Market data processing method and device, controller and medium

A data processing device and data processing technology, applied in data processing applications, instruments, finance, etc., can solve the problems of data delay, market data volume growth, market data loss, etc., so as to reduce the time consumed by reading and writing, and avoid reading and writing. Time occupied, effect of high reliability

Inactive Publication Date: 2019-05-03
北京向上一心科技有限公司
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  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

AI Technical Summary

Problems solved by technology

Taking futures trading software as an example, the leverage model of futures investment will multiply the gains and losses when the market fluctuates, and when quantitative trading has been widely used among investors, when the market fluctuates, the number of transactions often exceeds It is enlarged instantly, which will cause the amount of market data to increase exponentially. If the throughput of system market data processing is too low, it will further aggravate the delay of the market
[0003] The existing data processing technology of the futures market system mainly includes the following two types. 1. When the market data cannot be lost, use the database to store the market data and update the market data to the database. The reading and writing consumption performance leads to serious data delay (minute level), and there may also be market data loss, which will affect investors' trading decisions and bring huge losses to investors
2. Use high-speed cache to store data with very low frequency of change, so as to reduce the number of reads and writes of the database system, thereby reducing the time consumed by hard disk reading and writing caused by reading and writing the database system, and also reducing the pressure of hard disk reading and writing, but This technical solution has a high probability of data loss risk. Once the server is down or restarted due to uncontrollable factors such as insufficient resources and accidents, it will cause 100% loss of market data, which will also bring investors and securities companies. huge loss

Method used

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  • Market data processing method and device, controller and medium
  • Market data processing method and device, controller and medium
  • Market data processing method and device, controller and medium

Examples

Experimental program
Comparison scheme
Effect test

Embodiment 1

[0057] The 1-minute K in the K-line is generated every minute according to nature. Each K-line is marked with a time point. When the time is switched to a new minute, a new K-line will be generated. The K-line data is the hot data of the market, which will be stored and updated in the cache; the K-line data before this time point is historical data, which is no longer updated, and is the cold data of the market. Write this part of the historical K-line data into the database.

Embodiment 2

[0059] A contract’s market order data only needs to be stored once in a complete trading day, and the market order data of the current trading day is market hot data, which is stored and updated in the cache. The data before the current trading day is cold market data, which can be written into the database asynchronously.

Embodiment 3

[0061] The time-sharing data is divided according to 1 minute. When the time enters the next minute, the time-sharing data of the previous minute will not be updated. Therefore, the time-sharing data within the current 1 minute is market hot data, which is stored in the cache And update, the current time-sharing data 1 minute ago is cold market data, which is stored in the database.

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Abstract

The invention relates to a market data processing method and device, a controller and a medium, and the method comprises the steps: obtaining market hot data, the market hot data being market data which can be updated within a preset time; storing the market hot data into a cache, and updating the market hot data in the cache in real time; Wherein the market hot data are converted into market colddata, and the market cold data are market data which are not updated within preset time; and storing the market cold data into a database. According to the invention, the throughput and reliability of market data processing are improved, and the delay of market data processing is reduced.

Description

technical field [0001] The present invention relates to the technical field of market data, in particular to a market data processing method, device, controller and medium. Background technique [0002] For market trading software trading software, the low latency of the market is very important. When the market fluctuates violently, a delay of 1 millisecond or even hundreds of milliseconds may cause losses to customers. Market trading software includes futures trading software, stock trading software, fund trading software, precious metal trading software, foreign exchange trading software and so on. Taking futures trading software as an example, the leverage model of futures investment will multiply the gains and losses when the market fluctuates, and when quantitative trading has been widely used among investors, when the market fluctuates, the number of transactions often exceeds Instantly magnified, this will cause the amount of market data to increase exponentially. I...

Claims

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Application Information

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IPC IPC(8): G06F3/06G06Q40/04
Inventor 马旭康帅胡明
Owner 北京向上一心科技有限公司
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