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Security market TCP/IP message rapid processing device and method

A technology of IP message and processing device, which is applied in the field of securities, can solve the problems of large delay and loss, achieve the effect of less resource consumption, fast processing speed, and overcome the limitation of gate processing ability and speed

Inactive Publication Date: 2020-08-28
南京艾科朗克信息科技有限公司
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  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

AI Technical Summary

Problems solved by technology

Large delays often mean loss of trading and profit opportunities

Method used

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  • Security market TCP/IP message rapid processing device and method

Examples

Experimental program
Comparison scheme
Effect test

Embodiment 1

[0026] Utilize the processing method of described stock quotes TCP / IP message rapid processing device and method, comprise the following steps, step 1: obtain stock exchange quotes data to FPGA, the message that data transmission module will receive in FPGA presses TCP / IP The protocol parses the packet header to get the TCP / IP quadruple, and then performs quadruple matching, extracts the TCP sequence number of the matched packet and compares it with the sequence number of the previous packet. If the sequence number is continuous, the valid The load data is sent to the data output module, otherwise, the load data is sent to the data storage module; Step 2: The storage module stores TCP / IP messages with discontinuous serial numbers, and retrieves the information contained in all stored messages according to the current serial number. The message with the serial number is sent to the data output module; step 3: the output module packs the data sent by the processing module or the ...

Embodiment 2

[0028] On the basis of embodiment 1, in step 2, the state machine extracts information such as the message header information of each message, sequence number, message length, end sign and storage address from the data storage module and puts it into the fixed register , to judge whether the serial number of the message matches the expected serial number, and if they match, output the message to the data output module and release the storage space occupied by the message for recycling.

[0029] In Embodiment 1 and Embodiment 2, the data transmission module includes a TCP / IP quadruple matching module, and the module discards messages that do not meet the specified IP and PORT.

[0030] The data transmission module includes a TCP / IP protocol analysis module, and the protocol analysis module analyzes and processes the message according to the TCP / IP protocol.

[0031] The data storage module includes a storage area dynamic allocation and recovery module, and the module dynamicall...

Embodiment 3

[0033] On the basis of embodiment 1 and implementation 2, the data transmission module includes a TCP / IP abnormal interruption detection module, and if the abnormal interruption detection module detects that the message sequence number is not continuous within a period of time, it will output the TCP / IP The connection is abnormal, restart the module, clear all internal states, and start receiving data again.

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Abstract

The invention belongs to the field of financial securities, and relates to a security market TCP / IP message rapid processing device and method. At present, security quotations of the exchange are mostly pushed by TCP / IP messages, and the delay of receiving and processing the TCP / IP messages by software is relatively large and is generally unequal from tens of microseconds to milliseconds, which isunfavorable for high-frequency quantitative transaction. The invention provides a security market TCP / IP message rapid processing device, which comprises an FPGA, and is characterized in that the FPGA comprises a data transmission module, a data processing module, a data storage module and a data output module. The invention also provides a processing method using the security market TCP / IP message rapid processing device. The method disclosed by the invention consumes less resources; a single TCP / IP message is high in processing speed and short in time delay, and meanwhile, the working clockfrequency of the FPGA is not reduced, so that the defect that a customized circuit is not flexible enough is overcome, the defect that the processing capacity and speed of an original programmable device gate are limited is overcome, and multiple TCP / IP messages can be processed at the same time.

Description

technical field [0001] The invention belongs to the field of securities, and relates to a device and method for quickly processing TCP / IP messages of securities quotes. Background technique [0002] The securities market is paying more and more attention to high-frequency trading, and the requirements for market data processing speed are increasing. Both Shanghai and Shenzhen Stock Exchanges use TCP / IP protocol messages to push securities market prices to users. Effective market data is first encapsulated into data messages using TCP / IP protocol and then transmitted to users through the network. Users usually use pure software Receive the TCP / IP message and get the market data after analyzing and processing the TCP / IP protocol. The software's delay in receiving and processing TCP / IP packets generally ranges from tens of microseconds to several milliseconds. [0003] Today, when high-frequency trading is increasingly pursuing speed, the delay in the processing of market dat...

Claims

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Application Information

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IPC IPC(8): H04L29/06G06Q40/04
CPCG06Q40/04H04L69/16H04L69/22
Inventor 秦轶轩陈峻峰朱志文
Owner 南京艾科朗克信息科技有限公司
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