CN114065007A - System, method, device, processor and storage medium for realizing extremely fast acquisition of futures and derivatives market quotations based on financial transactions - Google Patents
System, method, device, processor and storage medium for realizing extremely fast acquisition of futures and derivatives market quotations based on financial transactions Download PDFInfo
- Publication number
- CN114065007A CN114065007A CN202111394700.XA CN202111394700A CN114065007A CN 114065007 A CN114065007 A CN 114065007A CN 202111394700 A CN202111394700 A CN 202111394700A CN 114065007 A CN114065007 A CN 114065007A
- Authority
- CN
- China
- Prior art keywords
- market
- data
- acquisition
- module
- processing module
- Prior art date
- Legal status (The legal status is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the status listed.)
- Pending
Links
Images
Classifications
-
- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06F—ELECTRIC DIGITAL DATA PROCESSING
- G06F16/00—Information retrieval; Database structures therefor; File system structures therefor
- G06F16/90—Details of database functions independent of the retrieved data types
- G06F16/95—Retrieval from the web
- G06F16/953—Querying, e.g. by the use of web search engines
-
- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
Landscapes
- Engineering & Computer Science (AREA)
- Business, Economics & Management (AREA)
- Databases & Information Systems (AREA)
- Theoretical Computer Science (AREA)
- Physics & Mathematics (AREA)
- Accounting & Taxation (AREA)
- Finance (AREA)
- General Physics & Mathematics (AREA)
- Development Economics (AREA)
- Technology Law (AREA)
- General Business, Economics & Management (AREA)
- Strategic Management (AREA)
- Marketing (AREA)
- Economics (AREA)
- Data Mining & Analysis (AREA)
- General Engineering & Computer Science (AREA)
- Financial Or Insurance-Related Operations Such As Payment And Settlement (AREA)
Abstract
The invention relates to a system for realizing self-adaptive extremely-fast acquisition of futures and derivatives market quotations based on financial transactions, wherein the system comprises an incremental market quotation acquisition module, a data acquisition module and a data acquisition module, wherein the incremental market quotation acquisition module is used for receiving and acquiring incremental market quotation data in the financial transaction process; the market snapshot acquiring module is used for acquiring the market state of a certain market moment; the channel optimization processing module is used for optimizing the incremental market data; the market decoding processing module is used for decoding the market data compression algorithm; the self-adaptive acquisition processing module is used for self-adaptively distinguishing market data; the market information updating and storing module is used for storing and updating market information; and the quotation distribution processing module is used for distributing the quotation data to the users in a multicast mode or a PCIE mode. The invention also relates to a corresponding method, device, processor and storage medium thereof. The system, the method, the device, the processor and the storage medium thereof have the characteristics of high processing speed and more outstanding performance advantages.
Description
Technical Field
The invention relates to the technical field of financial futures, in particular to the technical application field of Field Programmable Gate Array (FPGA) in the field of financial futures, and specifically relates to a system, a method, a device, a processor and a computer-readable storage medium for realizing rapid acquisition of futures and derivatives market quotations based on financial transactions.
Background
Programmed trading is a common trading mode in the international market. At the present stage, there are three main application modes related to programmed transactions in the market of China: conventional trend analysis, arbitrage type, and high frequency.
For high frequency trading, trading speed is one of the most important factors influencing investment effect, and therefore, the most important factor for measuring the performance of a high frequency trading system is the response speed of the system. Some high-frequency investment strategies can obtain considerable positive income under the condition that the system has no delay, but the income is greatly reduced after the delay of the system is increased by a certain value.
The high-frequency trader usually optimizes each node in the trading process according to the complete trading path, so that the optimal performance of the system is achieved. Generally, a complete transaction path can be roughly divided into three steps: the system acquires market data; the strategy host computer executes operation to obtain a transaction signal and sends an instruction; the instruction is transmitted out to the exchange host.
The Shanghai futures exchange is a large commodity futures exchange, has been developed as an exchange with the exchange scale in the front of the world, covers important fields of national economy such as energy, chemical engineering and metals, and is also a place where numerous high-frequency traders mainly participate.
However, the performance of the market system for the shanghai futures exchange, which is common in the market at present, does not fully satisfy the extreme pursuit of the high-frequency trader for speed.
Disclosure of Invention
It is an object of the present invention to overcome the above-mentioned shortcomings of the prior art and to provide a system, method, apparatus, processor and computer readable storage medium thereof for realizing the rapid acquisition of futures and derivatives market quotations based on financial transactions with a rapid and efficient acquisition speed.
In order to achieve the above objects, the system, method, apparatus, processor and computer readable storage medium for realizing the rapid acquisition of futures and derivatives market quotations based on financial transactions of the present invention are as follows:
the system for realizing the self-adaptive extremely-fast acquisition of futures and derivatives market quotations based on financial transactions is mainly characterized by comprising the following steps:
the system comprises an incremental market acquisition module, a financial transaction processing module and a data processing module, wherein the incremental market acquisition module is used for receiving and acquiring incremental market data in the financial transaction process;
the market snapshot acquisition module is used for initiating a query instruction to market snapshot data of futures and derivatives at the current moment and acquiring the market state of a certain market slice moment;
the channel optimization processing module is connected with the incremental market acquisition module and is used for acquiring the incremental market data and optimizing the incremental market data of the two-channel market link according to the financial transaction process;
the market decoding processing module is connected with the channel optimization processing module and is used for decompressing market data compression algorithm used in the financial transaction process so as to restore the related data to market data under a normal protocol;
the self-adaptive acquisition processing module is connected with the market decoding processing module and is used for distinguishing market data of different contract sources acquired in the financial transaction process and subscribing corresponding contract market in a targeted manner according to a distinguishing result;
the market updating and storing module is connected with the self-adaptive acquiring and processing module and the market snapshot acquiring module and is used for storing market data at the last moment and updating and calculating the market data at the latest moment; and
and the quotation distribution processing module is connected with the quotation updating and storing module and is used for distributing the updated quotation data to the users in a multicast mode or a PCIE mode.
Preferably, the financial transaction is specifically based on acquisition of market data of the current day and the energy source.
Preferably, the incremental market information obtaining module specifically performs the following processing:
and receiving incremental market condition accumulated change data of two corresponding slice moments in the new and old market condition snapshots of the current place and the energy place.
Preferably, the quotation snapshot obtaining module specifically includes:
the market data query unit is used for receiving a query request initiated by a user side and performing data query of a corresponding request instruction;
the data receiving and translating processing unit is used for analyzing the inquired market data and translating the analyzed result; and
and the quotation data receiving unit is connected with the data receiving and translating unit and used for receiving the quotation data after the translation processing and sending the quotation data to the quotation updating and storing module to carry out initialization processing on the quotation data.
Preferably, the market snapshot obtaining module specifically performs the following processing:
(a1) initiating a query instruction, and informing a software program to query the current-time futures and derivative snapshot market data;
(b1) acquiring all market information including but not limited to statements, deals, contracts and market statistics at the query moment;
(c1) receiving data returned by the query, and analyzing the quotation snapshot;
(d1) and sending the analyzed data to be used to the market information updating and storing module.
Preferably, the channel optimization processing module specifically performs the following processing:
(a2) the channel optimization processing module identifies the market links of the upper place and the energy place according to the data priority;
(b2) extracting the incremental market information which arrives preferentially, and discarding the incremental market information of the redundant backup which arrives subsequently;
(c2) and the channel optimization processing module sends the processed unique market data to the market decoding processing module.
Preferably, the market decoding processing module decodes the compression algorithm used by the energy source and the place of arrival by combining the Varint coding and the zigbee coding, and restores the received compressed market data to the market data under the normal protocol.
Preferably, the adaptive acquisition processing module specifically performs the following processing:
the contract subscription method is used for adaptively distinguishing the proscenium and the energy place contracts and can accept a specific contract subscription request according to the subscription requirements of different users, so that the market subscribed by the users is only processed in a targeted manner, and the market decoding speed is improved.
The method for realizing self-adaptive extremely-fast acquisition of futures and derivatives market quotations based on financial transactions by utilizing the system is mainly characterized by comprising the following steps of:
(1) a user initiates a quotation snapshot query request to obtain quotation snapshot data;
(2) performing data analysis and translation processing on the acquired quotation snapshot data, and sending the data to the quotation updating and storing module for initialization;
(3) inputting incremental market data through the channel optimization processing module, and acquiring market data which is preferentially entered;
(4) decoding the market data through the market decoding processing module to recover the market data obtained under the normal protocol;
(5) performing self-adaptive subscription on the recovered market data, and calculating and storing the updated market data;
(6) and the market information distribution processing module transmits corresponding market information data according to different configurations.
Preferably, the step (1) is specifically:
and the user hardware terminal initiates a snapshot query request to a market data query unit of the market snapshot acquisition module to query market data of the current season station or the energy station.
Preferably, the step (2) specifically comprises the following steps:
(2.1) the data receiving and translating unit of the market snapshot obtaining module performs data analysis processing on the received market data of the current season or the energy source;
(2.2) the data receiving and translating unit translates the analyzed and processed corresponding market data;
(2.3) the data receiving and translating unit sends the translating result of the market data to the market updating and storing module for initialization for subsequent use.
Preferably, the step (3) specifically includes the following steps:
(3.1) the incremental market information acquisition module receives the incremental market information of the main and standby energy sources and the previous period from two ports;
(3.2) the incremental market information acquisition module performs primary processing on the acquired market information, removes the Ethernet information and transmits the Ethernet information to the channel optimization processing module;
(3.3) the channel optimization processing module selects the quotation information which is arrived preferentially by comparing the self-carried data message numbers of the quotations and removes the redundant quotation information;
(3.4) the channel optimization processing module transmits the optimized incremental market data to the market decoding processing module.
Preferably, the step (4) is specifically:
the market decoding processing module decodes the Varint code and the ZigZag code provided by the last place and the energy source, restores the market data into the market data of a normal protocol, and transmits the market data to the self-adaptive acquisition processing module.
Preferably, the step (5) specifically comprises the following steps:
(5.1) the self-adaptive acquisition processing module performs self-adaptive subscription on the market data under the normal protocol according to contract types according to subscription requirements of different users, and acquires the subscribed market data;
(5.2) the market updating and storing module combines the subscribed acquired data and the market data stored at the last moment with the incremental data to calculate;
and (5.3) the market updating and storing module updates and stores the market data at the current moment and simultaneously transmits the market data to the market distribution processing module.
The device for realizing self-adaptive extremely-fast acquisition of futures and derivatives market based on financial transaction is mainly characterized by comprising the following steps:
a processor configured to execute computer-executable instructions;
a memory storing one or more computer-executable instructions that, when executed by the processor, perform the steps of the method for adaptive extreme rate acquisition of futures and derivatives market quotations based on financial transactions described above.
The processor for the financial transaction-based futures and derivatives market adaptive extreme speed acquisition is mainly characterized in that the processor is configured to execute computer-executable instructions, and when the computer-executable instructions are executed by the processor, the steps of the financial transaction-based futures and derivatives market adaptive extreme speed acquisition method are realized.
The computer readable storage medium is characterized by having a computer program stored thereon, wherein the computer program is executable by a processor to implement the steps of the method for self-adaptive rapid acquisition of futures and derivatives market quotations based on financial transactions.
The system, the method, the device, the processor and the computer readable storage medium thereof for realizing the extremely rapid acquisition of futures and derivatives based on financial transactions adopt a heterogeneous technology combining software and hardware, and exert respective performance advantages of the software and the hardware to the greatest extent. During initialization, the CPU is used for interaction, once initialization is completed, all market processing is realized on the FPGA, and the CPU is not required to participate. Wherein, hardware is adopted to realize the upper season station and energy station market situation core decoding program; compared with the common software analysis system, the market analysis is started at the moment when the data enters the hardware, and the speed is more advantageous. The analysis is carried out without waiting for the whole market data packet to be collected, so that the decoding speed is higher. After receiving the contract subscription of the user, only processing the subscribed contract data, reducing useless contracts and further accelerating the decoding speed. The hardware is configured by adopting the timed start-stop task, the use and the maintenance are simple and convenient, the manual intervention is not needed, and the outstanding performance advantage is achieved.
Drawings
Fig. 1 is a schematic diagram of an architecture of a system for implementing adaptive rapid acquisition of futures and derivatives market quotations based on financial transactions according to the present invention.
Fig. 2 is a schematic diagram of an internal structure of the market snapshot obtaining module according to the present invention.
Detailed Description
In order to more clearly describe the technical contents of the present invention, the following further description is given in conjunction with specific embodiments.
Before describing in detail embodiments that are in accordance with the present invention, it should be noted that the terms "comprises," "comprising," or any other variation thereof, are intended to cover a non-exclusive inclusion, such that a process, method, article, or apparatus that comprises a list of elements does not include only those elements but may include other elements not expressly listed or inherent to such process, method, article, or apparatus.
Referring to fig. 1, the system for realizing the adaptive extreme acquisition of futures and derivatives market quotations based on financial transactions includes:
the system comprises an incremental market acquisition module, a financial transaction processing module and a data processing module, wherein the incremental market acquisition module is used for receiving and acquiring incremental market data in the financial transaction process;
the market snapshot acquisition module is used for initiating a query instruction to market snapshot data of futures and derivatives at the current moment and acquiring the market state of a certain market slice moment;
the channel optimization processing module is connected with the incremental market acquisition module and is used for acquiring the incremental market data and optimizing the incremental market data of the two-channel market link according to the financial transaction process;
the market decoding processing module is connected with the channel optimization processing module and is used for decompressing market data compression algorithm used in the financial transaction process so as to restore the related data to market data under a normal protocol;
the self-adaptive acquisition processing module is connected with the market decoding processing module and is used for distinguishing market data of different contract sources acquired in the financial transaction process and subscribing corresponding contract market in a targeted manner according to a distinguishing result;
the market updating and storing module is connected with the self-adaptive acquiring and processing module and the market snapshot acquiring module and is used for storing market data at the last moment and updating and calculating the market data at the latest moment; and
and the quotation distribution processing module is connected with the quotation updating and storing module and is used for distributing the updated quotation data to the users in a multicast mode or a PCIE mode.
In a preferred embodiment of the present invention, the financial transaction is specifically based on the acquisition of market data by the institution and the energy source.
As a preferred embodiment of the present invention, the incremental market information acquiring module specifically performs the following processing:
and receiving incremental market condition accumulated change data of two corresponding slice moments in the new and old market condition snapshots of the current place and the energy place.
Referring to fig. 2, as a preferred embodiment of the present invention, the market snapshot obtaining module specifically includes:
the market data query unit is used for receiving a query request initiated by a user side and performing data query of a corresponding request instruction;
the data receiving and translating processing unit is used for analyzing the inquired market data and translating the analyzed result; and
and the quotation data receiving unit is connected with the data receiving and translating unit and used for receiving the quotation data after the translation processing and sending the quotation data to the quotation updating and storing module to carry out initialization processing on the quotation data.
As a preferred embodiment of the present invention, the market snapshot obtaining module specifically performs the following processing:
(a1) initiating a query instruction, and informing a software program to query the current-time futures and derivative snapshot market data;
(b1) acquiring all market information including but not limited to statements, deals, contracts and market statistics at the query moment;
(c1) receiving data returned by the query, and analyzing the quotation snapshot;
(d1) and sending the analyzed data to be used to the market information updating and storing module.
As a preferred embodiment of the present invention, the channel optimization processing module specifically performs the following processing:
(a2) the channel optimization processing module identifies the market links of the upper place and the energy place according to the data priority;
(b2) extracting the incremental market information which arrives preferentially, and discarding the incremental market information of the redundant backup which arrives subsequently;
(c2) and the channel optimization processing module sends the processed unique market data to the market decoding processing module.
As a preferred embodiment of the present invention, the market decoding processing module decodes the compression algorithm used by the energy sources and the antecedent place by combining the Varint coding and the zigbee coding, and restores the received compressed market data to the market data under the normal protocol.
As a preferred embodiment of the present invention, the adaptive acquisition processing module specifically performs the following processing:
the contract subscription method is used for adaptively distinguishing the proscenium and the energy place contracts and can accept a specific contract subscription request according to the subscription requirements of different users, so that the market subscribed by the users is only processed in a targeted manner, and the market decoding speed is improved.
The method for realizing self-adaptive extremely-fast acquisition of futures and derivatives market based on financial transaction by using the system comprises the following steps:
(1) a user initiates a quotation snapshot query request to obtain quotation snapshot data;
(2) performing data analysis and translation processing on the acquired quotation snapshot data, and sending the data to the quotation updating and storing module for initialization;
(3) inputting incremental market data through the channel optimization processing module, and acquiring market data which is preferentially entered;
(4) decoding the market data through the market decoding processing module to recover the market data obtained under the normal protocol;
(5) performing self-adaptive subscription on the recovered market data, and calculating and storing the updated market data;
(6) and the market information distribution processing module transmits corresponding market information data according to different configurations.
As a preferred embodiment of the present invention, the step (1) specifically comprises:
and the user hardware terminal initiates a snapshot query request to a market data query unit of the market snapshot acquisition module to query market data of the current season station or the energy station.
As a preferred embodiment of the present invention, the step (2) specifically comprises the following steps:
(2.1) the data receiving and translating unit of the market snapshot obtaining module performs data analysis processing on the received market data of the current season or the energy source;
(2.2) the data receiving and translating unit translates the analyzed and processed corresponding market data;
(2.3) the data receiving and translating unit sends the translating result of the market data to the market updating and storing module for initialization for subsequent use.
As a preferred embodiment of the present invention, the step (3) specifically comprises the following steps:
(3.1) the incremental market information acquisition module receives the incremental market information of the main and standby energy sources and the previous period from two ports;
(3.2) the incremental market information acquisition module performs primary processing on the acquired market information, removes the Ethernet information and transmits the Ethernet information to the channel optimization processing module;
(3.3) the channel optimization processing module selects the quotation information which is arrived preferentially by comparing the self-carried data message numbers of the quotations and removes the redundant quotation information;
(3.4) the channel optimization processing module transmits the optimized incremental market data to the market decoding processing module.
As a preferred embodiment of the present invention, the step (4) specifically comprises:
the market decoding processing module decodes the Varint code and the ZigZag code provided by the last place and the energy source, restores the market data into the market data of a normal protocol, and transmits the market data to the self-adaptive acquisition processing module.
As a preferred embodiment of the present invention, the step (5) specifically comprises the following steps:
(5.1) the self-adaptive acquisition processing module performs self-adaptive subscription on the market data under the normal protocol according to contract types according to subscription requirements of different users, and acquires the subscribed market data;
(5.2) the market updating and storing module combines the subscribed acquired data and the market data stored at the last moment with the incremental data to calculate;
and (5.3) the market updating and storing module updates and stores the market data at the current moment and simultaneously transmits the market data to the market distribution processing module.
The device for realizing the self-adaptive extremely-fast acquisition of futures and derivatives market based on financial transactions comprises the following components:
a processor configured to execute computer-executable instructions;
a memory storing one or more computer-executable instructions that, when executed by the processor, perform the steps of the method for adaptive extreme rate acquisition of futures and derivatives market quotations based on financial transactions described above.
The processor for adaptive extreme speed acquisition of futures and derivatives market quotations based on financial transactions is configured to execute computer-executable instructions, and when the computer-executable instructions are executed by the processor, the steps of the method for adaptive extreme speed acquisition of futures and derivatives market quotations based on financial transactions are realized.
The computer readable storage medium is characterized by having a computer program stored thereon, wherein the computer program is executable by a processor to implement the steps of the method for self-adaptive rapid acquisition of futures and derivatives market quotations based on financial transactions.
In practical application, the invention is realized by the following technical scheme:
the system for realizing the self-adaption extremely-fast acquisition of the market quotations of futures and derivatives based on financial transactions comprises an incremental market quotation acquisition module, a market quotation snapshot acquisition module, a channel optimization processing module, a market quotation decoding processing module, a self-adaption acquisition processing module, a market quotation updating and storing module and a market quotation distribution processing module.
The market snapshot obtaining module is used for inquiring the market snapshot data of the futures and derivatives at the current moment and obtaining the market state at a certain moment (a certain market slicing moment), including all market information such as postings, bargaining, contracts, market statistics and the like at the certain moment.
The incremental market information acquisition module is used for receiving the exchange incremental market information which reflects the change of market information snapshots and comprises the accumulated changes of the new market information snapshot and the old market information snapshot in the corresponding two slicing moments.
And the channel optimization processing module is used for optimizing two paths of quotations of the exchange acquired by the two ports of the system.
The market decoding processing module is used for decompressing a compression algorithm provided by the transaction to restore market data of a normal protocol.
The self-adaptive acquisition processing module is used for distinguishing the current place from the energy place and acquiring corresponding contract quotations according to different customizations.
The market updating and storing module is used for calculating the market at the latest moment, storing the market in the RAM of the hardware and updating the market stored at the last moment.
And the market information distribution processing module is used for distributing the updated market information to users in a multicast mode or a PCIe mode.
Furthermore, the quotation snapshot acquisition module is divided into a software part and a hardware part, wherein the software part is used for inquiring and translating, and the hardware part is used for acquiring the quotation snapshot.
The method for realizing self-adaptive rapid acquisition of futures and derivatives market quotations based on financial transactions based on the system comprises the following steps:
a. and performing snapshot query through software, acquiring market quotation snapshot data, analyzing the acquired market quotation snapshot, and sending an analysis result to the market quotation storage and updating module.
b. Incremental market data is input into the system through market ports of the upper season station and the energy station.
c. And c, optimizing the data obtained in the step b, and acquiring the most advanced market data.
d. And c, decoding the data obtained in the step c to obtain the recovered market data.
e. And d, performing self-adaptive subscription on the data obtained in the step d to obtain the subscribed market data.
f. And e, calculating the data obtained in the step e and the stored data at the previous moment, and storing the calculated latest market into a local RAM.
g. And e, copying the data obtained in the step e while storing the data, and distributing the data to users.
In practical application, please refer to fig. 1, the system for realizing the self-adaptive rapid acquisition of futures and derivatives market quotations based on financial transactions adopts a mode of combining software and hardware to deliver services such as login, authentication, query and the like to software for processing, integrates service functions with high requirements on timeliness, such as acquisition of snapshot market quotations and incremental market quotations, market quotation decoding, self-adaptive screening, market quotation multicast and the like, on an FPGA for processing, solves the limitation on the acquisition speed of market quotations at an upper term and an energy source, and solves the self-adaptive processing of different users for different exchanges and different contracts. Compared with the common software market processing, the method has the advantages that the speed is increased by multiple orders of magnitude, and the domestic blank of the technology is filled.
And the market snapshot obtaining module initiates a query instruction to inform a software program to query the market data of the futures and derivatives snapshot at the current moment and obtain the market state at the query moment, including all market information such as the statement, the deal, the contract, the market statistics and the like at the query moment. The data returned by the query is received by the market information snapshot obtaining module, the market information snapshot is analyzed, and the data needed to be used after the analysis is sent to the updating and storing module.
And the incremental market information acquisition module starts working after initiating query and transmitting the analyzed data to the updating and storage module, receives the incremental market information acquired from the transaction and transmits the incremental market information to the channel optimization processing module.
And the channel optimization processing module is used for optimizing the incremental market data input by the two channels. The market links of the upper place and the energy place are divided into a main path and a standby path, the incremental market data of the main path and the standby path have randomness in the time of transmission to a user side, the channel optimization module identifies the priority of the two paths of data, extracts the preferentially arrived incremental market, and discards the subsequently arrived incremental market information of redundant backup. The channel optimization module transmits the processed unique market data to the decoding module.
The market decoding processing module is used for decompressing a compression algorithm provided by the trading exchange; the mode of combining Varint coding and ZigZag coding is used by the place of the date and the energy source, and is a coding mode of coding the signed integer of 64-bit binary coding in 10 bytes at most; the market decoding module decodes the coding form and restores the coded form into market data of a normal protocol.
The self-adaptive acquisition processing module is mainly used for self-adaptively distinguishing the current place and the energy contract and can accept a specific contract subscription request according to the subscription requirements of different clients, so that only the market subscribed by the user is processed in the system, and the market decoding speed is improved.
And the market updating and storing module is used for storing the market at the last moment and calculating the market at the latest moment, storing the calculation result in the RAM of the hardware and updating the market stored at the last moment.
And the market information distribution processing module is used for distributing the updated market information to users in a multicast mode or a PCIe mode, so that the receiving modes are various.
In practical application, the method for realizing self-adaptive extremely-fast acquisition of futures and derivatives market based on financial transaction comprises the following steps:
a. the hardware initiates a request module to initiate a query request, a request signal is transmitted to the software query module, the software query module initiates a snapshot query command, the software receives and translates a snapshot market quotation data from an upper place or an energy place, the obtained market quotation snapshot is analyzed and translated, and the translated result is transmitted to the hardware market quotation snapshot receiving module. And the hardware market snapshot receiving module sends the snapshot data to the market updating and storing module to initialize the market.
b. After the market initialization is completed, the incremental market acquisition module starts to receive incremental market data of the two main paths of the energy source and the energy source from the two ports, primarily processes the market data, removes the Ethernet information and transmits the Ethernet information to the channel optimization module.
c. The channel optimization processing module performs channel optimization on the two acquired incremental market data, selects market information which is preferentially arrived by comparing data message numbers of market self, and simultaneously removes redundant market information. And transmitting the optimized increment quotation to a decoding module.
d. The quotation decoding processing module decodes Varint codes and ZigZag codes provided by the current place and the energy source, restores the quotation data into the quotation data of a normal protocol and transmits the data to the quotation updating and storing module.
e. The market updating and storing module reads market data stored at the last moment, calculates by combining the incremental data, updates the market at the current moment, stores the market data and transmits the market data to the market distributing module.
f. The market distribution processing module can select to transmit data from the optical port according to different configurations, and can also transmit data through a local PCIe port.
Any process or method descriptions in flow charts or otherwise described herein may be understood as representing modules, segments, or portions of code which include one or more executable instructions for implementing specific logical functions or steps of the process, and alternate implementations are included within the scope of the preferred embodiment of the present invention in which functions may be executed out of order from that shown or discussed, including substantially concurrently or in reverse order, depending on the functionality involved, as would be understood by those reasonably skilled in the art of the present invention.
It should be understood that portions of the present invention may be implemented in hardware, software, firmware, or a combination thereof. In the above embodiments, the various steps or methods may be implemented in software or firmware stored in memory and executed by suitable instruction execution devices.
It will be understood by those skilled in the art that all or part of the steps carried by the method for implementing the above embodiments may be implemented by hardware related to instructions of a program, and the program may be stored in a computer readable storage medium, and when executed, the program includes one or a combination of the steps of the method embodiments.
In addition, functional units in the embodiments of the present invention may be integrated into one processing module, or each unit may exist alone physically, or two or more units are integrated into one module. The integrated module can be realized in a hardware mode, and can also be realized in a software functional module mode. The integrated module, if implemented in the form of a software functional module and sold or used as a separate product, may also be stored in a computer readable storage medium.
The storage medium mentioned above may be a read-only memory, a magnetic or optical disk, etc.
In the description herein, references to the description of terms "an embodiment," "some embodiments," "an example," "a specific example," or "an embodiment," etc., mean that a particular feature, structure, material, or characteristic described in connection with the embodiment or example is included in at least one embodiment or example of the invention. In this specification, the schematic representations of the terms used above do not necessarily refer to the same embodiment or example. Furthermore, the particular features, structures, materials, or characteristics described may be combined in any suitable manner in any one or more embodiments or examples.
Although embodiments of the present invention have been shown and described above, it is understood that the above embodiments are exemplary and should not be construed as limiting the present invention, and that variations, modifications, substitutions and alterations can be made to the above embodiments by those of ordinary skill in the art within the scope of the present invention.
In this specification, the invention has been described with reference to specific embodiments thereof. It will, however, be evident that various modifications and changes may be made thereto without departing from the broader spirit and scope of the invention. The specification and drawings are, accordingly, to be regarded in an illustrative rather than a restrictive sense.
Claims (17)
1. A system for realizing self-adaptive rapid acquisition of futures and derivatives market quotations based on financial transactions is characterized by comprising:
the system comprises an incremental market acquisition module, a financial transaction processing module and a data processing module, wherein the incremental market acquisition module is used for receiving and acquiring incremental market data in the financial transaction process;
the market snapshot acquisition module is used for initiating a query instruction to market snapshot data of futures and derivatives at the current moment and acquiring the market state of a certain market slice moment;
the channel optimization processing module is connected with the incremental market acquisition module and is used for acquiring the incremental market data and optimizing the incremental market data of the two-channel market link according to the financial transaction process;
the market decoding processing module is connected with the channel optimization processing module and is used for decompressing market data compression algorithm used in the financial transaction process so as to restore the related data to market data under a normal protocol;
the self-adaptive acquisition processing module is connected with the market decoding processing module and is used for distinguishing market data of different contract sources acquired in the financial transaction process and subscribing corresponding contract market in a targeted manner according to a distinguishing result;
the market updating and storing module is connected with the self-adaptive acquiring and processing module and the market snapshot acquiring module and is used for storing market data at the last moment and updating and calculating the market data at the latest moment; and
and the quotation distribution processing module is connected with the quotation updating and storing module and is used for distributing the updated quotation data to the users in a multicast mode or a PCIE mode.
2. The system for adaptive extreme acquisition of futures and derivatives market quotations based on financial transactions as claimed in claim 1, wherein the financial transactions are specifically based on acquisition of market quotation data at an upper term and an energy source.
3. The system for realizing self-adaptive extreme acquisition of futures and derivatives market quotations based on financial transactions according to claim 2, wherein the incremental market quotation acquisition module is specifically configured to:
and receiving incremental market condition accumulated change data of two corresponding slice moments in the new and old market condition snapshots of the current place and the energy place.
4. The system for realizing self-adaptive rapid acquisition of futures and derivatives market quotations based on financial transactions according to claim 2, wherein the market quotation snapshot acquiring module specifically comprises:
the market data query unit is used for receiving a query request initiated by a user side and performing data query of a corresponding request instruction;
the data receiving and translating processing unit is used for analyzing the inquired market data and translating the analyzed result; and
and the quotation data receiving unit is connected with the data receiving and translating unit and used for receiving the quotation data after the translation processing and sending the quotation data to the quotation updating and storing module to carry out initialization processing on the quotation data.
5. The system for realizing self-adaptive extreme acquisition of futures and derivatives market quotations based on financial transactions according to claim 3, wherein the market quotation snapshot acquiring module is specifically configured to:
(a1) initiating a query instruction, and informing a software program to query the current-time futures and derivative snapshot market data;
(b1) acquiring all market information including but not limited to statements, deals, contracts and market statistics at the query moment;
(c1) receiving data returned by the query, and analyzing the quotation snapshot;
(d1) and sending the analyzed data to be used to the market information updating and storing module.
6. The system for realizing self-adaptive extreme acquisition of futures and derivatives market quotations based on financial transactions according to claim 2, wherein the channel optimization processing module is specifically configured to perform the following processing:
(a2) the channel optimization processing module identifies the market links of the upper place and the energy place according to the data priority;
(b2) extracting the incremental market information which arrives preferentially, and discarding the incremental market information of the redundant backup which arrives subsequently;
(c2) and the channel optimization processing module sends the processed unique market data to the market decoding processing module.
7. The system for realizing self-adaptive extreme acquisition of futures and derivatives market data based on financial transactions according to claim 2, wherein the market decoding processing module decodes the compression algorithm used by the place of arrival and energy and combined with Varint coding and zigbee coding, and restores the received compressed market data to market data under a normal protocol.
8. The system for implementing adaptive extreme acquisition of futures and derivatives market quotations based on financial transactions according to claim 2, wherein the adaptive acquisition processing module is further configured to:
the contract subscription method is used for adaptively distinguishing the proscenium and the energy place contracts and can accept a specific contract subscription request according to the subscription requirements of different users, so that the market subscribed by the users is only processed in a targeted manner, and the market decoding speed is improved.
9. A method for implementing adaptive extreme rate acquisition of futures and derivatives market quotations based on financial transactions by using the system of any one of claims 1 to 7, the method comprising the steps of:
(1) a user initiates a quotation snapshot query request to obtain quotation snapshot data;
(2) performing data analysis and translation processing on the acquired quotation snapshot data, and sending the data to the quotation updating and storing module for initialization;
(3) inputting incremental market data through the channel optimization processing module, and acquiring market data which is preferentially entered;
(4) decoding the market data through the market decoding processing module to recover the market data obtained under the normal protocol;
(5) performing self-adaptive subscription on the recovered market data, and calculating and storing the updated market data;
(6) and the market information distribution processing module transmits corresponding market information data according to different configurations.
10. The method for implementing financial transaction based futures and derivatives market adaptive very fast acquisition as claimed in claim 9, wherein said step (1) is specifically:
and the user hardware terminal initiates a snapshot query request to a market data query unit of the market snapshot acquisition module to query market data of the current season station or the energy station.
11. The method for implementing the self-adaptive extreme speed acquisition of futures and derivatives market quotations based on financial transactions according to claim 10, wherein the step (2) comprises the following steps:
(2.1) the data receiving and translating unit of the market snapshot obtaining module performs data analysis processing on the received market data of the current season or the energy source;
(2.2) the data receiving and translating unit translates the analyzed and processed corresponding market data;
(2.3) the data receiving and translating unit sends the translating result of the market data to the market updating and storing module for initialization for subsequent use.
12. The method for implementing financial transaction based futures and derivatives market adaptive very fast acquisition as claimed in claim 11, wherein said step (3) comprises the following steps:
(3.1) the incremental market information acquisition module receives the incremental market information of the main and standby energy sources and the previous period from two ports;
(3.2) the incremental market information acquisition module performs primary processing on the acquired market information, removes the Ethernet information and transmits the Ethernet information to the channel optimization processing module;
(3.3) the channel optimization processing module selects the quotation information which is arrived preferentially by comparing the self-carried data message numbers of the quotations and removes the redundant quotation information;
(3.4) the channel optimization processing module transmits the optimized incremental market data to the market decoding processing module.
13. The method for implementing financial transaction based futures and derivatives market adaptive very fast acquisition as claimed in claim 12, wherein said step (4) is specifically:
the market decoding processing module decodes the Varint code and the ZigZag code provided by the last place and the energy source, restores the market data into the market data of a normal protocol, and transmits the market data to the self-adaptive acquisition processing module.
14. The method for implementing financial transaction based futures and derivatives market adaptive very fast acquisition as claimed in claim 13, wherein said step (5) comprises the following steps:
(5.1) the self-adaptive acquisition processing module performs self-adaptive subscription on the market data under the normal protocol according to contract types according to subscription requirements of different users, and acquires the subscribed market data;
(5.2) the market updating and storing module combines the subscribed acquired data and the market data stored at the last moment with the incremental data to calculate;
and (5.3) the market updating and storing module updates and stores the market data at the current moment and simultaneously transmits the market data to the market distribution processing module.
15. An apparatus for enabling adaptive very fast acquisition of futures and derivatives market based financial transactions, the apparatus comprising:
a processor configured to execute computer-executable instructions;
a memory storing one or more computer-executable instructions that, when executed by the processor, perform the steps of the method for adaptive extreme rate acquisition of futures and derivatives market quotations based on financial transactions according to any one of claims 9 to 14.
16. A processor for adaptive extreme rate acquisition of futures and derivatives market conditions based on financial transactions, wherein the processor is configured to execute computer-executable instructions which, when executed by the processor, implement the steps of the method for adaptive extreme rate acquisition of futures and derivatives market conditions based on financial transactions of any one of claims 9 to 14.
17. A computer-readable storage medium having stored thereon a computer program executable by a processor to perform the steps of the method for adaptive extreme rate acquisition of futures and derivatives market rates based on financial transactions according to any one of claims 9 to 14.
Priority Applications (1)
| Application Number | Priority Date | Filing Date | Title |
|---|---|---|---|
| CN202111394700.XA CN114065007A (en) | 2021-11-23 | 2021-11-23 | System, method, device, processor and storage medium for realizing extremely fast acquisition of futures and derivatives market quotations based on financial transactions |
Applications Claiming Priority (1)
| Application Number | Priority Date | Filing Date | Title |
|---|---|---|---|
| CN202111394700.XA CN114065007A (en) | 2021-11-23 | 2021-11-23 | System, method, device, processor and storage medium for realizing extremely fast acquisition of futures and derivatives market quotations based on financial transactions |
Publications (1)
| Publication Number | Publication Date |
|---|---|
| CN114065007A true CN114065007A (en) | 2022-02-18 |
Family
ID=80279443
Family Applications (1)
| Application Number | Title | Priority Date | Filing Date |
|---|---|---|---|
| CN202111394700.XA Pending CN114065007A (en) | 2021-11-23 | 2021-11-23 | System, method, device, processor and storage medium for realizing extremely fast acquisition of futures and derivatives market quotations based on financial transactions |
Country Status (1)
| Country | Link |
|---|---|
| CN (1) | CN114065007A (en) |
Cited By (1)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| CN114615327A (en) * | 2022-02-25 | 2022-06-10 | 上海金仕达软件科技有限公司 | Method, device and system for optimizing market data and storage medium |
-
2021
- 2021-11-23 CN CN202111394700.XA patent/CN114065007A/en active Pending
Cited By (1)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| CN114615327A (en) * | 2022-02-25 | 2022-06-10 | 上海金仕达软件科技有限公司 | Method, device and system for optimizing market data and storage medium |
Similar Documents
| Publication | Publication Date | Title |
|---|---|---|
| US7404005B1 (en) | Method, system, and program for selecting one of multiple paths to communicate with a device | |
| CN105989539A (en) | Financial trading condition acquisition system and method | |
| CN110502364B (en) | Cross-cloud backup recovery method for big data sandbox cluster under OpenStack platform | |
| US20110066539A1 (en) | Method and System For Enhancing The Efficiency Of A Digitally Communicated Data Exchange | |
| JPH06223011A (en) | Computer and method data transfer | |
| CN104503801B (en) | Software upgrade instruction distribution method, the communication server and terminal device | |
| CN101197773B (en) | Packet compressed transmitting and received de-compression method and system based on multilink | |
| CN114065007A (en) | System, method, device, processor and storage medium for realizing extremely fast acquisition of futures and derivatives market quotations based on financial transactions | |
| CN113158650A (en) | Message processing method, device, equipment and storage medium | |
| US11562427B2 (en) | Customizable macro-based order entry protocol and system | |
| CN101510293A (en) | Method for transmitting securities market indent queue data | |
| EP2715635A1 (en) | Computer system for the exchange of messages | |
| CN113949417B (en) | Power grid data transmission method and device based on hybrid communication | |
| CN112491508B (en) | Data transmission method and device based on transmission process self-adaption | |
| CN112017049B (en) | Security quotation forwarding system and method | |
| CN102655480B (en) | Similar mail treatment system and method | |
| CN113377363B (en) | Cloud implementation method for automatically generating source codes for various electric control end private protocols | |
| CN112270536B (en) | POS-based aggregated payment method, system and related device | |
| CN116266283A (en) | Federal learning method and device, central server and data terminal | |
| CN104202124B (en) | A kind of erp packet communications method | |
| CN101471927A (en) | Method and device for processing document transmission and document transmission system | |
| CN112417015A (en) | Data distribution method and device, storage medium and electronic device | |
| CN104219231A (en) | Multi-protocol communication framework and communication method based on Android system | |
| CN110602225A (en) | Efficient packet receiving and sending method of linux system suitable for industrial control environment | |
| CN1790997A (en) | Stock market data transmission method |
Legal Events
| Date | Code | Title | Description |
|---|---|---|---|
| PB01 | Publication | ||
| PB01 | Publication | ||
| SE01 | Entry into force of request for substantive examination | ||
| SE01 | Entry into force of request for substantive examination |