CN113112297A - Foreign exchange market maker quotation engine - Google Patents
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Abstract
The invention provides a foreign exchange market maker quotation engine. The quotation engine system includes: the data source interface is used for receiving quotation information from one or more foreign exchange market data sources and converting the quotation information into a uniform data format; a business tool layer comprising one or more business tool modules, wherein each business tool module is configured to implement a particular foreign exchange business; and a channel interface layer comprising one or more channel interfaces, wherein each channel interface is to interface with an associated channel.
Description
Technical Field
The invention relates to a financial information technology, in particular to a foreign exchange market maker quotation engine.
Background
Foreign exchange transaction platforms are mainly divided into two types, namely a Dealing Desk (DD) mode and a non-Dealing Desk (NDD) mode. The foreign exchange trading platform with the processing platform mode (DD) is also called Market Maker (MM for short).
As the name suggests, market makers are just for "market making" and "market manufacturing" of customers. Under certain conditions, when a trader wants to buy, the market maker sells to the trader, and when the trader wants to sell, the market maker buys the bought, namely, when needed, the market maker is always positioned at the position opposite to the trader, and opposite to the position of the trader, the market is made in this way. Market makers generally earn money by point differentials and trade in the opposite direction to the customers when needed.
In the trading platform of market makers, the quotation engine (or quotation engine system) is the core thereof. A client initiates a quotation request to a quotation engine system through a business subsystem or a third-party inter-bank trading platform, the quotation engine system accesses one or more quotation sources (supporting manual and system modes) from an international market in real time, then processes quotation by utilizing a processing mechanism or a quotation strategy of the system, and issues comprehensive quotation to the client, and the client trades according to the price.
However, the quotation engine typically requires access to market data from a number of different data platforms, which in turn have different classification approaches, such as: there are three market types for the chinese forex exchange trading center CMDS: anonymous, bilateral and matchable, three market types: optimal quote, bargain price and gear market quotation; the pass-through data sources can be distinguished by market types, such as pass-through quotes and Shanghai currency quotes; each single bank platform only has one type of data and does not need to be subdivided. Therefore, the possible classification methods of all market data sources cannot be expected and listed to design the system in advance. Once new classifications are added to the existing data platforms supported by the system, or new data sources are added, all places related to the use of the data sources need to be modified and tested and verified according to the characteristics of the data sources.
In addition, the computing methods of different market makers, the adopted data sources, the target markets issued and other scenes are different, and the system must be designed and implemented strictly according to the service scenes of users, so that the system flexibility is very low, and the requirement adjustment often means code modification and software version upgrading. With the increasing number of supported clients, the branching and switching of code logic to meet different client requirements is more and more complex.
Therefore, it is desirable to design a new quotation engine system architecture that enables a high degree of configurability and scalability of the quotation engine system.
Disclosure of Invention
This summary is provided to introduce a selection of concepts in a simplified form that are further described below in the detailed description. This summary is not intended to identify key features or essential features of the claimed subject matter, nor is it intended to be used as an aid in determining the scope of the claimed subject matter.
The invention aims to solve the problems of low flexibility, high development difficulty and the like of a quotation engine architecture in the prior art, and provides a novel quotation engine system architecture with high configurability and expansibility.
According to a further aspect of the present invention, there is provided a foreign exchange market maker quotation engine system, wherein the system comprises:
the data source interface is used for receiving quotation information from one or more foreign exchange market data sources and converting the quotation information into a uniform data format;
a business tool layer comprising one or more business tool modules, wherein each business tool module is configured to implement a particular foreign exchange business; and
a channel interface layer comprising one or more channel interfaces, wherein each channel interface is to interface with an associated offer channel.
According to a further embodiment of the present invention, converting the offer information into a unified data format further comprises:
the data source ID is used to uniquely identify the combination of the data source and market type of the offer information.
According to a further embodiment of the present invention, the data source interface comprises a configuration file, wherein the configuration file comprises a list maintaining a correspondence of the data source ID with the combination of the data source and the market situation type.
According to a further embodiment of the present invention, the business tool module being configured for implementing a particular foreign exchange business further comprises the business tool module being configured for:
analyzing the quotation information provided by the data source interface and in a unified conversion format, and generating one or more sets of quotations according to the business processing logic of the business tool module; and
the generated offer is sent to the associated one or more channel interfaces.
According to a further embodiment of the invention, the business tool module is configurable via a configuration file including a list specifying channels to which offers generated by the business tool module are to be published.
According to a further embodiment of the invention, the system further comprises:
an inline system interface for interfacing with an in-house system of the fx market maker and configured for:
providing information from the internal system to the one or more business tool modules;
providing data generated by the one or more business tool modules to the internal system; and
and finishing an interactive process jointly with the internal system.
According to a further embodiment of the invention, the system further comprises:
an external data policy system interface to interface with an external data policy system and provide data or policies from the external data policy system to the one or more business tool modules.
According to a further embodiment of the invention, the external data policy system is a big data/quantization system.
According to another aspect of the present invention, there is provided a data conversion method for a fx market maker quotation engine system, the method comprising:
receiving quote information from one or more fx market data sources;
identifying a market type of the received offer information;
determining a corresponding data source ID based on the combination of the data source of the quotation information and the market quotation type; and
binding the determined data source ID with the offer information to uniquely identify the offer information.
According to a further embodiment of the invention, the method further comprises:
and modifying a list for maintaining the corresponding relation between the data source ID and the combination of the data source and the market situation type to support the newly added data source or market situation type.
Compared with the scheme in the prior art, the quotation engine provided by the invention has at least the following advantages:
1. the data structure is reasonable in design, and different market situation type data of various data sources/platforms can be identified through uniform IDs;
2. the architecture design is reasonable, and the physical process and the service function are closely combined; and
3. the data source interface module, the business tool module and the channel interface all support flexible configuration and expansion.
These and other features and advantages will become apparent upon reading the following detailed description and upon reference to the accompanying drawings. It is to be understood that both the foregoing general description and the following detailed description are explanatory only and are not restrictive of aspects as claimed.
Drawings
So that the manner in which the above recited features of the present invention can be understood in detail, a more particular description of the invention, briefly summarized above, may be had by reference to embodiments, some of which are illustrated in the appended drawings. It is to be noted, however, that the appended drawings illustrate only some typical aspects of this invention and are therefore not to be considered limiting of its scope, for the description may admit to other equally effective aspects.
FIG. 1 is an exemplary architecture diagram of a market maker quotation engine according to one embodiment of the present invention.
Figures 2 a-2 c depict examples of three possible bidding scenarios.
Fig. 3 is an exemplary flow diagram of a data conversion method for a fx market maker quotation engine system according to one embodiment of the present invention.
Detailed Description
The present invention will be described in detail below with reference to the attached drawings, and the features of the present invention will be further apparent from the following detailed description.
The quotation engine developed by market makers needs to meet the requirements of scene realization of calculation methods, adopted data sources, issued target markets and the like of each market maker, is compatible with different classification methods of different market data sources, and also needs to allow flexible adjustment and expansion of data sources newly added in the future or other requirements. To this end, the present invention provides a quotation engine that is highly configurable and laterally extensible.
FIG. 1 is an exemplary architecture diagram of a market maker quotation engine according to one embodiment of the present invention. As shown in fig. 1, the quotation engine 100 comprises a client access front 102, a data source interface 104, a business tool layer 106, and a channel interface layer 108. As one non-limiting example, the quotation engine 100 can be the "ComStar foreign exchange quotation engine" of the applicant, "Shanghai Jiyi Dai financial information technology Limited.
The client access front-end 102 is used for connecting a client provided for a user (i.e. a market maker), processing a message sent by the client, sending the processed message to the service tool layer, and sending a message returned by the service tool layer back to the client.
The data source interface 104 (e.g., a third party platform API gateway) is used to connect to external data sources and platforms to receive bids for those data sources and platforms. For ease of description, the data source and platform will be referred to collectively hereinafter as a "data source". As mentioned earlier, different data sources have different data types, some examples of which are given below:
(1) china foreign exchange transaction center CMDS data source
| Data platform name | Market type | Type of market |
| CMDS | Anonymous/Anonymous marketplace | Best Rate/Best quote |
| CMDS | Anonymous/Anonymous marketplace | Deal Rate/bargain price |
| CMDS | Bilateral/Bilateral market | Best Rate/Best quote |
| CMDS | Bilateral/Bilateral market | Deal Rate/bargain price |
| CMDS | ODM/matching market | Best Rate/Best quote |
| CMDS | ODM/matching market | Depth Price/gear market |
| CMDS | ODM/matching market | Deal Rate/bargain price |
(2) Road-through data source
| Data platform name | Market type |
| REUTERS | REUTERS/road penetration quotation |
| REUTERS | ICAP/Shanghai currency quoted price |
(3) Single bank platform data source
| Data platform name |
| UBS/Ruiyin |
| Morganstanley/morgan datong |
For this data source multi-type data, the data source interface 104 standardizes the accessed market data source, using "data source ID" as the unique ID of the system reference data source, and ignores information that is not relevant to price calculations and the like. Thereafter, all modules in the quotation engine system use the data source ID to uniquely identify the data source and the characteristics of the data source, in other words, different market types of the unified data source can be assigned different data source IDs to distinguish. As one non-limiting example, the aforementioned data sources, after normalization, may be converted into:
after receiving the quotes from the data sources, the data source interface 104 selects a corresponding data source ID for the source and type of each quote, binds the data source ID and the quote, and sends the bound data source ID and the quote to the business tool layer 106, which can know the data source and type of the quote immediately through the data source ID after receiving the quote data.
The data source interface 104 can be configured via a configuration file that contains a list that maintains the correspondence of data source IDs to combinations of data sources and market types. When a data source or a market type changes, such as a new data source or a new market type, the data source interface 104 can be easily modified to support the new data source or market type by editing the configuration file.
Business tool layer 106 can include one or more business tool modules, each of which can be used to execute a particular business. For example, as illustrated in fig. 1, the traffic tool modules may include CSWAP traffic tools, FXO traffic tools, FXLC traffic tools, FXLP traffic tools, and so on. The CSWAP service tool is used to implement the CSWAP service (foreign exchange match drop service) of the CFETS of the chinese foreign exchange transaction center, and thus, after analyzing and processing market quotation data received from the data source interface 104, the CSWAP service tool gives quotations for the CSWAP service and distributes the quotations to the CSWAP service channels of the CFETS. Similarly, FXO business tools may be used to implement FXO (foreign exchange options) traffic for CFETS, and FXLC business tools and FXLP business tools may be used to implement LC (mobile consumption) and LP (mobile provision) traffic for foreign exchanges, where FXLC business tools function to receive external quotes, allow traders to place orders externally, FXLP business tools function to send quotes externally, and receive external trade requests, in the opposite direction to the LC. In one example, each business tool module may be configured and extended through a corresponding configuration file, for example, the configuration file may include a list of channels to which a bid generated by the business tool module is to be published, and when a channel corresponding to a business tool module needs to be modified and a new business tool module is added, the relevant channel may be flexibly customized or extended through the list.
More specifically, configuring or customizing a service tool means that a service module supporting reuse and horizontal extension is packaged according to the characteristics of a service and the management dimension of a user, so as to realize flexible configuration of the service. At configuration time, the following may be defined from the perspective of a user or administrator:
what type of business tool needs to be used, there need to be several business tools; configuring which trade targets (such as currency pairs) covered by each business tool and business parameters of each trade target, such as used data sources, algorithms for quotation calculation and the like;
price generated by each business tool, also publishing data sources to allow calls to additional business tools;
when a user manages the quotation, the user can know which quotation is managed by identifying the name of the business tool, and different quotation strategies are adopted;
and when the system is deployed and implemented, the name of the business tool is configured into a configuration file of a physical process, so that the business tool is processed by different processes.
The channel interface layer 108 may include one or more channel interfaces (also referred to as "gateways") for respectively interfacing with a particular channel. For example, the channel interface layer 108 may include an CEFTS CSWAP gateway for connecting to the CSWAP transaction platform/server of the CFETS. Similarly, the channel interface layer 108 may also include a CFETS FXO gateway, a CFETS LC gateway, a CFETS LP gateway, CFETS CMDS (CFETS market data services) gateway, CFETS CSTP (CFETS Straight Through Process) gateway, and so forth. Through each channel interface, the message generated by each service tool module can be sent to each channel, and meanwhile, the returned message is received from each channel and then forwarded back to the corresponding service tool module. For example, an CFETS CMDS gateway may be used to obtain external market conditions and a CFETS CSTP gateway may be used to obtain external deal data.
Figures 2 a-2 c depict examples of three possible bidding scenarios. In fig. 2 a-2C, it is assumed that there are 3 different data sources (data source a, data source B, and data source C) and 5 different channels, three of which are of ESP (executable continuous Price) type, one of which is of RFS (Request for Stream) type, and the other of which is of Indicative type.
In the example of fig. 2a, the market maker's quotation scheme is to provide identical ESP type quotations for three channels that are also ESP type, and identical quotations for RFS and Indicative type channels. Therefore, a traffic tool module a (fxesp) for ESP traffic may be set. The business tool module A can simultaneously receive data from the data sources A-C, generate uniform quotes for the ESP business through analysis and processing, and respectively send the uniform quotes to the three ESP channels through the respective channel interfaces. Meanwhile, a business tool module B (FXIND) can be set, and is used for receiving, analyzing and processing data from the data sources A-C, generating quotations and respectively issuing the quotations to RFS and Indicative channels.
In the example of fig. 2b, the quotation scheme of the market maker is to send a quotation for the ESP channel to the ESP channel, and to distribute the quotation to the RFS channel and the Indicative channel after processing. Therefore, in response to this quotation scheme, a traffic tool module a (fxesp) for ESP traffic may be set. The business tool module A can simultaneously receive data from the data sources A-C, generate uniform quotes for the ESP business through analysis and processing, and respectively send the uniform quotes to the three ESP channels through the respective channel interfaces. Meanwhile, a business tool module b (fxind) for RFS and Indicative channels may be set. Unlike in fig. 2a, the service tool module B in fig. 2B does not directly obtain data from the data source, but only obtains quotes for ESP service from the service tool module a, and generates and distributes quotes for RFS and Indicative channels to corresponding channels after processing.
In the example of fig. 2c, the market maker's quotation scheme is quite simple, using a uniform quotation directly for each channel. Thus, in this architecture, only one business tool module a (fxall) is provided, which receives data from data sources a-C simultaneously, generates a unified quote by analysis and processing, and sends it to all five channels via their respective channel interfaces.
Returning to FIG. 1, the customizability and extensibility of the business tool module for different channels is also partially embodied in the example architecture of FIG. 1. For example, among other things, FXLC service tool modules may interface with the CFETS FX2017 platform via a CFETS LC gateway and CFETS CSTP platform via an CFETS CSTP gateway, respectively. In addition, for two different channels, namely the CFETS FX2017 platform and the CFETS CMDS platform, although both involve fluidity provision LP, two independent FXLP business tool modules are designed to be docked with the fluidity provision LP respectively due to the difference of business modes involved by the two.
Similar to business tools, channel interfaces can also be configured via configuration files. Specifically, configuring the channel interface refers to standardizing a channel for issuing quotation to the outside by a quotation engine, only reserving functions necessary for quotation generated by using a business tool, and completing the requirement of channel personalization in an interface gateway. The design key points of the configuration channel interface mainly comprise:
technical attributes of the channel, including interface connection type, market conditions, and connection destination address of the order;
channel business attributes, open and close market times, transaction targets (currency pairs) supported, subscription price types (initial gear list, TOP price, RFQ price, etc.), term, minimum transaction amount, etc.
Optionally, the quotation engine 100 also includes an inline system interface 110, or inline system API gateway. Currently, the certified foreign exchange market makers in China are usually banks, and each bank has a respective internal bank management system which needs to be interfaced with a quotation engine. For example, an inline system may include subsystems/modules for staging/background aggregation of funds, wind management, and the like. Various information such as data, instructions, policies, etc. from the inline system are forwarded to each business tool module through the inline system interface 110, while data generated by each business tool module is provided to the inline system through the inline system interface 110. In addition, the inline system interface 110 may also be configured to perform interactive processes such as credit checking in conjunction with the internal system.
Optionally, the quotation engine 100 can also include an external data policy interface 112. As one non-limiting example, the external data policy interface 112 may be a quantitative system interface for interfacing with an external big data/quantitative system, such as the "ComStar big data/quantitative system" of the applicant, "Shanghai Jie financial information technology, Inc. Data or policies from the big data/quantization system may be forwarded to the associated business tool module via the quantization system interface 112, while data from the data source may also be received via the quantization system interface 112.
It will be understood by those skilled in the art that the specific business tool modules, channel interfaces, and corresponding channels specifically enumerated and described above are merely examples, and that the quotation engine architecture of the present invention can be adapted for use with a variety of quotation schemes, and can be easily customized according to the specific implementation procedures involved in each quotation scheme, or modified according to changes in data sources, changes in business types, or adjustments to specific business embodiments, and thus has a high degree of flexibility and extensibility.
Fig. 3 is an exemplary flow diagram of a data conversion method 300 for a fx market maker quotation engine system according to one embodiment of the invention. As shown in fig. 3, the method 300 begins at step 302 by receiving quote information from one or more fx market data sources. As previously described, the fx market data sources may include various types of fx market data sources such as CMDS data sources, pass-through data sources, single bank data sources, and the like.
At step 304, a market type of the received offer information is identified. The quotation information provided by each data source generally carries metadata indicating the market type of the quotation, and the market type of the received quotation information can be identified by reading the metadata.
At step 306, a corresponding data source ID is determined based on a combination of the data source of the offer information and the market situation type. As described earlier, a "data source ID" can be used as a unique ID for a system reference data source, and the data source ID can uniquely identify the data source and the characteristics of the data source (i.e., the market type), so that market data of different sources and different types can be uniformly converted. A list of data source IDs and a correspondence of combinations of data sources and market types may be stored in a configuration file, and a corresponding data source ID may be determined by querying the list. Furthermore, by modifying the list, the supported data sources or market types can also be easily extended.
Finally, at step 308, the determined data source ID is bound with the offer information to uniquely identify the offer information. The bound quote information may be provided to various business tool modules in the quote engine and used to uniquely identify the quote information at all times.
What has been described above includes examples of aspects of the claimed subject matter. It is, of course, not possible to describe every conceivable combination of components or methodologies for purposes of describing the claimed subject matter, but one of ordinary skill in the art may recognize that many further combinations and permutations of the claimed subject matter are possible. Accordingly, the disclosed subject matter is intended to embrace all such alterations, modifications and variations that fall within the spirit and scope of the appended claims.
Claims (10)
1. A fx market maker quotation engine system, comprising:
the data source interface is used for receiving quotation information from one or more foreign exchange market data sources and converting the quotation information into a uniform data format;
a business tool layer comprising one or more business tool modules, wherein each business tool module is configured to implement a particular foreign exchange business; and
a channel interface layer comprising one or more channel interfaces, wherein each channel interface is to interface with an associated channel.
2. The system of claim 1, wherein converting the offer information into a unified data format further comprises:
the data source ID is used to uniquely identify the combination of the data source and market type of the offer information.
3. The system of claim 2, wherein the data source interface comprises a configuration file including a list that maintains a correspondence of the data source ID to the combination of the data source and the market case type.
4. The system of claim 1, wherein the business tool module being configured to implement a particular foreign exchange business further comprises the business tool module being configured to:
analyzing the quotation information provided by the data source interface and in a unified conversion format, and generating one or more sets of quotations according to the business processing logic of the business tool module; and
the generated offer is sent to the associated one or more channel interfaces.
5. The system of claim 4, wherein the business tool module is configurable via a configuration file that includes a list that specifies channels to which offers generated by the business tool module are to be published.
6. The system of claim 1, wherein the system further comprises:
an inline system interface for interfacing with an in-house system of the fx market maker and configured for:
providing information from the internal system to the one or more business tool modules;
providing data generated by the one or more business tool modules to the internal system; and
and finishing an interactive process jointly with the internal system.
7. The system of claim 1, wherein the system further comprises:
an external data policy system interface to interface with an external data policy system and provide data or policies from the external data policy system to the one or more business tool modules.
8. The system of claim 5, wherein the external data policy system is a big data/quantization system.
9. A data transformation method for a fx market maker quotation engine system, the method comprising:
receiving quote information from one or more fx market data sources;
identifying a market type of the received offer information;
determining a corresponding data source ID based on the combination of the data source of the quotation information and the market quotation type; and
binding the determined data source ID with the offer information to uniquely identify the offer information.
10. The method of claim 9, wherein the method further comprises:
and modifying a list for maintaining the corresponding relation between the data source ID and the combination of the data source and the market situation type to support the newly added data source or market situation type.
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| CN114677186A (en) * | 2022-05-27 | 2022-06-28 | 太平金融科技服务(上海)有限公司深圳分公司 | Offer calculation method and device for financial product, computer equipment and storage medium |
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Cited By (2)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| CN114677186A (en) * | 2022-05-27 | 2022-06-28 | 太平金融科技服务(上海)有限公司深圳分公司 | Offer calculation method and device for financial product, computer equipment and storage medium |
| CN114677186B (en) * | 2022-05-27 | 2023-03-07 | 太平金融科技服务(上海)有限公司深圳分公司 | Offer calculation method and device for financial product, computer equipment and storage medium |
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