CN115378847A - Security market delay measurement system and method - Google Patents
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Abstract
The invention relates to a security market delay measuring system and method, the system includes: the system comprises a quotation delay measuring module, a monitoring display module, at least one quotation decoding and forwarding module and at least one quotation receiving SDK; the quotation decoding and forwarding module is used for receiving the snapshot data and the stroke-by-stroke data output by the quotation gateway, decoding and preferentially processing the snapshot data and the stroke-by-stroke data, and distributing the decoded snapshot data and the decoded preferentially processed stroke-by-stroke data to the quotation receiving SDK through multicast; the market receiving SDK is used for receiving the decoded snapshot data and the stroke-by-stroke data and submitting the data to a user-defined market processing module for analysis processing; the market delay measuring module is used for measuring the delay of the market gateway and the market decoding and forwarding module to obtain market penetration delay and sending delay data to the monitoring and displaying module; the monitoring display module is used for displaying the operation data and the time delay data of the market system, and the testability and the accuracy of market speed measurement can be improved.
Description
Technical Field
The invention relates to the technical field of computers, in particular to a security quotation delay measurement system and method.
Background
The multi-channel optimization scheme of the existing market situation system is to judge and optimize based on the sequence number in the data by data, and the snapshot data without the sequence number is not optimized, and the snapshot data and the data by data are merged, once the data is blocked, the blocking condition may occur at the sending end, and may also occur at the receiving end, which affects the sending or receiving of another type of data. In addition, the client cannot selectively receive snapshots or stroke-by-stroke data. The existing market system lacks a matched delay statistical system, or the delay statistical function has the following defects: firstly, developers and security traders of the market system usually use simulation market sending software to test in a test environment, but the simulation market sending software is different from the working mechanism of a trading exchange market gateway, so that the measured data is incorrect; secondly, when recording the time point, if software is adopted to stamp the time, although the cost is lower and the development is simple, the measurement precision is not high and the error is larger; thirdly, if a networking mode of a layer of switch or splitter mirror image is adopted to measure time delay, although the measurement precision is high, expensive mirror image equipment needs to be purchased and the networking needs to be adjusted, so that the method has certain intrusiveness on a production network and reduces the reliability of the production environment; if the mirror function of the existing switch of the production network is used, the performance of the switch is affected, and problems such as packet loss and the like due to too large flow caused by incapability of setting a filter may occur.
Disclosure of Invention
The invention aims to provide a security market delay measurement system and method, which can improve the accuracy and the testability of market speed measurement.
In order to achieve the above object, in a first aspect, the present invention provides a system for measuring a time delay of stock quotation, the system includes a quotation time delay measuring module, a monitoring display module, at least one quotation decoding and forwarding module, and at least one quotation receiving SDK;
the quotation decoding and forwarding module is connected with the quotation receiving SDK and at least one quotation gateway and is used for receiving snapshot data and batch-by-batch data output by the quotation gateway, decoding and preferentially processing the snapshot data and the batch-by-batch data, and distributing the decoded snapshot data and the batch-by-batch data to the quotation receiving SDK through multicast;
the market receiving SDK is used for receiving the decoded snapshot data and the stroke-by-stroke data and submitting the snapshot data and the stroke-by-stroke data to a user-defined market processing module for analysis and processing;
the quotation delay measuring module is connected with the quotation decoding and forwarding module, the monitoring and displaying module and at least one quotation gateway, and is used for measuring the delay of the quotation gateway and the quotation decoding and forwarding module to obtain the quotation penetration delay and sending the delay data to the monitoring and displaying module;
and the monitoring display module is used for displaying the operation data and the time delay data of the market information system.
Optionally, the stroke-by-stroke data includes stroke-by-stroke entrustment data and stroke-by-stroke transaction data, and the market decoding and forwarding module is configured to preferentially process the snapshot data and the stroke-by-stroke data in the following manner:
if the quotation gateways connected with the quotation decoding and forwarding module are Level-2 quotation gateways, the snapshot data with the latest timestamp is preferentially selected for the snapshot data with the same code, the consignation data with the latest sequence number is preferentially selected for the consignation data with the same code, and the consignation data with the latest sequence number is preferentially selected for the consignation data with the same code;
if the market decoding and forwarding module is connected with Level-1 and Level-2 market gateways at the same time, the market decoding and forwarding module decodes and issues data at the same time for receiving SDK (service description kit) preference.
Optionally, the market decoding and forwarding module is configured to distribute the snapshot data and the batch-by-batch data after decoding processing and preferential processing to the market receiving SDK in one of the following manners:
combining the decoded and preferentially processed snapshot data and the one-by-one data in a thread, and sending the snapshot data and the one-by-one data to the market situation receiving SDK through a multicast address;
and respectively dividing the decoded and preferentially processed snapshot data and the one-by-one data into two different threads and sending the two different threads to the market receiving SDK through different multicast addresses.
Optionally, the market penetration delay measuring module is configured to obtain the market penetration delay by:
T2-T1＝T2-T1'+(T1'-T1)＝T2'-T1”+(T1'-T1)
t2 is the time that the market data are processed by the market gateway and the market decoding and forwarding module and then sent out by the switch, T1 is the time that the original market data are received by the switch, T1' is the time that the original market data are sent by the switch, T2' is the time that the network card of the server where the delay measurement module is located receives the decoded market data, T1' is the time that the network card of the server where the market delay measurement module is located receives the original market data, and for a local area network environment, T2-T1' = T2' -T1', wherein T2, T1', T2' and T1' are hardware timestamps, and the precision is nanosecond level.
Optionally, wherein (T1 '-T1) is a penetration delay of the switch, and (T1' -T1) is determined by:
(T1'-T1)＝((T4'-T3')-(T4-T3))/2
the method comprises the steps that T3 is time when a speed measuring program 1 directly sends data to a speed measuring program 2, the speed measuring program 2 directly returns the data to the speed measuring program 1 after receiving the data, T4 is time when the speed measuring program 1 receives the data directly returned by the speed measuring program 2, the speed measuring program 1 and the speed measuring program 2 are respectively arranged on two servers, T3 'is time when the speed measuring program 1 sends the data to the speed measuring program 2 under the condition that the speed measuring program 1 forwards through an exchanger, the speed measuring program 2 returns the data to the speed measuring program 1 through an exchanger after receiving the data, T4' is time when the speed measuring program 1 receives the data returned by the speed measuring program 2 through the exchanger, wherein T3, T4, T3 'and T4' are hardware timestamps, and the precision is nanosecond level.
Optionally, the monitoring display module is used for summarizing and counting the running data and the delay data of the market system at preset intervals, the monitoring display module provides a WEB interface for a user to inquire the running data and the delay data of the market system, and the monitoring display module is used for outputting alarm information to the user when the market monitoring value is larger than a preset specified threshold value.
In a second aspect, the present invention provides a method for measuring time delay of stock quotation, comprising the following steps:
s1, a quotation decoding and forwarding module receives snapshot data and piecemeal data output by a quotation gateway, decodes and preferentially processes the snapshot data and the piecemeal data, and distributes the decoded and preferentially processed snapshot data and the piecemeal data to a quotation receiving SDK through multicast, wherein the quotation decoding and forwarding module is connected with the quotation receiving SDK and at least one quotation gateway;
s2, the quotation receiving SDK receives the decoded snapshot data and the decoded stroke-by-stroke data and submits the snapshot data and the stroke-by-stroke data to a quotation processing module defined by a user for analysis and processing;
s3, the market delay measuring module measures the delay of the market gateway and the market decoding and forwarding module to obtain market penetration delay and sends delay data to the monitoring and displaying module, wherein the market delay measuring module is connected with the market decoding and forwarding module, the monitoring and displaying module and at least one market gateway;
and S4, the monitoring display module displays the operation data and the time delay data of the market information system.
Optionally, the data-by-data includes entrusted data and transaction data, in step S1, if the quotation gateways connected to the quotation decoding and forwarding module are Level-2 quotation gateways, for snapshot data with the same code, snapshot data with the latest timestamp is preferentially selected, for snapshot data with the same code, entrusted data with the latest sequence number is preferentially selected, for transaction data with the same code, transaction data with the latest sequence number is preferentially selected, and if the quotation decoding and forwarding module is connected to both Level-1 and Level-2 quotation gateways, the quotation decoding and forwarding module decodes and issues the data at the same time for receiving SDK preference.
Alternatively, in step S1,
the quotation decoding and forwarding module combines the decoded and preferentially processed snapshot data and the stroke-by-stroke data in a thread and sends the snapshot data and the stroke-by-stroke data to the quotation receiving SDK through a multicast address; alternatively, the first and second electrodes may be,
the quotation decoding and forwarding module divides the decoded and preferentially processed snapshot data and the one-by-one data into two different threads respectively and sends the two different threads to the quotation receiving SDK through different multicast addresses.
Optionally, in step S3, the market delay measuring module obtains the market penetration delay by:
T2-T1＝T2-T1'+(T1'-T1)＝T2'-T1”+(T1'-T1)
t2 is the time that the market data are processed by the market gateway and the market decoding and forwarding module and then sent out by the switch, T1 is the time that the original market data are received by the switch, T1' is the time that the original market data are sent by the switch, T2' is the time that the network card of the server where the delay measurement module is located receives the decoded market data, T1' is the time that the network card of the server where the market delay measurement module is located receives the original market data, and for a local area network environment, T2-T1' = T2' -T1', wherein T2, T1', T2' and T1' are hardware timestamps, and the precision is nanosecond level.
Through the technical scheme, the security quotation delay measurement system comprises a quotation delay measurement module, a monitoring display module, at least one quotation decoding and forwarding module and at least one quotation receiving SDK, extra network equipment is not needed to be added, the existing networking is not invasive, the quotation delay measurement module is only needed to be accessed into a network of a production environment, and the real quotation penetration delay can be measured. The technical scheme can measure the quotation gateway, the quotation decoding and forwarding module or the combination of the quotation gateway and the quotation decoding and forwarding module respectively to optimize pertinence, during measurement, each kind of quotation data of each code of each channel of quotation can be subdivided, the measured data can be written into the database in real time, so that statistics and display are facilitated, in addition, the running condition of a security quotation system can be monitored more finely, the system is ensured to run stably and efficiently, the transmission speed of the securities quotation in a local area network and a wide area network is increased, the accuracy and the testability of quotation speed measurement are improved, and the relation between the measurement precision and the measurement cost is balanced.
Drawings
Fig. 1 is a schematic diagram of a stock market delay measurement system.
Fig. 2 is a schematic diagram of a market decoding and forwarding module.
Fig. 3 is a network topology diagram involved in delay measurement by the market delay measurement module.
Fig. 4 is a diagram of a switch latency measurement network topology.
Detailed Description
In order to make the objects, technical solutions and advantages of the present invention more apparent, the present invention is described in further detail below with reference to the accompanying drawings and embodiments. It should be understood that the specific embodiments described herein are merely illustrative of the invention and are not intended to limit the invention.
Fig. 1 is a schematic diagram of a stock market delay measurement system, as shown in fig. 1, the system includes a market delay measurement module, a monitoring display module, at least one market decoding and forwarding module, and at least one market receiving SDK;
the quotation decoding and forwarding module is connected with the quotation receiving SDK and at least one quotation gateway and is used for receiving the snapshot data and the stroke-by-stroke data output by the quotation gateway, decoding and preferentially processing the snapshot data and the stroke-by-stroke data, and distributing the decoded snapshot data and the decoded preferentially processed stroke-by-stroke data to the quotation receiving SDK through multicast;
the market receiving SDK is used for receiving the decoded snapshot data and the stroke-by-stroke data and submitting the snapshot data and the stroke-by-stroke data to a user-defined market processing module for analysis and processing;
the quotation time delay measuring module is connected with the quotation decoding and forwarding module, the monitoring display module and at least one quotation gateway, and is used for measuring the time delay of the quotation gateway and the quotation decoding and forwarding module to obtain the quotation penetration time delay and sending time delay data to the monitoring display module;
and the monitoring display module is used for displaying the operation data and the time delay data of the market information system.
Through the technical scheme, the security quotation delay measurement system comprises a quotation delay measurement module, a monitoring display module, at least one quotation decoding and forwarding module and at least one quotation receiving SDK (software development kit), extra network equipment is not needed to be added, the existing networking is not invasive, the quotation delay measurement module is only needed to be accessed into a network of a production environment, and the real quotation penetration delay can be measured. The technical scheme can measure the quotation gateway, the quotation decoding and forwarding module or the combination of the quotation gateway and the quotation decoding and forwarding module respectively to optimize pertinence, during measurement, each kind of quotation data of each code of each channel of quotation can be subdivided, the measured data can be written into the database in real time, so that statistics and display are facilitated, in addition, the running condition of a securities quotation system can be monitored more finely, the system is ensured to run stably and efficiently, the transmission speed of the securities quotation in a local area network and a wide area network is increased, the accuracy and the testability of quotation speed measurement are improved, and the relation between the measurement precision and the measurement cost is balanced.
Fig. 2 is a schematic diagram of a market condition decoding and forwarding module, and as shown in fig. 2, each market condition decoding and forwarding module supports interfacing with a plurality of market condition gateways, which realizes backup of input data and can optimize multiple paths of input data.
The market decoding and forwarding module is used for carrying out preferential treatment on the snapshot data and the stroke-by-stroke data in the following way:
if the quotation gateways connected with the quotation decoding and forwarding module are Level-2 quotation gateways, the snapshot data with the latest timestamp is preferentially selected for the snapshot data with the same code, the consignation data with the latest sequence number is preferentially selected for the consignation data with the same code, and the consignation data with the latest sequence number is preferentially selected for the consignation data with the same code;
if the market decoding and forwarding module is connected with Level-1 and Level-2 market gateways at the same time, the market decoding and forwarding module decodes and issues data at the same time for receiving SDK (service description kit) preference.
If the market decoding and forwarding module is simultaneously accessed to Level-1 and Level-2 market gateways, decoding and issuing are simultaneously carried out for receiving SDK preference.
The market decoding and forwarding module can mark the preferred data with the category (snapshot, entrustment or transaction data) and the sequence number according to the category, and send the preferred data to the market receiving SDK.
In the invention, the quotation decoding and forwarding module is used for distributing the snapshot data and the stroke-by-stroke data after decoding processing and preferential processing to the quotation receiving SDK in one of the following modes:
combining the snapshot data and the stroke-by-stroke data after decoding processing and preferential processing in a thread, and sending the snapshot data and the stroke-by-stroke data to the market condition receiving SDK through a multicast address;
and respectively dividing the decoded and preferentially processed snapshot data and the one-by-one data into two different threads and sending the two different threads to the market receiving SDK through different multicast addresses.
That is, the decode-and-forward module supports combining the snapshot and the stroke-by-stroke data in one thread for processing and sending the data from one multicast address, and supports processing divided into two threads and sending the data divided into two multicast addresses.
The market receiving SDK supports the butt joint of a plurality of market decoding and forwarding modules and receives the same type of market data from a plurality of multicast addresses. On one hand, hot standby of input data is realized, and on the other hand, multiple paths of input data can be further preferred: the decoding forwarding module can independently number the same type of data of the same code, and the SDK can preferably select the data with updated serial numbers; if the data sent upstream contains Level-1 data and the SDK configures the snapshot allowing the optimization of Level-1, the snapshots of Level-1 and Level-2 will be optimized.
The market receiving SDK may receive the snapshot and the market by market from the two multicast addresses respectively (the snapshot and the market by market are sent by the decode and forward module as two multicast addresses), or may select to receive only the snapshot or the market by market.
Fig. 3 is a network topology diagram related to delay measurement performed by the market delay measurement module, where the market delay measurement module supports high-precision hardware timestamps to be stamped on all data packets flowing through the network card where the device is located, an error of the hardware clock is zero, and a drift of twenty-four hours is less than one millionth. The MDGW multicast is original market data sent by a trading post, and the private protocol multicast is market data processed by a market gateway and a market decoding and forwarding module, which is abbreviated as: decoded market data.
The market delay measuring module is used for obtaining the market penetration delay in the following mode:
T2-T1＝T2-T1'+(T1'-T1)＝T2'-T1”+(T1'-T1)
t2 is the time that the market data is processed by the market gateway and the market decoding and forwarding module and then sent out by the switch;
t1 is the time when the exchanger receives the original market data;
t1' is the time for the exchanger to send the original market data;
t2' is the time when the network card of the server where the delay measurement module is located receives the decoded market data;
t1' is the time when the network card of the server where the market delay measurement module is located receives the original market data, and for the local area network environment, T2-T1' = T2' -T1', wherein T2, T1', T2', T1' are all hardware timestamps, and the precision is nanosecond level.
The market delay measurement module supports decoding of data before and after the Level-1 and Level-2 market gateways of the deep exchanges and the upper exchanges, and also supports decoding of market data (namely, a private protocol in the figure) output by the market system. The actual measurement result shows that the time delay of T2-T1 is in the order of hundred microseconds, the error introduced by the measurement is less than 1 microsecond, the error rate is less than 1 percent, and the measurement requirement is met.
Fig. 4 is a network topology diagram of switch latency measurement, and fig. 3 and 4 both take a switch as a three-layer switch as an example, where (T1 '-T1) is the penetration latency of the switch, and (T1' -T1) is determined as follows:
(T1'-T1)＝((T4'-T3')-(T4-T3))/2
the method comprises the steps that T3 is time when a speed measuring program 1 directly sends data to a speed measuring program 2, the speed measuring program 2 directly returns the data to the speed measuring program 1 after receiving the data, T4 is time when the speed measuring program 1 receives the data directly returned by the speed measuring program 2, the speed measuring program 1 and the speed measuring program 2 are respectively arranged on two servers, T3 'is time when the speed measuring program 1 sends the data to the speed measuring program 2 under the condition that the speed measuring program 1 forwards through an exchanger, the speed measuring program 2 returns the data to the speed measuring program 1 through an exchanger after receiving the data, T4' is time when the speed measuring program 1 receives the data returned by the speed measuring program 2 through the exchanger, wherein T3, T4, T3 'and T4' are hardware timestamps, and the precision is nanosecond level.
Taking the switch as an example of a three-layer switch, (T1' -T1) is the penetration delay of the switch, and is about 200 nanoseconds for a certain type of low-delay switch commonly used in the financial industry.
In the invention, the monitoring display module is used for summarizing and counting the running data and the time delay data of the market system at intervals of preset time, the monitoring display module provides a WEB interface for a user to inquire the running data and the time delay data of the market system, and the monitoring display module is used for outputting alarm information to the user when the market monitoring value is greater than a preset specified threshold value. The monitoring display module collects and counts the detail data in the database at regular intervals according to time, and collects the data such as the average value, the median, the minimum value, the maximum value, the standard deviation and the like according to time units such as N seconds, N minutes, N hours, N days and the like, wherein N is more than or equal to 1. The preset duration and the preset specified threshold can be preset, and the value of the preset duration and the preset specified threshold is not limited.
Based on the same inventive concept, the invention provides a security market delay measurement method, which comprises the following steps:
s1, a quotation decoding and forwarding module receives snapshot data and successive data output by a quotation gateway, decodes and preferentially processes the snapshot data and the successive data, and distributes the decoded snapshot data and the successive data after the decoding and the preferentially processes to a quotation receiving SDK through multicast, wherein the quotation decoding and forwarding module is connected with the quotation receiving SDK and at least one quotation gateway;
s2, the quotation receiving SDK receives the decoded snapshot data and the decoded stroke-by-stroke data and submits the snapshot data and the stroke-by-stroke data to a quotation processing module defined by a user for analysis and processing;
s3, the quotation time delay measuring module measures time delay of the quotation gateway and the quotation decoding and forwarding module to obtain quotation penetration time delay, and sends time delay data to the monitoring and displaying module, wherein the quotation time delay measuring module is connected with the quotation decoding and forwarding module, the monitoring and displaying module and at least one quotation gateway;
and S4, the monitoring display module displays the operation data and the time delay data of the market information system.
Optionally, the data-by-data includes entrusted data and transaction data, in step S1, if the quotation gateways connected to the quotation decoding and forwarding module are Level-2 quotation gateways, for snapshot data with the same code, snapshot data with the latest timestamp is preferentially selected, for snapshot data with the same code, entrusted data with the latest sequence number is preferentially selected, for transaction data with the same code, transaction data with the latest sequence number is preferentially selected, and if the quotation decoding and forwarding module is connected to both Level-1 and Level-2 quotation gateways, the quotation decoding and forwarding module decodes and issues the data at the same time for receiving SDK preference.
Alternatively, in step S1, the step of,
the quotation decoding and forwarding module combines the decoded and preferentially processed snapshot data and stroke-by-stroke data in one thread and sends the data to the quotation receiving SDK through a multicast address; alternatively, the first and second electrodes may be,
the market condition decoding and forwarding module divides the decoded and preferentially processed snapshot data and stroke-by-stroke data into two different threads respectively and sends the two different threads to the market condition receiving SDK through different multicast addresses.
Optionally, in step S3, the market delay measuring module obtains the market penetration delay by:
T2-T1＝T2-T1'+(T1'-T1)＝T2'-T1”+(T1'-T1)
the system comprises a market information acquisition module, a market information decoding and forwarding module, a network card, a time delay measurement module, a network card, a local area network environment and a local area network environment, wherein T2 is the time that market information data are processed by the market information gateway and the market information decoding and forwarding module and then are sent out by a switch, T1 is the time that the switch receives original market information data, T1' is the time that the switch sends the original market information data, T2' is the time that the network card of a server where the time delay measurement module is located receives the decoded market information data, T1' is the time that the network card of the server where the market information delay measurement module is located receives the original market information data, and T2-T1' = T2' -T1' is used for the local area network environment, wherein T2, T1', T2' and T1' are hardware timestamps, and the precision is nanosecond level.
While the invention has been described with reference to specific preferred embodiments, it will be understood by those skilled in the art that various changes and modifications may be made without departing from the spirit and scope of the invention as defined in the following claims. Therefore, the protection scope of the present invention should be subject to the protection scope of the claims.
Claims (10)
1. A security quotation delay measurement system is characterized by comprising a quotation delay measurement module, a monitoring display module, at least one quotation decoding and forwarding module and at least one quotation receiving SDK;
the quotation decoding and forwarding module is connected with the quotation receiving SDK and at least one quotation gateway and is used for receiving the snapshot data and the stroke-by-stroke data output by the quotation gateway, decoding and preferentially processing the snapshot data and the stroke-by-stroke data, and distributing the decoded snapshot data and the decoded preferentially processed stroke-by-stroke data to the quotation receiving SDK through multicast;
the market receiving SDK is used for receiving the decoded snapshot data and the stroke-by-stroke data and submitting the snapshot data and the stroke-by-stroke data to a user-defined market processing module for analysis and processing;
the quotation time delay measuring module is connected with the quotation decoding and forwarding module, the monitoring display module and at least one quotation gateway, and is used for measuring the time delay of the quotation gateway and the quotation decoding and forwarding module to obtain the quotation penetration time delay and sending time delay data to the monitoring display module;
and the monitoring display module is used for displaying the operation data and the time delay data of the market information system.
2. The system according to claim 1, wherein the data-by-data includes entrusted data and bargained data, and the market decoding forwarding module is configured to preferentially process the snapshot data and the bargained data by:
if the quotation gateways connected with the quotation decoding and forwarding module are Level-2 quotation gateways, selecting the snapshot data with the latest timestamp preferentially for the snapshot data with the same code, selecting the consignation data with the latest sequence number preferentially for the consignation data with the same code, and selecting the consignation data with the latest sequence number preferentially for the consignation data with the same code;
if the market decoding and forwarding module is connected with Level-1 and Level-2 market gateways at the same time, the market decoding and forwarding module decodes and issues data at the same time for receiving SDK (software development kit) preference.
3. The system according to claim 1, wherein the market decoding and forwarding module is configured to distribute the decoded and preferentially processed snapshot data and the stroke-by-stroke data to the market receiving SDK by one of:
combining the decoded and preferentially processed snapshot data and the one-by-one data in a thread, and sending the snapshot data and the one-by-one data to the market situation receiving SDK through a multicast address;
and respectively dividing the decoded and preferentially processed snapshot data and the one-by-one data into two different threads and sending the two different threads to the market receiving SDK through different multicast addresses.
4. The system of claim 1, wherein the market delay measurement module is configured to obtain the market penetration delay by:
T2-T1＝T2-T1'+(T1'-T1)＝T2'-T1”+(T1'-T1)
t2 is the time that the market data are processed by the market gateway and the market decoding and forwarding module and then sent out by the switch, T1 is the time that the original market data are received by the switch, T1' is the time that the original market data are sent by the switch, T2' is the time that the network card of the server where the delay measurement module is located receives the decoded market data, T1' is the time that the network card of the server where the market delay measurement module is located receives the original market data, and for a local area network environment, T2-T1' = T2' -T1', wherein T2, T1', T2' and T1' are hardware timestamps, and the precision is nanosecond level.
5. The system of claim 4, wherein (T1 '-T1) is a penetration delay of the switch, and (T1' -T1) is determined by:
(T1'-T1)＝((T4'-T3')-(T4-T3))/2
the method comprises the steps that T3 is the time when a speed measuring program 1 directly sends data to a speed measuring program 2, the speed measuring program 2 directly returns the data to the speed measuring program 1 after receiving the data, T4 is the time when the speed measuring program 1 receives the data directly returned by the speed measuring program 2, the speed measuring program 1 and the speed measuring program 2 are respectively arranged on two servers, T3 'is the time when the speed measuring program 1 sends the data to the speed measuring program 2 under the condition that the speed measuring program 1 forwards the data through an exchanger, the speed measuring program 2 returns the data to the speed measuring program 1 through an exchanger after receiving the data, T4' is the time when the speed measuring program 1 receives the data returned by the speed measuring program 2 through the exchanger, wherein T3, T4, T3 'and T4' are hardware timestamps, and the precision is nanosecond level.
6. The system according to claim 1, wherein the monitoring and displaying module is configured to perform summary statistics on the operation data and the delay data of the market system every preset time period, the monitoring and displaying module provides a WEB interface for a user to query the operation data and the delay data of the market system, and the monitoring and displaying module is configured to output warning information to the user when the market monitoring value is greater than a preset specified threshold value.
7. A time delay measurement method for stock quotation is characterized by comprising the following steps:
s1, a quotation decoding and forwarding module receives snapshot data and successive data output by a quotation gateway, decodes and preferentially processes the snapshot data and the successive data, and distributes the decoded snapshot data and the successive data after the decoding and the preferentially processes to a quotation receiving SDK through multicast, wherein the quotation decoding and forwarding module is connected with the quotation receiving SDK and at least one quotation gateway;
s2, the market condition receiving SDK receives the decoded snapshot data and the stroke-by-stroke data and submits the data to a market condition processing module defined by a user for analysis processing;
s3, the quotation time delay measuring module measures time delay of the quotation gateway and the quotation decoding and forwarding module to obtain quotation penetration time delay, and sends time delay data to the monitoring and displaying module, wherein the quotation time delay measuring module is connected with the quotation decoding and forwarding module, the monitoring and displaying module and at least one quotation gateway;
and S4, the monitoring display module displays the operation data and the time delay data of the market information system.
8. The method according to claim 7, wherein the data-by-data includes entrusted data and transaction data, in step S1, if the quotation gateways connected to the quotation decoding and forwarding module are Level-2 quotation gateways, then snapshot data with the latest timestamp is preferentially selected for snapshot data with the same code, entrusted data with the latest serial number is preferentially selected for the entrusted data with the same code, transaction data with the same code is preferentially selected for the transaction data with the latest serial number, and if the quotation decoding and forwarding module is connected to both Level-1 and Level-2 quotation gateways, the quotation decoding and forwarding module decodes the data simultaneously and issues the decoded data for receiving SDK preference.
9. The method according to claim 7, wherein, in step S1,
the quotation decoding and forwarding module combines the decoded and preferentially processed snapshot data and stroke-by-stroke data in one thread and sends the data to the quotation receiving SDK through a multicast address; alternatively, the first and second electrodes may be,
the quotation decoding and forwarding module divides the decoded and preferentially processed snapshot data and the one-by-one data into two different threads respectively and sends the two different threads to the quotation receiving SDK through different multicast addresses.
10. The method according to claim 7, wherein in step S3, the market penetration delay is obtained by a market delay measuring module as follows:
T2-T1＝T2-T1'+(T1'-T1)＝T2'-T1”+(T1'-T1)
t2 is the time that the market data are processed by the market gateway and the market decoding and forwarding module and then sent out by the switch, T1 is the time that the original market data are received by the switch, T1' is the time that the original market data are sent by the switch, T2' is the time that the network card of the server where the delay measurement module is located receives the decoded market data, T1' is the time that the network card of the server where the market delay measurement module is located receives the original market data, and for a local area network environment, T2-T1' = T2' -T1', wherein T2, T1', T2' and T1' are hardware timestamps, and the precision is nanosecond level.
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