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Multisource real-time trade market data receiving and merging processing method

A data and market technology, applied in the field of multi-source real-time trading market data reception and merging processing, can solve the problems of low delay, unguaranteed time, and limited stability of real-time market data sources, etc., to reduce the overall delay and improve stability Sexual Health Effects

Inactive Publication Date: 2018-11-06
深圳市深弈科技有限公司
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AI Technical Summary

Problems solved by technology

[0002] The programmatic trading system generally has relatively high requirements for the low-latency and high stability of the real-time market data accessed. In the actual implementation process, there are often multiple real-time market data sources to choose from. The market data provided by these different channels The delay of the source is not the same, and may change over time. In a certain period of time, the channel A is faster, and in another period of time, the channel B may be faster, so it is impossible to decide in advance which channel the market source will use. Bringing lower latency, faster real-time market data is very important for higher-frequency programmatic transactions; in addition, the stability of a single real-time market data source is also limited, and it cannot be guaranteed to be available 100% of the time

Method used

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  • Multisource real-time trade market data receiving and merging processing method
  • Multisource real-time trade market data receiving and merging processing method
  • Multisource real-time trade market data receiving and merging processing method

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specific Embodiment

[0041] 1. Receiver 1 node receives real-time market data from market source 1. The specific implementation of data reception is carried out by calling the API interface provided by the market source. Receiver 2 and receiver 3 receive real-time market data from market source 2 and market source 3 respectively The data received from these three real-time sources are the market data of the same trading product, but due to the differences in the data source providing system itself, geographical location and network environment, although the data received from the three data sources are of the same trading product data, but receiver 1, receiver 2, and receiver 3 will have different local times when they receive the market data at a certain point in time, that is, there are differences in the delays of the three market sources from the local perspective.

[0042] 2. Due to the differences in the APIs provided by market sources 1, 2, and 3, the received market data formats are different...

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Abstract

The invention belongs to the field of the financial data processing, and specifically discloses a multisource real-time trade market data receiving and merging processing method. The method comprisesa processing system composed of multiple configurable and combinable nodes with single functions; the processing system abstracts each processing steps of the market data to independent nodes, each node is responsible for a type of data processing task, one node can acquire data from one or multiple preceding nodes and processes the same; the data is transmitted to one or multiple subsequent nodesof the preceding node to be continuously processed after the processing is accomplished. The processing steps of the market data are divided into independent nodes, the related nodes are cascaded tocollaboratively accomplish the receiving, format conversion, data combination and like functions of the market data; the processing nodes can be flexibly configured according to different data processing demands, and the access of the new market source can be supported by adding or combining the existing processing nodes.

Description

technical field [0001] The invention relates to the field of financial data processing, in particular to a method for receiving and merging processing of multi-source real-time transaction market data. Background technique [0002] The programmatic trading system generally has relatively high requirements for the low-latency and high stability of the real-time market data accessed. In the actual implementation process, there are often multiple real-time market data sources to choose from. The market data provided by these different channels The delay of the source is not the same, and may change over time. In a certain period of time, the channel A is faster, and in another period of time, the channel B may be faster, so it is impossible to decide in advance which channel the market source will use. Bringing lower latency, faster real-time market data is very important for higher-frequency programmatic transactions; in addition, the stability of a single real-time market dat...

Claims

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Application Information

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IPC IPC(8): H04L29/08G06Q40/04G06Q30/06
CPCH04L67/10G06Q30/0635G06Q40/04H04L67/55H04L67/565
Inventor 黄国柱周明山金成勋
Owner 深圳市深弈科技有限公司
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