CN110648230A - Low-delay high-frequency transaction position system and method - Google Patents
Low-delay high-frequency transaction position system and method Download PDFInfo
- Publication number
- CN110648230A CN110648230A CN201910735099.2A CN201910735099A CN110648230A CN 110648230 A CN110648230 A CN 110648230A CN 201910735099 A CN201910735099 A CN 201910735099A CN 110648230 A CN110648230 A CN 110648230A
- Authority
- CN
- China
- Prior art keywords
- data
- order
- transaction
- application
- market
- 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
- 238000000034 method Methods 0.000 title claims abstract description 25
- 238000012545 processing Methods 0.000 claims abstract description 46
- 238000004891 communication Methods 0.000 claims abstract description 20
- 238000006243 chemical reaction Methods 0.000 claims abstract description 5
- 230000008569 process Effects 0.000 claims description 8
- 239000013307 optical fiber Substances 0.000 claims description 5
- 230000005540 biological transmission Effects 0.000 abstract 1
- 239000003795 chemical substances by application Substances 0.000 description 13
- 238000010586 diagram Methods 0.000 description 8
- 238000012423 maintenance Methods 0.000 description 6
- 238000011161 development Methods 0.000 description 5
- 230000001133 acceleration Effects 0.000 description 3
- 230000007547 defect Effects 0.000 description 2
- 230000003993 interaction Effects 0.000 description 2
- 238000012986 modification Methods 0.000 description 1
- 230000004048 modification Effects 0.000 description 1
- 230000003287 optical effect Effects 0.000 description 1
- 238000006467 substitution reaction Methods 0.000 description 1
Images
Classifications
-
- 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
- Business, Economics & Management (AREA)
- Accounting & Taxation (AREA)
- Finance (AREA)
- Engineering & Computer Science (AREA)
- Development Economics (AREA)
- Economics (AREA)
- Marketing (AREA)
- Strategic Management (AREA)
- Technology Law (AREA)
- Physics & Mathematics (AREA)
- General Business, Economics & Management (AREA)
- General Physics & Mathematics (AREA)
- Theoretical Computer Science (AREA)
- Financial Or Insurance-Related Operations Such As Payment And Settlement (AREA)
Abstract
The invention relates to the technical field of transaction data processing, in particular to a low-delay high-frequency transaction position system; the method comprises the following steps: the communication module receives and sends order data and market data; the order data comprises application order data, trade order feedback data and application order feedback data; the market data comprises application market data and transaction market data; the order wind control module is responsible for wind control management of the received application order data; forwarding the application order data passing through the wind control; the order processing module carries out format conversion and transmission on the received order data; and the market processing module converts the transaction market data returned by the transaction post into the application market data and sends the application market data to the user server. According to the embodiment of the invention, only the FPGA is used in the agent system for processing and communicating the order data and the market data, so that the low-delay order data and market data processing can be met, and the high-performance processing of the transaction is further ensured.
Description
Technical Field
The invention relates to the technical field of transaction data processing, in particular to a low-delay high-frequency transaction position system and a low-delay high-frequency transaction position method.
Background
In the application of the high-frequency trading position system, a user needs to acquire market data and order feedback data from trading as soon as possible and needs to send own order data to a trading exchange as soon as possible. Therefore, it is important to improve the data processing performance of the high frequency transaction position system.
FIG. 1 is a schematic diagram of a conventional transaction position system topology; as shown in fig. 1, the whole topology includes:
the user server is respectively connected with the position server and the market server through an L1 switch; the agent server processes orders and wind control, and the market server processes market data; the market server and the agent server are respectively connected with the exchange through an L3 switch.
The traditional transaction order system has the defects that:
1. the order data and the market data are respectively processed by the agent server and the market server, the comprehensive processing of the 2 kinds of data can be completed cooperatively only by the user server, and the processing time delay is high;
2. the user server and the agent server are connected through an L1 switch, and the delay of data interaction is increased by hundreds of ns to 1 us;
3. the order data and the market data are connected to the exchange through the L3 switch, and the delay is higher than that of the L1 switch; order data and market data processing use the same logic and physical channel communication, which can affect the delay rate of key data processing;
disclosure of Invention
In order to overcome the defects in the prior art, the invention provides a low-delay high-frequency transaction position system and a method, which can meet the requirements of low-delay order and market processing, further ensure high-performance processing of transactions, reduce development and maintenance cost and meet the requirements of investors.
In one aspect, an embodiment of the present invention provides a low-latency high-frequency transaction position system, including:
a communication module: receiving and sending order data and market data; the order data comprises application order data, trade order feedback data and application order feedback data; the market data comprises application market data and transaction market data;
the order wind control module: the system is responsible for carrying out wind control management on the received application order data; forwarding the application order data which is passed by the wind control;
an order processing module: carrying out format conversion and sending on the received order data; converting the application order data into transaction order data and sending the transaction order data to a trading exchange; converting the returned trade order feedback data into application order feedback data and sending the application order feedback data to the user server;
the market processing module: and converting the transaction market data returned by the transaction into the application market data and sending the application market data to the user server.
Wherein, the communication module uses 100G IP Core to be divided into 10 × 10G high-speed network ports.
The communication module is directly connected with the user server through an optical fiber; the communication module is connected with the exchange by adopting an L1 switch and an L2 switch.
The user server supports connection of an FPGA and a high-speed network card.
The user server can also receive the transaction market data of the exchange directly through the L1 switch and process the data.
In another aspect, an embodiment of the present invention provides a low-latency high-frequency transaction method, including the following steps:
s1, receiving and forwarding application order data;
s2, carrying out wind control management on the received application order data; forwarding the application order data which is passed by the wind control;
s3, converting the application order data into transaction order data and sending the transaction order data to a trading post;
and S4, converting the trade order feedback data and the trade quotation data returned by the trade into the application order feedback data and the application quotation data, and sending the application order feedback data and the application quotation data to a user server.
In step S1, the network is divided into 10 × 10G high-speed ports by using 100G IP Core.
Wherein, the application order data is directly transmitted to the high-speed network port by adopting optical fiber; the high-speed internet access is connected with the exchange by adopting an L1 switch and an L2 switch.
The user server supports connection of an FPGA and a high-speed network card.
The user server can also receive the transaction market data of the exchange directly through the L1 switch and process the data.
The invention provides a low-delay high-frequency transaction position system and a method, which can meet the low-delay processing of order data and market data by only using an FPGA (field programmable gate array) in a position system to process and communicate the order data and the market data, further ensure the high-performance processing of transactions, reduce the development and maintenance cost and meet the requirements of investors.
Drawings
In order to more clearly illustrate the technical solution of the present invention, the drawings needed to be used in the technical description of the present invention will be briefly introduced below, and it is apparent 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 inventive labor.
FIG. 1 is a schematic diagram of a conventional transaction position system topology;
FIG. 2 is a schematic structural diagram of a low latency high frequency transaction agent system according to an embodiment of the present invention;
FIG. 3 is a schematic diagram of an overall topology of a low latency high frequency transaction agent system according to an embodiment of the present invention;
FIG. 4 is a schematic structural diagram of a user server of a low latency high frequency transaction position system according to an embodiment of the present invention;
FIG. 5 is a flow chart of a low latency high frequency transaction method according to an embodiment of the invention;
reference numerals:
position system-1 user server-2 exchange-3
Communication module-101 order form wind control module-102 order form processing module-103
Market situation processing module-104.
Detailed Description
In order to make the objects, technical solutions and advantages of the embodiments of the present invention clearer, 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 some, but not all, embodiments of the present invention. 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.
FIG. 2 is a schematic structural diagram of a low latency high frequency transaction agent system according to an embodiment of the present invention; as shown in fig. 2, includes:
the communication module 101: receiving and sending order data and market data; the order data comprises application order data, trade order feedback data and application order feedback data; the market data comprises application market data and transaction market data;
the order wind control module 102: the system is responsible for carrying out wind control management on the received application order data; forwarding the application order data which is passed by the wind control;
the order processing module 103: carrying out format conversion and sending on the received order data; specifically, the application order data is converted into transaction order data and sent to the exchange 3; the feedback data of the trade order returned by the exchange 3 is converted into application order feedback data to be sent to the user server 2;
the market processing module 104: and converting the transaction market data returned by the exchange 3 into the application market data and sending the application market data to the user server 2.
Specifically, the order quotation data and the order data received by the agent system 1 are processed and communicated through an internal FPGA without the assistance of a high-speed network card and a CPU, so that an optimal low delay is achieved in data interaction, and the order quotation data and the order data need to be converted into an application format and a standard transaction format in the FPGA, which is also considered in view of low-delay processing. Effective data in the standard transaction market data and the transaction order data only occupy one part of the data packet, and are analyzed into data which the user wants at the edge end and then transmitted, so that the analysis on the user server 2 is avoided; on one hand, the processing speed and delay rate of the FPGA are superior to those of hardware resources on the user server 2, and on the other hand, the data volume transmitted by the network after processing can be reduced by a large margin; it should be noted that three processing functions of order form pneumatic control, market analysis and order form acceleration are realized through hardware acceleration inside the FPGA.
The invention provides a low-delay high-frequency transaction position system, which can meet the low-delay processing of order data and market data by only using an FPGA (field programmable gate array) in the position system for processing and communicating the order data and the market data, further ensure the high-performance processing of transactions, reduce the development and maintenance cost and ensure the requirements of investors.
Further, fig. 3 is a schematic diagram of an overall topology structure of a low-latency high-frequency transaction position system according to an embodiment of the present invention; as shown in fig. 3, the communication module 101 uses 100G IP Core to divide into 10 × 10G high-speed ports; specifically, the FPGA integrates a plurality of high-speed network ports, and does not need to be externally connected with a redundant switch, so that the communication module 101 and the user server 2 can be directly connected by using an optical fiber; the user server 2 is directly connected with the communication module 101 in a direct connection mode, so that the time delay and possible fluctuation caused by an intermediate switch are eliminated; the communication module 101 is connected with the exchange 3 by adopting an L1 switch and an L2 switch; the L2 switch is responsible for receiving and sending order data, because the delay rate of the communication of the L1 switch is lower than that of the L3 switch, the transaction market data receiving only needs to use the port copying and switching functions of pure physical data of the L1 switch, and the performance is faster; the order data and market data processing use different logic and physical paths for communication, and the delay rate of key data processing is improved.
Further, fig. 4 is a schematic structural diagram of a user server of a low-latency high-frequency transaction position system according to an embodiment of the present invention; as shown in fig. 4, the user server 2 supports two modes of FPGA and high-speed network card to connect with the communication module 101; the user server 2 can also directly receive the transaction market data of the exchange 3 through the L1 switch and perform data processing; the total of the four combinations meets the requirements of different application scenes and customers with special requirements on low delay of market data receiving and order data processing at the same time; for example, in fig. 4, the market data and order data processing of user 1 and user 2 are completed by agent of the agent system, while market data of user 3 and user 4 are directly obtained from transaction 3, and order data is completed by agent of the agent system; the user 1 and the user 3 do not have a special FPGA to do hardware strategy acceleration operation and use software to complete the operation; and the user 2 and the user 4 directly use the FPGA to carry out policy processing, so that the requirement on the delay rate is higher. The 4 user servers 2 are suitable for different application scenes and deployment and maintenance costs.
The invention provides a low-delay high-frequency transaction position system, which can meet the processing of low-delay order data and market data by only using an FPGA (field programmable gate array) in the position system for processing and communicating the order data and the market data, further ensure the high-performance processing of transactions, reduce the development and maintenance cost and ensure the requirements of investors; the FPGA integrates a plurality of high-speed network ports, and direct output is realized without externally connecting redundant switches, so that time delay and possible fluctuation caused by intermediate switches are eliminated; the order data and the market data are processed by using communication between different logic and physical channels, so that the delay rate of key data processing is improved; the user server supports two connection modes of FPGA and high-speed network card and a second-place system, and directly receives market data information of the exchange through an L1 switch, and four combinations are summed, so that the low-delay simultaneous and special-requirement different application scenes and customer requirements for market data receiving and order data processing are met.
Based on the above embodiments, fig. 5 is a schematic flow chart of a low-latency high-frequency transaction method according to an embodiment of the present invention; as shown in fig. 5, the method comprises the following steps:
s1, receiving and forwarding application order data;
s2, carrying out wind control management on the received application order data; forwarding the application order data which is passed by the wind control;
s3, converting the application order data into transaction order data and sending the transaction order data to a trading post;
and S4, converting the trade order feedback data and the trade quotation data returned by the trade into the application order feedback data and the application quotation data, and sending the application order feedback data and the application quotation data to a user server.
Specifically, the agent system receives application order data of the user server and forwards the application order data through an internal FPGA; carrying out wind control management on the received application order data, and continuing to carry out the next processing on the application order data passing the wind control; converting the application order data into transaction order data and then sending the transaction order data to a trading post for processing; the returned transaction order feedback data and the transaction quotation data are sent to a position system, data format conversion is carried out through an internal FPGA, and the transaction order feedback data are converted into user order feedback data with compact structure and are sent to a user server; and analyzing the standard transaction market data, assembling into application market data which is compact in structure and is interesting to the user, and sending the application market data to the user server.
The invention provides a low-delay high-frequency transaction method, which can meet the low-delay processing of order data and market data by only using an FPGA (field programmable gate array) in a position system to process and communicate the order data and the market data, further ensure the high-performance processing of transactions, reduce the development and maintenance cost and ensure the requirements of investors.
The above-described embodiments of the apparatus are merely illustrative, and the units described as separate parts may or may not be physically separate, and parts displayed as units may or may not be physical units, may be located in one place, or may be distributed on a plurality of network units; some or all of the modules may be selected according to actual needs to achieve the purpose of the solution of the present embodiment. One of ordinary skill in the art can understand and implement it without inventive effort.
Through the above description of the embodiments, those skilled in the art will clearly understand that each embodiment can be implemented by software plus a necessary general hardware platform, and certainly can also be implemented by hardware. With this understanding in mind, the above-described technical solutions may be embodied in the form of a software product, which can be stored in a computer-readable storage medium such as ROM/RAM, magnetic disk, optical disk, etc., and includes instructions for causing a computer device (which may be a personal computer, a server, or a network device, etc.) to execute the methods described in the embodiments or some parts of the embodiments.
Finally, it should be noted that: the above examples are only intended to illustrate the technical solution of the present invention, but not to limit it; although the present invention has been described in detail with reference to the foregoing embodiments, it will be understood by those of ordinary skill in the art that: the technical solutions described in the foregoing embodiments may still be modified, or some technical features may be equivalently replaced; and such modifications or substitutions do not depart from the spirit and scope of the corresponding technical solutions of the embodiments of the present invention.
Claims (10)
1. A low latency high frequency transaction position system, comprising:
a communication module: receiving and sending order data and market data; the order data comprises application order data, trade order feedback data and application order feedback data; the market data comprises application market data and transaction market data;
the order wind control module: the system is responsible for carrying out wind control management on the received application order data; forwarding the application order data which is passed by the wind control;
an order processing module: carrying out format conversion and sending on the received order data; converting the application order data into transaction order data and sending the transaction order data to a trading exchange; converting the returned trade order feedback data into application order feedback data and sending the application order feedback data to the user server;
the market processing module: and converting the transaction market data returned by the transaction into the application market data and sending the application market data to the user server.
2. A low latency, high frequency transaction attendant system as claimed in claim 1 wherein said communications module uses a 100G IP Core to divide into 10 x 10G high speed ports.
3. The system of claim 2, wherein the communication module is directly connected to the user server via an optical fiber; the communication module is connected with the exchange by adopting an L1 switch and an L2 switch.
4. The system of claim 3, wherein the user server supports connection of both FPGA and high-speed network card.
5. The system of claim 4, wherein the user server further receives and processes transaction market data directly through the L1 switch.
6. A low latency high frequency transaction method, comprising the steps of:
s1, receiving and forwarding application order data;
s2, carrying out wind control management on the received application order data; forwarding the application order data which is passed by the wind control;
s3, converting the application order data into transaction order data and sending the transaction order data to a trading post;
and S4, converting the feedback data of the trade order and the trade quotation data returned by the trade into the feedback data of the order to be traded and the quotation data to be sent to the user server.
7. The method of claim 6, wherein in step S1, 100G IP Core is used to divide the transaction into 10 x 10G high speed ports.
8. The low-latency high-frequency transaction method according to claim 7, wherein the application order data is directly transmitted to the high-speed network port by using an optical fiber; the high-speed internet access is connected with the exchange by adopting an L1 switch and an L2 switch.
9. The low-latency high-frequency transaction method according to claim 8, wherein the user server supports connection of an FPGA and a high-speed network card.
10. A low latency high frequency transaction method according to claim 9, wherein the user server further receives transaction market data of the exchange directly through the L1 switch and processes the data.
Priority Applications (1)
| Application Number | Priority Date | Filing Date | Title |
|---|---|---|---|
| CN201910735099.2A CN110648230A (en) | 2019-08-09 | 2019-08-09 | Low-delay high-frequency transaction position system and method |
Applications Claiming Priority (1)
| Application Number | Priority Date | Filing Date | Title |
|---|---|---|---|
| CN201910735099.2A CN110648230A (en) | 2019-08-09 | 2019-08-09 | Low-delay high-frequency transaction position system and method |
Publications (1)
| Publication Number | Publication Date |
|---|---|
| CN110648230A true CN110648230A (en) | 2020-01-03 |
Family
ID=68990135
Family Applications (1)
| Application Number | Title | Priority Date | Filing Date |
|---|---|---|---|
| CN201910735099.2A Pending CN110648230A (en) | 2019-08-09 | 2019-08-09 | Low-delay high-frequency transaction position system and method |
Country Status (1)
| Country | Link |
|---|---|
| CN (1) | CN110648230A (en) |
Cited By (3)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| CN112333119A (en) * | 2020-11-27 | 2021-02-05 | 深圳华云信息系统有限公司 | Data transmission system and method |
| CN112487337A (en) * | 2020-12-10 | 2021-03-12 | 盛立金融软件开发（杭州）有限公司 | Market data interaction device, method and equipment |
| CN113065958A (en) * | 2021-02-20 | 2021-07-02 | 上海金融期货信息技术有限公司 | A data streaming system for subject market business |
Citations (4)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| CN104599185A (en) * | 2015-02-02 | 2015-05-06 | 恒生电子股份有限公司 | Trading method, terminal and system |
| CN107392768A (en) * | 2017-08-03 | 2017-11-24 | 武汉旷腾信息技术有限公司 | A kind of futures trading system and method based on FPGA |
| CN108198071A (en) * | 2017-11-30 | 2018-06-22 | 武汉旷腾信息技术有限公司 | A kind of futures sales counter risk control method and system |
| CN108230149A (en) * | 2017-12-13 | 2018-06-29 | 武汉旷腾信息技术有限公司 | Acceleration financial transaction system and method based on SOC FPGA |
-
2019
- 2019-08-09 CN CN201910735099.2A patent/CN110648230A/en active Pending
Patent Citations (4)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| CN104599185A (en) * | 2015-02-02 | 2015-05-06 | 恒生电子股份有限公司 | Trading method, terminal and system |
| CN107392768A (en) * | 2017-08-03 | 2017-11-24 | 武汉旷腾信息技术有限公司 | A kind of futures trading system and method based on FPGA |
| CN108198071A (en) * | 2017-11-30 | 2018-06-22 | 武汉旷腾信息技术有限公司 | A kind of futures sales counter risk control method and system |
| CN108230149A (en) * | 2017-12-13 | 2018-06-29 | 武汉旷腾信息技术有限公司 | Acceleration financial transaction system and method based on SOC FPGA |
Cited By (3)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| CN112333119A (en) * | 2020-11-27 | 2021-02-05 | 深圳华云信息系统有限公司 | Data transmission system and method |
| CN112487337A (en) * | 2020-12-10 | 2021-03-12 | 盛立金融软件开发（杭州）有限公司 | Market data interaction device, method and equipment |
| CN113065958A (en) * | 2021-02-20 | 2021-07-02 | 上海金融期货信息技术有限公司 | A data streaming system for subject market business |
Similar Documents
| Publication | Publication Date | Title |
|---|---|---|
| US11997007B2 (en) | Financial network | |
| CN110648230A (en) | Low-delay high-frequency transaction position system and method | |
| US10917335B2 (en) | System and method for low-latency network data switching | |
| CN107907867B (en) | A kind of real-time SAR quick look system of multi-operation mode | |
| US20240330211A1 (en) | Data processing method and apparatus | |
| CN113364809B (en) | Offloading network data to perform load balancing | |
| CN105023185B (en) | A kind of futures exchange disk mouth data real time parsing system based on FPGA | |
| CN106296397A (en) | Forward quotations add speed system and accelerated method | |
| CN112487337A (en) | Market data interaction device, method and equipment | |
| CN111209178A (en) | Full link bottleneck testing method and system | |
| US20230388216A1 (en) | NETWORK-ON-CHIP (NoC) WITH A BROADCAST SWITCH SYSTEM | |
| US8589776B2 (en) | Translation between a first communication protocol and a second communication protocol | |
| CN111131499A (en) | Concurrent and asynchronous task processing method and device thereof | |
| CN109815191A (en) | A kind of crossbar switch and its creation method, IP kernel | |
| CN107046647A (en) | A kind of control method of multispectral remote sensing image real-time decompression device | |
| CN102710496B (en) | For the data transmission system between multiple server, DIU data interface unit and data transmission method | |
| CN118353597A (en) | Block chain data management system, method, device and storage medium | |
| CN111431921A (en) | Configuration synchronization method | |
| CN106408793B (en) | A kind of Service Component sharing method and system suitable for ATM business | |
| CN111245878A (en) | Method for computing and offloading communication network based on hybrid cloud computing and fog computing | |
| CN113132478A (en) | System for realizing Binary protocol market accelerated decoding in security trading system based on OpenCL | |
| CN115643224B (en) | FC switch and data transmission method | |
| US20250016028A1 (en) | Method and apparatus for accessing virtual machine, device and storage medium | |
| CN116962220A (en) | Full-dimension definable intelligent communication network device | |
| Tong et al. | Stream processing technology based on FPGA network service |
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 | ||
| RJ01 | Rejection of invention patent application after publication |
Application publication date: 20200103 |
|
| RJ01 | Rejection of invention patent application after publication |