtain a first rolling difference result;

step 750: when the first netting result is that the first transaction amount of the first order is not equal to the third transaction amount of the third order, comparing the first transaction amount with the third transaction amount to obtain a first comparison result;

step 760: according to the first comparison result, when the first transaction amount is smaller than the third transaction amount, obtaining a first transaction allowance, and according to the first cancellation instruction, after the third order is cancelled, sending a fourth order, wherein the fourth order has the first transaction allowance, and the direction of the fourth order is the same as that of the third order;

step 770: and when the first transaction amount is larger than the third transaction amount, obtaining a second transaction allowance, and sending a fifth order after canceling the third order according to the first canceling instruction, wherein the fifth order has the second transaction allowance, and the direction of the fifth order is the same as that of the first order.

Specifically, if the third order is included, performing rolling difference on the first order and the third order to obtain a first rolling difference result; then, when the first netting result is that the first transaction amount of the first order is not equal to the third transaction amount of the third order, comparing the first transaction amount with the third transaction amount to obtain a first comparison result; according to the first comparison result, if the first transaction amount is smaller than the third transaction amount, obtaining a first transaction allowance M, namely the allowance after the netting, and according to a first cancellation instruction, canceling a third order of the exchange, and then re-placing an order, namely a fourth order, wherein the transaction amount of the fourth order is M, and the direction of the fourth order is the same as that of the third order; and if the first transaction amount is larger than the third transaction amount, obtaining a second transaction allowance N, and canceling the third order of the exchange according to the first canceling instruction, and then re-placing the order, namely a fifth order, wherein the transaction amount of the fifth order is N, and the direction of the fifth order is the same as that of the first order. Further, if the first netting result is that the first transaction volume of the first order is equal to the third transaction volume of the third order, the central order book internally deals with the first order and the third order, and the transaction volume is the first transaction volume. At this time, the first order and the third order belong to orders of the same exchange of the same trader, which is equivalent to transaction in the interior, and the risk of self-transaction in the external exchange is prevented. And further, after a corresponding transaction result is returned, generating an order, storing the order in the central order book, sending the order to the exchange, and finally, returning a response result after the exchange receives the order.

Step 800: if the transaction cannot be matched in the central order book engine module, judging whether a second order is included in the central order book engine module according to a second preset rule, wherein the second order can be in flow transaction with the first order;

specifically, if the first order cannot be made a deal within the central order book engine module, it needs to be further determined according to a second predetermined rule whether a second order is included within the central order book engine module, and the second order can be made a flow deal with the first order, that is, whether orders placed by other traders include second orders that can be made a deal is searched in the central order book through the algorithm library. If not, an order is generated and stored in the central order book, and after the order is sent to the exchange, the exchange receives the order and returns a response result. If so, step 900 is entered.

Step 900: if the central order book engine module internally comprises the second order, obtaining a first canceling instruction;

further, in the step 900, the method further includes:

step 910: when said first trader does not include a third order on said first exchange that can self-transact with said first order, querying, in said central order book engine module, whether a second trader includes said second order on said first exchange that can self-transact with said first order;

step 920: if yes, performing rolling difference on the first order and the second order to obtain a second rolling difference result;

step 930: when the second netting result is that the first trading volume of the first order is not equal to the second trading volume of the second order, comparing the first trading volume with the second trading volume to obtain a second comparison result;

step 940: according to the second comparison result, when the first transaction amount is smaller than the second transaction amount, obtaining a third transaction allowance, and according to the first cancellation instruction, after the second order is cancelled, sending a sixth order, wherein the sixth order has the third transaction allowance, and the direction of the sixth order is the same as that of the second order;

step 950: and when the first transaction amount is larger than the second transaction amount, obtaining a fourth transaction allowance, and sending a seventh order after canceling the second order according to the first canceling instruction, wherein the seventh order has the fourth transaction allowance, and the direction of the seventh order is the same as that of the first order.

Specifically, when the first exchange does not include a third order which can be automatically made with the first order in the first exchange, continuing to query whether a second exchange includes a second order which can be made with the first order in the first exchange in the central order book engine module, if so, searching for the second order which can be made with the first order in the orders placed by other exchanges through the algorithm library in the central order book, and then performing netting on the first order and the second order to obtain a second netting result; when the second netting result is that the first trading volume of the first order is not equal to the second trading volume of the second order, comparing the first trading volume with the second trading volume to obtain a second comparison result; and according to the second comparison result, when the first transaction amount is smaller than the second transaction amount, obtaining a third transaction allowance P, and according to the first canceling instruction, canceling the second order of the exchange, and then re-placing the order, namely a sixth order, wherein the transaction amount of the sixth order is P, and the direction of the sixth order is the same as that of the second order. Further, if the first transaction amount is larger than the second transaction amount, obtaining a fourth transaction margin Q, and canceling the second order in the exchange according to the first canceling instruction, and then re-placing an order, which is a seventh order, wherein the transaction amount of the seventh order is Q, and the direction of the seventh order is the same as that of the first order.

Step 1000: according to the first canceling instruction, after the second order is canceled from the inside of the central order book engine module, the first order and the second order are submitted in the inside of the central order book engine module.

Further, in the step 1000, the method further includes:

step 1010: if the central order book engine module does not include the second order, obtaining a first transaction instruction:

step 1020: generating a target order according to the first interaction instruction;

step 1030: storing the target order into the central order book engine module and sending the target order to the simulated exchange engine module;

step 1040: and after the simulated exchange engine module receives the target order, returning a response result.

Specifically, as described above, when the central order book engine module internally includes the second order, the first order and the second order are then submitted, and the first order and the second order do not belong to the same trader at this time, which is equivalent to a transaction of an internal mobile transaction; and if the second order is not included, obtaining a first transaction instruction, generating a target order according to the first transaction instruction, storing the target order in the central order book engine module, sending the target order to the simulated exchange engine module, and returning a response result after the simulated exchange engine module receives the target order.

Therefore, according to the processing method of the central order book in the embodiment, the central order book judges the possibility of internal matching through the algorithm base according to the principles of same priority, internal priority, price priority and time priority, and if the internal matching of the same trader is realized, the self-transaction risk of an external trading exchange is prevented, and the supervision requirement is met. If the internal transaction is carried out by different traders, the internal transaction liquidity of the company is improved, and the transaction cost and the commission charge of the exchange are saved. Furthermore, the central order book integrates orders of statement, quotation and price inquiry under three trading modes through a unified central order format, and the orders under different trading modes can be mutually circulated to form a trade.

Furthermore, the method in the embodiment solves the problems that the automatic transaction prevention function is only suitable for continuous transaction modes and is mainly used by market participants voluntarily, the automatic transaction prevention function is carried out in an external exchange, and if a logic error occurs in the exchange, a bank is caused to generate automatic transaction, and potential safety hazards and potential risk hazards exist. Therefore, the method increases the centralized transaction stage on the basis of the continuous transaction stage, and enriches the applicability of the transaction mode; the function of preventing the self-transaction is realized by changing an external system into a bank internal transaction system, so that the transaction safety is improved, the function of preventing the self-transaction can be used in continuous transaction and centralized transaction, the self-transaction prevention process is realized by preventing the self-transaction risk internally, and the purpose of preventing the self-transaction function of an external exchange is not needed. Furthermore, in order to solve the defect that the market quotations in different transaction modes can not be mutually traded to cause that the liquidity can not be improved to the maximum extent, the method integrates each transaction mode, and can trade in different transaction modes through the central order book, on the basis, the internal flow transaction between service stations (such as the internal flow transaction between a foreign exchange station and a sales-related exchange station) in a bank is opened, so that the technical effects of improving the liquidity and saving the transaction cost, the time cost and the commission charge are further achieved.

Example two

Based on the same inventive concept as the processing method of the central order book in the foregoing embodiment, the present invention further provides a processing apparatus of the central order book, as shown in fig. 5, the apparatus includes:

a first receiving unit 11, where the first receiving unit 11 is configured to receive, by the central order book engine module, first instruction packet information sent by the policy engine module;

a first obtaining unit 12, where the first obtaining unit 12 is configured to obtain a first parsing instruction;

a second obtaining unit 13, where the second obtaining unit 13 is configured to obtain first packet header information and first packet body information after analyzing the first instruction packet information according to the first analysis instruction;

a first determining unit 14, where the first determining unit 14 is configured to determine whether the first packet header information and the first packet body information satisfy a first preset condition;

a third obtaining unit 15, where the third obtaining unit 15 is configured to obtain a first transaction mode of the first instruction packet information if the first preset condition is met, where the first transaction mode is one of a receipt transaction mode, a quote transaction mode, and an inquiry transaction mode;

a fourth obtaining unit 16, where the fourth obtaining unit 16 is configured to obtain a first order after performing format conversion on the first instruction packet information according to the first transaction mode and according to an algorithm library;

a second judging unit 17, where the second judging unit 17 is configured to judge whether the first order can be matched into a deal inside the central order book engine module according to a first predetermined rule;

a third judging unit 18, where if the trade cannot be matched inside the central order book engine module, the third judging unit 18 is configured to judge, according to a second predetermined rule, whether a second order is included inside the central order book engine module, and the second order can be in a flow transaction with the first order;

a fifth obtaining unit 19, said fifth obtaining unit 19 being configured to obtain a first withdrawal instruction if said central order book engine module internally comprises said second order;

a first executing unit 20, where the first executing unit 20 is configured to, after the second order is cancelled from inside the central order book engine module according to the first cancelling instruction, deal the first order with the second order inside the central order book engine module.

Further, the apparatus further comprises:

the fourth judging unit is used for judging whether the first message header information comprises trader information and trading place information or not and obtaining a first judging result;

a fifth judging unit, configured to judge whether the first packet body information includes contract information, direction information, price information, transaction amount information, and transaction mode information, and obtain a second judgment result;

a second executing unit, configured to, when both the first determination result and the second determination result are included, go to step 500;

a third execution unit, configured to return a determination error message when the first determination result and the second determination result are not all included.

Further, the apparatus further comprises:

a sixth obtaining unit, configured to obtain first trader information and first exchange information of the first instruction packet information;

a first query unit, configured to query, in the central order book engine module, whether the first trader includes a third order that can be self-transacted with the first order in the first exchange according to a same priority, an internal priority, a price priority, and a time priority principle;

a fourth execution unit, configured to shift to the step 800 if the third order is not included.

Further, the apparatus further comprises:

a seventh obtaining unit, configured to perform rolling difference on the first order and the third order if the third order is included, and obtain a first rolling difference result;

an eighth obtaining unit, configured to compare the first trade volume with a third trade volume of the third order to obtain a first comparison result when the first netting result indicates that the first trade volume of the first order is not equal to the third trade volume of the third order;

a fifth execution unit, configured to, according to the first comparison result, obtain a first trade allowance when the first trade amount is smaller than the third trade amount, and cancel the third order according to the first cancellation instruction, and then send a fourth order, where the fourth order has the first trade allowance and a direction of the fourth order is the same as that of the third order;

a sixth execution unit, configured to, when the first transaction amount is greater than the third transaction amount, obtain a second transaction margin, and cancel the third order according to the first cancellation instruction, and then send a fifth order, where the fifth order has the second transaction margin, and a direction of the fifth order is the same as that of the first order.

Further, the apparatus further comprises:

a seventh execution unit for querying, in the central order book engine module, whether a second trader includes the second order that can be traded with the first order in the first exchange when the first trader does not include a third order that can be traded with the first order in the first exchange;

a ninth obtaining unit, configured to perform rolling difference on the first order and the second order if the first order and the second order are included, and obtain a second rolling difference result;

a tenth obtaining unit, configured to, when the second netting result indicates that the first trading volume of the first order is not equal to the second trading volume of the second order, compare the first trading volume with the second trading volume to obtain a second comparison result;

an eighth execution unit, configured to, according to the second comparison result, obtain a third trade allowance when the first trade amount is smaller than the second trade amount, and cancel the second order according to the first cancellation instruction, and then send a sixth order, where the sixth order has the third trade allowance and a direction of the sixth order is the same as that of the second order;

a ninth execution unit, configured to, when the first transaction amount is greater than the second transaction amount, obtain a fourth transaction margin, and cancel the second order according to the first cancellation instruction, and then send a seventh order, where the seventh order has the fourth transaction margin, and a direction of the seventh order is the same as that of the first order.

Further, the apparatus further comprises:

an eleventh obtaining unit, configured to obtain a first transaction instruction if the central order book engine module does not include the second order therein:

the first generation unit is used for generating a target order according to the first interaction instruction;

the first sending unit is used for storing the target order into the central order book engine module and sending the target order to the simulated exchange engine module;

the first returning unit is used for returning a response result after the engine module of the simulated exchange receives the target order.

Further, the first query unit further includes:

the internal priority is the order priority matching of the internal system;

Various modifications and specific examples of the processing method of the central order book in the first embodiment of fig. 1 are also applicable to the processing apparatus of the central order book in the present embodiment, and a person skilled in the art can clearly understand the implementation method of the processing apparatus of the central order book in the present embodiment through the detailed description of the processing method of the central order book, so for the brevity of the description, detailed descriptions are omitted here.

EXAMPLE III

Based on the same inventive concept as the method for processing a central order book in the foregoing embodiments, the present invention further provides an exemplary electronic device, as shown in fig. 6, including a memory 304, a processor 302, and a computer program stored in the memory 304 and executable on the processor 302, wherein the processor 302 executes the computer program to implement the steps of any one of the methods for processing a central order book described above.

Where in fig. 6 a bus architecture (represented by bus 300), bus 300 may include any number of interconnected buses and bridges, bus 300 linking together various circuits including one or more processors, represented by processor 302, and memory, represented by memory 304. The bus 300 may also link together various other circuits such as peripherals, voltage regulators, power management circuits, and the like, which are well known in the art, and therefore, will not be described any further herein. A bus interface 306 provides an interface between the bus 300 and the receiver 301 and transmitter 303. The receiver 301 and the transmitter 303 may be the same element, i.e., a transceiver, providing a means for communicating with various other apparatus over a transmission medium. The processor 302 is responsible for managing the bus 300 and general processing, and the memory 304 may be used for storing data used by the processor 302 in performing operations.

the embodiment of the invention provides a method and a device for processing a central order book, which comprises the following steps of: the central order book engine module receives first instruction message information sent by the strategy engine module; step 200: obtaining a first analysis instruction; step 300: according to the first analysis instruction, after the first instruction message information is analyzed, first message header information and first message body information are obtained; step 400: judging whether the first message header information and the first message body information meet a first preset condition or not; step 500: if the first preset condition is met, obtaining a first transaction mode of the first instruction message information, wherein the first transaction mode is one of a statement transaction mode, a quotation transaction mode and an inquiry transaction mode; step 600: according to the first transaction mode and an algorithm library, carrying out format conversion on the first instruction message information to obtain a first order; step 700: according to a first preset rule, judging whether the first order can be matched and submitted in the central order book engine module or not; step 800: if the transaction cannot be matched in the central order book engine module, judging whether a second order is included in the central order book engine module according to a second preset rule, wherein the second order can be in flow transaction with the first order; step 900: if the central order book engine module internally comprises the second order, obtaining a first canceling instruction; step 1000: according to the first canceling instruction, after the second order is canceled from the inside of the central order book engine module, the first order and the second order are submitted in the inside of the central order book engine module, so that the technical problems that the automatic transaction preventing function in the prior art is only applicable to continuous transaction stages and market conditions in different transaction modes cannot be mutually traded are solved, the applicability of the transaction modes is enriched, the automatic transaction is prevented, the transaction safety, the transaction opportunity and the market liquidity are improved, and the technical effects of transaction cost and time cost are reduced.

As will be appreciated by one skilled in the art, embodiments of the present invention may be provided as a method, system, or computer program product. Accordingly, the present invention may take the form of an entirely hardware embodiment, an entirely software embodiment or an embodiment combining software and hardware aspects. Furthermore, the present invention may take the form of a computer program product embodied on one or more computer-usable storage media (including, but not limited to, disk storage, CD-ROM, optical storage, and the like) having computer-usable program code embodied therein.

The present invention is described with reference to flowchart illustrations and/or block diagrams of methods, apparatus (systems) and computer program products according to embodiments of the invention. It will be understood that each flow and/or block of the flow diagrams and/or block diagrams, and combinations of flows and/or blocks in the flow diagrams and/or block diagrams, can be implemented by computer program instructions. These computer program instructions may be provided to a processor of a general purpose computer, special purpose computer, embedded processor, or other programmable data processing apparatus to produce a machine, such that the instructions, which execute via the processor of the computer or other programmable data processing apparatus, create means for implementing the functions specified in the flowchart flow or flows and/or block diagram block or blocks.

These computer program instructions may also be stored in a computer-readable memory that can direct a computer or other programmable data processing apparatus to function in a particular manner, such that the instructions stored in the computer-readable memory produce an article of manufacture including instruction means which implement the function specified in the flowchart flow or flows and/or block diagram block or blocks.

These computer program instructions may also be loaded onto a computer or other programmable data processing apparatus to cause a series of operational steps to be performed on the computer or other programmable apparatus to produce a computer implemented process such that the instructions which execute on the computer or other programmable apparatus provide steps for implementing the functions specified in the flowchart flow or flows and/or block diagram block or blocks.

It will be apparent to those skilled in the art that various changes and modifications may be made in the present invention without departing from the spirit and scope of the invention. Thus, if such modifications and variations of the present invention fall within the scope of the claims of the present invention and their equivalents, the present invention is also intended to include such modifications and variations.

Claims

1. A processing method of a central order book is applied to an intelligent trading system, and the system comprises a strategy engine module, a central order book engine module and a simulation exchange engine module, wherein the method comprises the following steps:

step 200: obtaining a first analysis instruction;

2. The method of claim 1, wherein in step 400, the method further comprises:

judging whether the first message header information comprises trader information and trading place information or not, and obtaining a first judgment result;

judging whether the first message body information comprises contract information, direction information, price information, transaction amount information and transaction mode information or not, and obtaining a second judgment result;

when the first judgment result and the second judgment result are both included, the step 500 is executed;

and returning judgment error information when the first judgment result and the second judgment result are not completely included.

3. The method of claim 1, wherein in the step 700, the method further comprises:

acquiring first trader information and first exchange information of the first instruction message information;

inquiring whether the first trader comprises a third order capable of self-making with the first order in the first exchange or not in the central order book engine module according to the same priority, internal priority, price priority and time priority principles;

if the third order is not included, the process proceeds to step 800.

4. The method of claim 3, wherein in the step 700, the method further comprises:

if the third order is included, performing rolling difference on the first order and the third order to obtain a first rolling difference result;

when the first netting result is that the first transaction amount of the first order is not equal to the third transaction amount of the third order, comparing the first transaction amount with the third transaction amount to obtain a first comparison result;

according to the first comparison result, when the first transaction amount is smaller than the third transaction amount, obtaining a first transaction allowance, and according to the first cancellation instruction, after the third order is cancelled, sending a fourth order, wherein the fourth order has the first transaction allowance, and the direction of the fourth order is the same as that of the third order;

and when the first transaction amount is larger than the third transaction amount, obtaining a second transaction allowance, and sending a fifth order after canceling the third order according to the first canceling instruction, wherein the fifth order has the second transaction allowance, and the direction of the fifth order is the same as that of the first order.

5. The method of claim 3, wherein in the step 900, the method further comprises:

when said first trader does not include a third order on said first exchange that can self-transact with said first order, querying, in said central order book engine module, whether a second trader includes said second order on said first exchange that can self-transact with said first order;

if yes, performing rolling difference on the first order and the second order to obtain a second rolling difference result;

when the second netting result is that the first trading volume of the first order is not equal to the second trading volume of the second order, comparing the first trading volume with the second trading volume to obtain a second comparison result;

according to the second comparison result, when the first transaction amount is smaller than the second transaction amount, obtaining a third transaction allowance, and according to the first cancellation instruction, after the second order is cancelled, sending a sixth order, wherein the sixth order has the third transaction allowance, and the direction of the sixth order is the same as that of the second order;

and when the first transaction amount is larger than the second transaction amount, obtaining a fourth transaction allowance, and sending a seventh order after canceling the second order according to the first canceling instruction, wherein the seventh order has the fourth transaction allowance, and the direction of the seventh order is the same as that of the first order.

6. The method of claim 1, wherein in the step 1000, the method further comprises:

if the central order book engine module does not include the second order, obtaining a first transaction instruction:

generating a target order according to the first interaction instruction;

storing the target order into the central order book engine module and sending the target order to the simulated exchange engine module;

and after the simulated exchange engine module receives the target order, returning a response result.

7. The method as claimed in claim 3, wherein the same priority, internal priority, price priority and time priority principles specifically include:

the internal priority is the order priority matching of the internal system;

8. A central order book processing apparatus, the apparatus comprising:

a first obtaining unit, configured to obtain a first parsing instruction;

9. A central order book processing apparatus comprising a memory, a processor and a computer program stored on the memory and executable on the processor, wherein the steps of the method of any one of claims 1 to 7 are performed when the program is executed by the processor.