CN115082228A - Data mode of primary mirror image and incremental transmission - Google Patents
Data mode of primary mirror image and incremental transmission Download PDFInfo
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- CN115082228A CN115082228A CN202110257576.6A CN202110257576A CN115082228A CN 115082228 A CN115082228 A CN 115082228A CN 202110257576 A CN202110257576 A CN 202110257576A CN 115082228 A CN115082228 A CN 115082228A
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- 230000005540 biological transmission Effects 0.000 title claims abstract description 25
- 238000013507 mapping Methods 0.000 claims abstract description 20
- 238000012545 processing Methods 0.000 claims abstract description 10
- 238000012163 sequencing technique Methods 0.000 claims abstract description 5
- 238000000034 method Methods 0.000 claims description 5
- 238000010276 construction Methods 0.000 claims description 3
- 238000010606 normalization Methods 0.000 claims description 3
- 238000013459 approach Methods 0.000 claims 3
- 238000012546 transfer Methods 0.000 claims 3
- 238000013461 design Methods 0.000 description 2
- 238000010586 diagram Methods 0.000 description 2
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- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
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- 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
- G06Q30/00—Commerce
- G06Q30/06—Buying, selling or leasing transactions
- G06Q30/0601—Electronic shopping [e-shopping]
- G06Q30/0633—Lists, e.g. purchase orders, compilation or processing
- G06Q30/0635—Processing of requisition or of purchase orders
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Abstract
The invention discloses a data mode of primary mirror image and increment transmission in the technical field of financial institution market data processing and electronic transaction, which comprises the steps that a server end forms an order book mirror image in real time to ensure that when a client end subscribes for the first time, full mirror image data is obtained, uniqueness of a certain line on an order book is solved by adopting a mapping key value, a consumer sequencing mode is informed by adopting a sequencing mark, and a client end API can realize primary mirror image and increment updating through the technical means to reduce the transmission data quantity to the maximum extent and improve the transmission efficiency.
Description
Technical Field
The invention relates to the technical field of financial institution market data processing and electronic transaction, in particular to a data mode of primary mirroring and incremental transmission.
Background
Foreign and domestic exchange markets (including a firm, a deep exchange, a futures exchange, a foreign and Chinese exchange center and the like) provide a trading mode for financial institutions to match, under the trading mode, orders of the financial institutions form a centralized central order book in the exchange, the order depth (or number) of the central order book of a certain asset is usually 10-50 according to market activity and the number of parties participating in price reporting, and the characteristic 1 of the central order book) is sorted according to the trading rules of the market, such as: the direct price reporting and buying can be arranged in a descending order; 2) the dynamic adjustment is made based on either a withdrawal of an order, an update of an order, or an addition of an order by the bidder.
In order for the exchange to send all information of the central order book to the financial institution, it is currently the practice that after the exchange forms the order book, all the mirror images (or snapshots) of the order book are pushed to the consumer. The disadvantage of this method is that the information transmitted each time is very much, and a large amount of transmission resources are occupied. And it may be a nearly impossible matter if hundreds or even thousands of order sheets are to be transmitted, the current exchange's transmission of such deep quotations is by 1) depth-limiting, typically 5 or 10; 2) the update frequency is limited and is typically transmitted once in 2s/3 s.
(reference: https:// zhuanlan. zhihu. com/p/92289814).
The snapshot mode in the prior art may cause an increase in the amount of data to be transmitted, and may consume processing time to form a snapshot in the central order book, so the disadvantage of the snapshot mode transmission is that it occupies transmission bandwidth and has low transmission efficiency.
Based on the method, the invention designs a data mode of primary mirroring and incremental transmission to solve the problems.
Disclosure of Invention
The invention aims to provide a data mode of primary mirroring and incremental transmission, which aims to solve the problems that the snapshot mode in the prior art causes the increase of the transmitted data volume and the processing time is consumed for forming a snapshot in a central order book, so that the transmission by the snapshot mode has the defects of occupying transmission bandwidth and relatively low transmission efficiency.
In order to achieve the purpose, the invention provides the following technical scheme: the method comprises the following steps:
the server side forms an order thin mirror image in real time to ensure that full mirror image data is obtained when a client side (a consumer) subscribes for the first time.
Mapping key values are used to resolve the uniqueness of a certain line in the order book.
And informing the consumer of the sorting mode by adopting the sorting indication.
Through the technical means, the client API can realize initial mirroring and incremental updating, so that the transmission data volume is reduced to the maximum extent, and the transmission efficiency is improved.
As a further aspect of the present invention, the mapping key is used to indicate uniqueness of a certain row on the order book, the mapping key is a group of characters, the group of characters is used to distinguish different rows, for different types of central order books, the creating manner of the mapping key is different, and for order books created according to the order form, the construction rule of the mapping key is as follows:
order number order direction and special mark
The order number is a character type, usually the order number of the original order is taken, 1 if the order number includes the buying and selling direction, the buying and selling direction needs to be removed, and 2 if the character is too long, the order number needs to be intercepted and subjected to the normalization processing.
The order direction, usually represented by B for market buy and A for market sell.
The special mark is used for processing the order number and the scene that the buying and selling direction cannot uniquely distinguish a certain line on the order book, such as: the market order is a batch order that includes a plurality of sub-orders that need to be further differentiated with special labels.
As a further aspect of the present invention, the sorting flag is used to indicate a sorting manner of the order book, and there are three parameters to indicate the sorting manner:
order price ordering rule, 1-Normal ordering, typically buy price from high to low and sell price from low to high; 2-reverse ordering, as opposed to the rule of 1.
Price type, 1-price is sorted by price domain of order book; 2-profitability, over-ranking with profitability in the order book.
Order book ordering rules:
1 are sorted by price, volume payable, time.
2 are ordered by price, time, and volume of deals.
3 ordering by order type, price, time, available volume.
10 are sorted by time only.
As a further scheme of the present invention, the client of the client API makes a first subscription, the server returns a sorting flag of the full-mirror order book containing the order book, and a subsequent subscription continuously updates the order containing the mapping key value.
Compared with the prior art, the invention has the beneficial effects that:
the invention has reasonable design, adopts the technical means of full mirror image and incremental updating data and combining the mapping key value and the sequencing mark, optimizes the transmission bandwidth occupation of the market order book and improves the updating efficiency, and is particularly suitable for the central market order book with the market depth more than 10 layers.
Drawings
In order to more clearly illustrate the technical solutions of the embodiments of the present invention, the drawings used in the description of the embodiments will be briefly introduced below, and it is obvious that the drawings in the following description are only some embodiments of the present invention, and it is obvious for those skilled in the art that other drawings can be obtained according to the drawings without creative efforts.
FIG. 1 is a schematic diagram of a mirror mixing module according to the present invention;
FIG. 2 is a schematic diagram illustrating a data subscription process of the API of the client according to the present invention.
Detailed Description
The technical solutions in the embodiments of the present invention will be clearly and completely described below with reference to the drawings in the embodiments of the present invention, and it is obvious that the described embodiments are only a part of the embodiments of the present invention, and not all of the embodiments. All other embodiments, which can be derived by a person skilled in the art from the embodiments given herein without making any creative effort, shall fall within the protection scope of the present invention.
Referring to fig. 1-2, the present invention provides a technical solution: a data mode of primary mirroring and incremental transmission comprises the following steps:
the server side forms an order thin mirror image in real time to ensure that full mirror image data is obtained when a client side (a consumer) subscribes for the first time.
Mapping key values are used to resolve the uniqueness of a certain line in the order book.
And informing the consumer of the sorting mode by adopting the sorting indication.
Through the technical means, the client API can realize initial mirroring and incremental updating, so that the transmission data volume is reduced to the maximum extent, and the transmission efficiency is improved.
The mapping key value is used for marking the uniqueness of a certain line on the order book, the mapping key value is a group of characters, the group of characters is used for distinguishing different lines, the creating mode of the mapping key value is different for different types of central order books, and the construction rule of the mapping key value is as follows for order books created according to the order mode:
order number order direction and special mark
The order number is a character type, and is usually the order number of the original order, 1 if the order number includes the business direction, the business direction needs to be removed, and 2 if the character is too long, the order number needs to be intercepted and subjected to the normalization processing.
The order direction, usually represented by B for market buy and A for market sell.
The special mark is used for processing the order number and the scene that the buying and selling direction cannot uniquely distinguish a certain line on the order book, such as: the market order is a batch order that includes a plurality of sub-orders that need to be further differentiated with special labels.
The sorting mark is used for marking the sorting mode of the order book, and three parameters are used for marking the sorting mode:
order price ordering rule, 1-Normal ordering, typically buy price from high to low and sell price from low to high; 2-reverse ordering, as opposed to the rule of 1.
Price type, 1-price is sorted by price domain of order book; 2-profitability, over-ranking with profitability in the order book.
Order book ordering rules:
1 are sorted by price, volume payable, time.
2 are sorted by price, time, and amount payable.
3 ordering by order type, price, time, available volume.
10 are sorted by time only.
And the client side of the client side API makes a first subscription, the server side returns a sequencing mark of the full-image order book containing the order book, and the subsequent subscription continuously updates the order containing the mapping key value.
In the description herein, references to the description of "one embodiment," "an example," "a specific example" or the like are intended to 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.
The preferred embodiments of the invention disclosed above are intended to be illustrative only. The preferred embodiments are not intended to be exhaustive or to limit the invention to the precise embodiments disclosed. Obviously, many modifications and variations are possible in light of the above teaching. The embodiments were chosen and described in order to best explain the principles of the invention and the practical application, to thereby enable others skilled in the art to best utilize the invention. The invention is limited only by the claims and their full scope and equivalents.
Claims (4)
1. A data mode of primary mirror image and increment transmission is characterized in that: the method comprises the following steps:
the server side forms an order thin mirror image in real time to ensure that when a client (consumer) subscribes for the first time, full mirror image data are acquired:
and solving the uniqueness of a certain line on the order book by adopting a mapping key value:
and informing the consumer of the sorting mode by adopting a sorting mark:
through the technical means, the client API can realize initial mirroring and incremental updating, so that the transmission data volume is reduced to the maximum extent, and the transmission efficiency is improved.
2. A primary mirroring and incremental transfer data approach as recited in claim 1 wherein: the mapping key value is used for marking the uniqueness of a certain line on the order book, the mapping key value is a group of characters, the group of characters is used for distinguishing different lines, the creating modes of the mapping key value are different for different types of central order books, and the construction rule of the mapping key value is as follows for the order book created according to the order mode:
order number order direction and special mark
The order number is a character type, and is usually the order number of the original order, 1 if the order number includes the business direction, the business direction needs to be removed, and 2 if the character is too long, the order number needs to be intercepted and subjected to the normalization processing.
Order directions, typically with B for market buy and a for market sell: the special mark is used for processing the order number and the scene that the buying and selling direction cannot uniquely distinguish a certain line on the order book, such as: the market order is a batch order that includes a plurality of sub-orders that need to be further differentiated with special labels.
3. A primary mirroring and incremental transfer data approach as recited in claim 1 wherein: the sorting mark is used for marking the sorting mode of the order book, and three parameters are used for marking the sorting mode:
order price ordering rule, 1-Normal ordering, typically buy price from high to low and sell price from low to high; 2-reverse ordering, as opposed to the rule of 1:
price type, 1-price is sorted by price domain of order book; 2-profitability, over-ranking with profitability in order book:
order book ordering rules:
sorting according to price, available volume and time:
sorting according to price, time and available volume:
sorting according to order type, price, time, available volume:
the sorting is done only in terms of time.
4. A primary mirroring and incremental transfer data approach as recited in claim 1 wherein: and the client side of the client side API makes a first subscription, the server side returns a sequencing mark of the full-image order book containing the order book, and the subsequent subscription continuously updates the order containing the mapping key value.
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| Application Number | Priority Date | Filing Date | Title |
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| CN202110257576.6A CN115082228A (en) | 2021-03-10 | 2021-03-10 | Data mode of primary mirror image and incremental transmission |
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| CN202110257576.6A CN115082228A (en) | 2021-03-10 | 2021-03-10 | Data mode of primary mirror image and incremental transmission |
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Citations (7)
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|---|---|---|---|---|
| US20020169740A1 (en) * | 1998-08-17 | 2002-11-14 | Christian Korn | Method of and an apparatus for merging a sequence of delta files |
| US20030172316A1 (en) * | 2002-03-06 | 2003-09-11 | Tremblay Glenn A. | Producing a mirrored copy using incremental-divergence |
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2021
- 2021-03-10 CN CN202110257576.6A patent/CN115082228A/en active Pending
Patent Citations (7)
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| US20020169740A1 (en) * | 1998-08-17 | 2002-11-14 | Christian Korn | Method of and an apparatus for merging a sequence of delta files |
| US20030172316A1 (en) * | 2002-03-06 | 2003-09-11 | Tremblay Glenn A. | Producing a mirrored copy using incremental-divergence |
| CN1852309A (en) * | 2005-11-16 | 2006-10-25 | 华为技术有限公司 | Data synchronizing processing method and its client end |
| CN101515362A (en) * | 2008-12-26 | 2009-08-26 | 上证所信息网络有限公司 | Method for transmitting data of an overall snapshot of a securities quotation order |
| US20170053349A1 (en) * | 2015-08-19 | 2017-02-23 | Chicago Mercantile Exchange Inc. | Optimized Electronic Match Engine With External Generation Of Market Data Using a Minimum Data Set |
| CN106446061A (en) * | 2016-09-06 | 2017-02-22 | 上海云轴信息科技有限公司 | Method and device for storing virtual machine images |
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