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Low-delay high-throughput real-time order book generation method

A high-throughput, low-latency technology, applied in the field of information processing, can solve problems such as performance degradation, poor performance, and low throughput, and achieve the effects of increasing practicability, reducing use costs, and large flexible capacity

Pending Publication Date: 2022-05-27
上海金融期货信息技术有限公司
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  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

AI Technical Summary

Problems solved by technology

The advantages of the software system are convenient development and high flexibility, but the performance is poor. On the one hand, the penetration delay of the software system is high, and the delay is generally above 100 microseconds; on the other hand, the throughput rate of the software system is low. When the tick-by-tick traffic is large, there will be obvious performance degradation, such as increased penetration delay

Method used

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  • Low-delay high-throughput real-time order book generation method
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  • Low-delay high-throughput real-time order book generation method

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Embodiment Construction

[0036] The present invention will be described in detail below with reference to the accompanying drawings and specific embodiments. Note that the aspects described below in conjunction with the accompanying drawings and specific embodiments are only exemplary, and should not be construed as any limitation to the protection scope of the present invention.

[0037] figure 1 shows the components of an example of a contract order book, such as figure 1 As shown, the contract order book is the main component of the snapshot market released by the exchange in financial transactions, and the main component of the order book price table of a complete contract order book is the market information. The main components of the market information are the trading stalls. Usually, there are five or ten stalls of information for each transaction (the figure is ten stalls of information). Each stall information includes stall price and stall order quantity. All tiers in the buy and sell ord...

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Abstract

The invention discloses a low-delay high-throughput real-time order book generation method, which uses FPGA (Field Programmable Gate Array) hardware and combines the advantages of software to realize low delay and high throughput of order book generation. According to the technical scheme, on one hand, FPGA hardware is used for replacing traditional software to achieve real-time processing and generation of the contract order book; and on the other hand, the contract order book is stored by adopting a storage structure (a large table and a small table) for segmenting and storing the contract order book, and the small table and the large table are respectively processed by utilizing the high-concurrency and low-delay characteristics of FPGA hardware and the advantages of flexible storage and large capacity of software, so that the practicability of the method is improved, and the use cost is reduced.

Description

technical field [0001] The invention relates to an information processing technology in a financial quotation system, in particular to an order book generation technology that uses a combination of software and hardware to update order quotations in real time. Background technique [0002] At present, the mainstream market quotation system of electronic trading is generally to forward the snapshot quotations regularly released by the exchange. With the rise of programmatic and quantitative trading, traders have higher and higher requirements for the frequency and real-time market conditions. The traditional time-snapshot market has gradually become unsatisfactory. Therefore, domestic and foreign exchanges have begun to provide market quotations one by one, and provide market information for each order entrustment and transaction to market recipients. Based on the above tick-by-tick quotations, the quotation receiver can generate a snapshot of the tick-by-tick quotations by...

Claims

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Application Information

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IPC IPC(8): G06Q30/06G06F15/78G06F16/23
CPCG06Q30/0635G06F15/781G06F16/2379
Inventor 朱恺王康贵沈俊华张海荣李思昌陈建武金甫虞陈吉芳
Owner 上海金融期货信息技术有限公司