Algorithm transaction processing system and method

Abstract

The invention discloses an algorithm transaction processing system and method, and relates to the technical field of electronic data processing, in the system, a transaction service platform is used for obtaining an algorithm configuration parameter and a target algorithm list corresponding to an algorithm entrusting request when the algorithm entrusting request input by a user is detected; the transaction service middle platform is also used for sending the algorithm configuration parameters and the target algorithm list to the algorithm bus module; and the algorithm bus module is used for determining a target algorithm transaction module in the plurality of algorithm transaction modules according to the algorithm configuration parameters, and routing the target algorithm to the target algorithm transaction module for algorithm transaction processing. According to the application, the algorithm bus module can be routed to the target algorithm transaction module in the plurality of algorithm transaction modules to carry out algorithm transaction processing, so that direct docking between the transaction service middle platform and the target algorithm transaction module is realized, and net-shaped docking between the plurality of algorithm transaction modules and the transaction service middle platform is relieved; and the docking coupling degree of the system is reduced, so that the docking difficulty is reduced.

Description

Technical Field

[0001] The present application relates to the field of electronic data processing technology, and in particular to an algorithmic trading processing system and method. Background Art

[0002] Algorithmic trading is now widely adopted by institutional traders due to its advantages such as efficient transaction execution, effective reduction of impact costs in transactions, and better concealment of the true size of the parent order. Securities firms are also increasing their investment in the construction of low-latency trading channels, strategy trading, and algorithm platforms in the process of algorithmic trading. The competition for existing low-latency channels is becoming increasingly fierce, and the industry is gradually building algorithm platforms to seek differentiated development.

[0003] Therefore, in order to meet the needs of different customers and enrich algorithm application scenarios, securities companies now often introduce algorithm platforms from multiple suppliers for algorithmic trading. However, the solution is complex to connect, has a high degree of system coupling, and has the problem of high difficulty in connection.

[0004] Therefore, how to reduce the complexity of algorithmic trading docking has become a problem that needs to be solved urgently. Summary of the invention

[0005] The main purpose of this application is to provide an algorithmic trading processing system and method, aiming to solve the technical problem of how to reduce the complexity of algorithmic trading docking.

[0006] To achieve the above-mentioned purpose, the present application proposes an algorithmic trading processing system, which includes: a trading service middle platform, an algorithm bus module and several algorithmic trading modules;

[0007] The trading service middle station is used to obtain the algorithm configuration parameters and target algorithm sheet corresponding to the algorithm entrustment request when detecting the algorithm entrustment request input by the user;

[0008] The transaction service middle station is also used to send the algorithm configuration parameters and the target algorithm single to the algorithm bus module;

[0009] The algorithm bus module is used to determine a target algorithm trading module among a plurality of algorithm trading modules according to the algorithm configuration parameters, and route the target algorithm single to the target algorithm trading module for algorithm trading processing.

[0010] In one embodiment, the algorithm bus module includes: an interface communication submodule and a plurality of algorithm adaptation services;

[0011] The transaction service middle platform is further used to determine a target algorithm adaptation service among the plurality of algorithm adaptation services according to the algorithm configuration parameters;

[0012] The transaction service middle station is also used to send the algorithm configuration parameters and the target algorithm single to the target algorithm adaptation service;

[0013] The target algorithm adaptation service is used to convert the target algorithm list into an adaptation algorithm list according to the algorithm configuration parameters;

[0014] The interface communication submodule is used to determine the target algorithm trading module among several algorithm trading modules according to the algorithm configuration parameters, and route the adaptation algorithm single to the target algorithm trading module for algorithm trading processing.

[0015] In one embodiment, the target algorithm adaptation service is further used to detect whether the algorithm configuration parameters match the historical configuration parameters;

[0016] The target algorithm adaptation service is further used to create a new target process if not, and convert the target algorithm sheet into the adaptation algorithm sheet according to the algorithm configuration parameters through the target process.

[0017] In one embodiment, the interface communication submodule includes a FIX communication unit or an API communication unit.

[0018] In one embodiment, the target algorithm adaptation service is further used to perform preset interface assembly on the adaptation algorithm sheet to obtain an interface encapsulation algorithm sheet when it is detected that the algorithm configuration parameters include an API communication indicator;

[0019] The target algorithm adapter service is further used to send the interface encapsulation algorithm list to the API communication unit; the interface encapsulation algorithm list is transmitted over the network in a binary data format;

[0020] The API communication unit is used to convert the interface encapsulation algorithm into an algorithm callback function;

[0021] The API communication unit is also used to determine the target algorithm trading module according to the algorithm configuration parameters, and send the algorithm callback function to the target algorithm trading module for algorithm trading processing.

[0022] In one embodiment, the target algorithm adaptation service is further used to determine a target API structure based on a business type corresponding to the adaptation algorithm;

[0023] The target algorithm adaptation service is further used to assemble the adaptation algorithm sheet according to the target API structure to obtain the interface encapsulation algorithm sheet.

[0024] In one embodiment, the API communication unit is further used to receive the algorithm single processing information corresponding to the interface encapsulation algorithm sent by the target transaction algorithm module, and send the algorithm single processing information to the target algorithm adaptation service;

[0025] The target algorithm adaptation service is further used to send the algorithm single processing information to the transaction service middle station according to the target process;

[0026] The transaction service middle platform is also used to manage and control the algorithm master order and child order corresponding to the target algorithm order based on the algorithm order processing information.

[0027] In addition, to achieve the above purpose, the present application also proposes an algorithmic trading processing method based on the above algorithmic trading processing system, the method comprising:

[0028] When the transaction service middle station detects the algorithm entrustment request input by the user, it obtains the algorithm configuration parameters and target algorithm sheet corresponding to the algorithm entrustment request;

[0029] The transaction service middle station sends the algorithm configuration parameters and the target algorithm single to the algorithm bus module;

[0030] The algorithm bus module determines a target algorithm trading module among a plurality of algorithm trading modules according to the algorithm configuration parameters, and routes the target algorithm single to the target algorithm trading module for algorithm trading processing.

[0031] In one embodiment, the algorithm bus module includes: an interface communication submodule and a plurality of algorithm adaptation services;

[0032] The step of the transaction service middle station sending the algorithm configuration parameters and the target algorithm single to the algorithm bus module includes:

[0033] The transaction service middle station determines a target algorithm adaptation service among the plurality of algorithm adaptation services according to the algorithm configuration parameters;

[0034] The transaction service middle station sends the algorithm configuration parameters and the target algorithm list to the target algorithm adaptation service;

[0035] Accordingly, the algorithm bus module determines a target algorithm trading module among a plurality of algorithm trading modules according to the algorithm configuration parameters, and routes the target algorithm to the target algorithm trading module for algorithm trading processing, including:

[0036] The target algorithm adaptation service converts the target algorithm list into an adaptation algorithm list according to the algorithm configuration parameters;

[0037] The interface communication submodule determines the target algorithm trading module among a plurality of algorithm trading modules according to the algorithm configuration parameters, and routes the adaptation algorithm to the target algorithm trading module for algorithm trading processing.

[0038] In one embodiment, the algorithm bus module determines a target algorithm trading module among a plurality of algorithm trading modules according to the algorithm configuration parameters, and routes the target algorithm to the target algorithm trading module for algorithm trading processing, further comprising:

[0039] The target algorithm adaptation service detects whether the algorithm configuration parameters match the historical configuration parameters;

[0040] The target algorithm adaptation service creates a new target process when the algorithm configuration parameters do not match the historical configuration parameters, and converts the target algorithm sheet into the adaptation algorithm sheet according to the algorithm configuration parameters through the target process;

[0041] The target algorithm adaptation service determines the target API structure based on the business type corresponding to the adaptation algorithm;

[0042] The target algorithm adaptation service performs structural assembly on the adaptation algorithm sheet according to the target API structure to obtain the interface encapsulation algorithm sheet;

[0043] The target algorithm adapter service sends the interface encapsulation algorithm list to the API communication unit; the interface encapsulation algorithm list is transmitted over the network in a binary data format;

[0044] The API communication unit converts the interface encapsulation algorithm into an algorithm callback function;

[0045] The API communication unit determines the target algorithmic trading module according to the algorithm configuration parameters, and sends the algorithm callback function to the target algorithmic trading module for algorithmic trading processing;

[0046] The API communication unit receives the algorithm single processing information corresponding to the interface encapsulation algorithm sent by the target transaction algorithm module, and sends the algorithm single processing information to the target algorithm adaptation service;

[0047] The target algorithm adaptation service sends the algorithm single processing information to the transaction service middle station according to the target process;

[0048] The transaction service middle platform manages and controls the algorithm master order and child order corresponding to the target algorithm order based on the algorithm order processing information.

[0049] The present application provides an algorithmic trading processing system and method, the system includes: a trading service middle station, an algorithm bus module and several algorithmic trading modules; the trading service middle station is used to obtain the algorithm configuration parameters and target algorithm sheet corresponding to the algorithm entrustment request when detecting the algorithm entrustment request input by the user; the trading service middle station is also used to send the algorithm configuration parameters and the target algorithm sheet to the algorithm bus module; the algorithm bus module is used to determine the target algorithmic trading module among several algorithmic trading modules according to the algorithm configuration parameters, and route the target algorithm sheet to the target algorithmic trading module for algorithmic trading processing. The present application can be based on the algorithm bus module routing to the target algorithmic trading module among several algorithmic trading modules for algorithmic trading processing, realize the direct docking between the trading service middle station and the target algorithmic trading module, release the mesh docking between the algorithm platforms corresponding to several algorithmic trading modules and the trading service middle station, reduce the system docking coupling degree, and thus reduce the docking difficulty. BRIEF DESCRIPTION OF THE DRAWINGS

[0050] The accompanying drawings, which are incorporated in and constitute a part of this specification, illustrate embodiments consistent with the present application and, together with the description, serve to explain the principles of the present application.

[0051] In order to more clearly illustrate the embodiments of the present application or the technical solutions in the prior art, the drawings required for use in the embodiments or the description of the prior art will be briefly introduced below. Obviously, for ordinary technicians in this field, other drawings can be obtained based on these drawings without paying any creative labor.

[0052] Figure 1 It is a first structural block diagram of the first embodiment of the algorithmic trading processing system of the present invention;

[0053] Figure 2 It is a second structural block diagram of the first embodiment of the algorithmic trading processing system of the present invention;

[0054] Figure 3 It is a structural block diagram of the second embodiment of the algorithmic trading processing system of the present invention;

[0055] Figure 4 This is a first flow chart of the first embodiment of the algorithmic trading processing method of the present application;

[0056] Figure 5 This is a second flow chart of the first embodiment of the algorithmic trading processing method of the present application;

[0057] Figure 6 This is a third flow chart of the first embodiment of the algorithmic trading processing method of the present application.

[0058] The purpose, features and advantages of this application will be further described in conjunction with the embodiments and with reference to the accompanying drawings. DETAILED DESCRIPTION

[0059] It should be understood that the specific embodiments described herein are only used to explain the technical solutions of the present application and are not used to limit the present application.

[0060] In order to better understand the technical solution of the present application, a detailed description will be given below in conjunction with the accompanying drawings and specific implementation methods.

[0061] The main solution of this application is: to propose an algorithmic trading processing system, which includes: a trading service middle station, an algorithm bus module and several algorithmic trading modules; the trading service middle station is used to obtain the algorithm configuration parameters and target algorithm single corresponding to the algorithm entrustment request when detecting the algorithm entrustment request input by the user; the trading service middle station is also used to send the algorithm configuration parameters and the target algorithm single to the algorithm bus module; the algorithm bus module is used to determine the target algorithmic trading module among several algorithmic trading modules according to the algorithm configuration parameters, and route the target algorithm single to the target algorithm trading module for algorithmic trading processing.

[0062] In order to meet the needs of different customers and enrich algorithm application scenarios in the existing algorithmic trading process, algorithmic trading is often carried out by introducing algorithmic platforms from multiple suppliers. However, due to the differences in the protocols of each supplier, the mesh-type docking increases the system coupling degree. Therefore, the algorithmic trading process has problems such as complex docking and difficult system operation and maintenance.

[0063] In order to solve the above problems, the present application can perform algorithmic trading processing based on the routing of the algorithm bus module to a target algorithm trading module among several algorithm trading modules, thereby realizing direct docking between the trading service middle platform and the target algorithm trading module, and releasing the mesh docking between the algorithm platforms corresponding to several algorithm trading modules and the trading service middle platform, thereby reducing the system docking coupling degree and thus reducing the docking difficulty.

[0064] The embodiment of the present invention provides an algorithmic trading processing system, referring to Figure 1 , Figure 1 FIG. 1 is a first structural block diagram of the first embodiment of the algorithmic trading processing system of the present invention. Figure 1 As shown, in this embodiment, the system includes: a transaction service middle platform, an algorithm bus module and several algorithm trading modules;

[0065] The trading service middle station is used to obtain the algorithm configuration parameters and target algorithm sheet corresponding to the algorithm entrustment request when detecting the algorithm entrustment request input by the user;

[0066] The transaction service middle station is also used to send the algorithm configuration parameters and the target algorithm single to the algorithm bus module;

[0067] The algorithm bus module is used to determine a target algorithm trading module among a plurality of algorithm trading modules according to the algorithm configuration parameters, and route the target algorithm single to the target algorithm trading module for algorithm trading processing.

[0068] It should be understood that the above-mentioned trading service middle platform can be a service responsible for handling the business logic of entrustment, order cancellation, and transaction; and the above-mentioned algorithmic trading module can be an algorithmic platform from different suppliers that conducts algorithmic order splitting transactions or an internal algorithm system that comes with the algorithmic trading system, which can support the triggering and maintenance functions of various algorithmic orders.

[0069] It is easy to understand that the above algorithm entrustment request can be an algorithm order placement or cancellation request initiated by the front end. Users can place algorithm entrustment orders through the client based on the unified interface provided by the trading service middle end, and the algorithm entrustment can be a type of entrustment supported by the trading service middle end, including TWAP, VWAP, VP and other algorithms. After receiving the user's algorithm entrustment order, that is, the above target algorithm order, the front end of the algorithmic trading processing system can initiate an algorithm entrustment request to the trading service middle end.

[0070] After receiving the master order request, i.e., the algorithm entrustment request, the trading service center can obtain the request data corresponding to the algorithm entrustment request, i.e., the algorithm configuration parameters and the target algorithm order, and is responsible for maintaining the algorithm master order information in the database (i.e., writing the request data to the database), and sending the request data to the algorithm bus module. The algorithm configuration parameters may include the connection configuration parameters and data format corresponding to the algorithm trading module (i.e., the target algorithm trading module) of the target algorithm order to process the data.

[0071] It is understandable that the algorithm bus module in this embodiment can be a management and communication component proposed to reduce the communication coupling between the trading service platform and each algorithm trading module and reduce the difficulty of system operation and maintenance. Combined with the above analysis, it can be seen that the algorithm bus module can determine the target algorithm trading module corresponding to the target algorithm from a number of algorithm trading modules according to the algorithm configuration parameters, and establish a communication connection with the target algorithm trading module based on the algorithm configuration parameters, so as to send the target algorithm to the target algorithm trading module for transaction processing. That is, in this embodiment, the algorithm bus module can directly route the target algorithm to the corresponding target algorithm trading module for algorithmic trading processing according to the received algorithm configuration parameters.

[0072] The target algorithmic trading module can process the algorithmic splitting of the target algorithmic order, and send the sub-order entrustment to the trading service center or directly to the over-the-counter trading system through the algorithmic bus module. After receiving the sub-order entrustment, the trading service center can maintain the storage and route it to the over-the-counter trading system according to the account information. Alternatively, when the trading service center receives the confirmation of the sub-order and the transaction information of the sub-order, it can maintain the algorithmic order information and route the relevant information to the target algorithmic trading module.

[0073] In this embodiment, the algorithmic trading processing system can provide standard protocols to the outside world and support various types of trading terminals and algorithm platforms, that is, the rapid access of the above-mentioned several trading processing modules. The construction of the algorithm bus module can release the mesh connection between the algorithm platforms corresponding to several algorithmic trading modules and the trading service middle platform, thereby reducing the system connection coupling degree and thus reducing the connection difficulty.

[0074] In one possible implementation, refer to Figure 2 , Figure 2 FIG. 2 is a second structural block diagram of the first embodiment of the algorithmic trading processing system of the present invention. Figure 2 As shown, in this embodiment, the algorithm bus module includes: an interface communication submodule and a plurality of algorithm adaptation services;

[0075] The transaction service middle platform is further used to determine a target algorithm adaptation service among the plurality of algorithm adaptation services according to the algorithm configuration parameters;

[0076] The transaction service middle station is also used to send the algorithm configuration parameters and the target algorithm single to the target algorithm adaptation service;

[0077] The target algorithm adaptation service is used to convert the target algorithm list into an adaptation algorithm list according to the algorithm configuration parameters;

[0078] The interface communication submodule is used to determine the target algorithm trading module among several algorithm trading modules according to the algorithm configuration parameters, and route the adaptation algorithm single to the target algorithm trading module for algorithm trading processing.

[0079] It is understandable that the algorithm configuration parameters in this embodiment may also include the data format corresponding to the target algorithm trading module, and the data format of the target algorithm submitted by the user through the client often does not match the data format that can be processed by several algorithm trading modules. Therefore, in order to reduce the difficulty of data docking, in this embodiment, the algorithm bus module can support various standard protocols, and it includes several algorithm adaptation services, and one algorithm adaptation service can correspond to one data format conversion method.

[0080] Therefore, in this embodiment, after receiving the master order request, the transaction service center can distribute the algorithm order to different algorithm adapter services according to the algorithm configuration parameters. Specifically, in this embodiment, the transaction service center can determine the target algorithm adapter service among several algorithm adapter services of the algorithm bus module according to the algorithm configuration parameters, and then send the algorithm configuration parameters and the target algorithm order to the target algorithm adapter service.

[0081] The target algorithm adaptation service can convert the data format of the target algorithm order into an algorithm order of the corresponding data format of the target trading module, i.e., the above-mentioned adaptation algorithm order, based on the received parent order parameter information, i.e., the algorithm configuration parameters, and then route the adaptation algorithm order to the target algorithm trading module through the interface communication sub-module.

[0082] In this embodiment, the algorithm bus module can achieve protocol adaptation conversion with several algorithm trading modules through several algorithm adaptation services, thereby simplifying the system coupling, and then facilitating the access of external algorithm vendors, and improving the versatility of the algorithm bus module. Therefore, the algorithm trading processing system in this embodiment can internally perform unified management, unified risk control, and fair algorithm evaluation of each supplier's algorithm based on the algorithm processing module.

[0083] In a feasible implementation manner, in this embodiment, the target algorithm adaptation service is further used to detect whether the algorithm configuration parameters match the historical configuration parameters;

[0084] The target algorithm adaptation service is further used to create a new target process if not, and convert the target algorithm sheet into the adaptation algorithm sheet according to the algorithm configuration parameters through the target process.

[0085] It should be noted that in this embodiment, multiple processes can be set in each algorithm adaptation service. When the algorithm bus module communicates with the algorithm trading module corresponding to each algorithm manufacturer, a process will be created in the algorithm API adapter service to perform message interaction processing.

[0086] Therefore, in this embodiment, when each algorithm adaptation service, including the target algorithm adaptation service, can perform data docking with the target algorithm sheet, it is determined whether the algorithm configuration parameters corresponding to the target algorithm sheet match the historical configuration parameters, that is, whether it has created a processing process for the target algorithm trading module corresponding to the target algorithm sheet. If not, a new target process can be created to perform data docking with the target algorithm sheet, such as the conversion of the target algorithm sheet to the adaptation algorithm sheet, and other data communication operations with the target algorithm trading module.

[0087] In this implementation, one algorithm adapter service may correspond to one data format conversion method, and one process may correspond to one algorithm vendor's service. Therefore, the algorithm bus module may completely isolate the service modules of each algorithm vendor based on several algorithm adapter services, thereby effectively avoiding the risks of data leakage and confusion and improving the security of algorithm transactions.

[0088] This embodiment discloses an algorithmic trading processing system, the system includes: a trading service middle station, an algorithm bus module and several algorithmic trading modules; the trading service middle station is used to obtain the algorithm configuration parameters and target algorithm sheet corresponding to the algorithm entrustment request when detecting the algorithm entrustment request input by the user; the trading service middle station is also used to send the algorithm configuration parameters and the target algorithm sheet to the algorithm bus module; the algorithm bus module is used to determine the target algorithmic trading module among several algorithmic trading modules according to the algorithm configuration parameters, and route the target algorithm sheet to the target algorithmic trading module for algorithmic trading processing. In this embodiment, the algorithmic trading processing system can provide standard protocols to the outside world, support various types of trading terminals and algorithm platforms, that is, the rapid access of the above-mentioned several trading processing modules, and the construction of the algorithm bus module can release the mesh docking between the algorithm platforms corresponding to several algorithmic trading modules and the trading service middle station, reduce the system docking coupling degree, and thus reduce the docking difficulty.

[0089] In addition, the algorithm bus module in this embodiment includes: an interface communication submodule and several algorithm adaptation services; a transaction service middle station, which is also used to determine the target algorithm adaptation service in several algorithm adaptation services according to the algorithm configuration parameters; the transaction service middle station is also used to send the algorithm configuration parameters and the target algorithm single to the target algorithm adaptation service; the target algorithm adaptation service is used to convert the target algorithm single into the adaptation algorithm single according to the algorithm configuration parameters; the interface communication submodule is used to determine the target algorithm trading module in several algorithm trading modules according to the algorithm configuration parameters, and route the adaptation algorithm single to the target algorithm trading module for algorithm trading processing. Therefore, in this embodiment, the algorithm bus module can realize the protocol adaptation conversion with several algorithm trading modules through several algorithm adaptation services, thereby simplifying the system coupling, and then facilitating the access of external algorithm manufacturers and improving the versatility of the algorithm bus module. Therefore, in this embodiment, the algorithm trading processing system can internally manage and control the algorithms of each supplier based on the algorithm bus module, and conduct fair algorithm evaluation.

[0090] At the same time, in this embodiment, the target algorithm adaptation service is also used to detect whether the algorithm configuration parameters match the historical configuration parameters; if not, the target algorithm adaptation service is also used to create a new target process, and convert the target algorithm sheet into an adaptation algorithm sheet according to the algorithm configuration parameters through the target process. Therefore, in this embodiment, the algorithm bus module can completely isolate the service modules of each algorithm manufacturer based on several algorithm adaptation services, thereby effectively avoiding the risk of data leakage and confusion, and improving the security of algorithmic transactions.

[0091] Based on the first embodiment of the present application, in the second embodiment of the present application, the same or similar contents as those in the above-mentioned embodiment 1 can be referred to the above introduction and will not be repeated later.

[0092] Based on the first embodiment, please refer to Figure 3 , Figure 3 It is a structural block diagram of the second embodiment of the algorithmic trading processing system of the present invention. In this embodiment, the interface communication submodule includes a FIX communication unit or an API communication unit;

[0093] It is easy to understand that in this embodiment, the interface communication submodule in the algorithm bus module may include a FIX communication unit or an API communication unit, that is, the algorithm bus module in this embodiment can realize data communication between the trading service middle station and the algorithm trading module based on the FIX protocol or API interface.

[0094] It should be understood that since there are many open source FIX protocol versions available and the compatibility between different versions of FIX protocols is unstable, system maintenance is relatively troublesome; and the FIX protocol itself has low communication efficiency because it needs to ensure the security and stability of messages. Therefore, this embodiment preferably performs data communication through the API communication unit.

[0095] In a feasible implementation manner, in this embodiment, the target algorithm adaptation service is further used to perform preset interface assembly on the adaptation algorithm sheet to obtain an interface encapsulation algorithm sheet when it is detected that the algorithm configuration parameters include an API communication indicator;

[0096] The target algorithm adapter service is further used to send the interface encapsulation algorithm list to the API communication unit; the interface encapsulation algorithm list is transmitted over the network in a binary data format;

[0097] The API communication unit is used to convert the interface encapsulation algorithm into an algorithm callback function;

[0098] The API communication unit is also used to determine the target algorithm trading module according to the algorithm configuration parameters, and send the algorithm callback function to the target algorithm trading module for algorithm trading processing.

[0099] It is understandable that when the target algorithm adapter service detects that the algorithm configuration parameters include API communication indicators, it can indicate that the algorithm bus module uses the API communication unit to perform data communication between the trading service middle station and the algorithm trading system when processing the current algorithm transaction. At this time, the target algorithm adapter service can assemble the request in the structure format defined by the algorithm API, transmit it on the network as binary data, and send it to the API communication unit. Therefore, the target algorithm adapter service can assemble the adapter algorithm sheet with a preset interface, obtain the interface encapsulation algorithm sheet, and send the interface encapsulation algorithm sheet to the API communication unit in binary data format.

[0100] In a feasible implementation manner, in this embodiment, the target algorithm adaptation service is further used to determine the target API structure based on the business type corresponding to the adaptation algorithm;

[0101] The target algorithm adaptation service is further used to assemble the adaptation algorithm sheet according to the target API structure to obtain the interface encapsulation algorithm sheet.

[0102] It should be noted that, in the present embodiment, the algorithm bus module may pre-configure corresponding API structures for algorithm sheets of different business types. Therefore, in the actual algorithm trading process, the target algorithm adaptation service may determine its corresponding target API structure based on the business type corresponding to the adaptation algorithm sheet, and then assemble the structure defined by the algorithm API for the adaptation algorithm sheet according to the target API structure to obtain an interface encapsulation algorithm sheet.

[0103] Accordingly, the API communication unit will receive relevant requests, process the received structure data (i.e., the interface encapsulation algorithm), and convert it into an API callback function, i.e., the above-mentioned algorithm callback function, and then feed back the algorithm callback function to the target algorithm trading module to implement algorithm trading processing.

[0104] Each algorithm trading module can also uniformly connect to the algorithm callback function sent by the API communication unit according to the provided algorithm API interface, and the algorithm bus end is relatively stable. When a new external algorithm manufacturer needs to be connected, it only needs to connect to the algorithm bus module according to the API interface.

[0105] In a feasible implementation, in this embodiment, the API communication unit is further used to receive the algorithm single processing information corresponding to the interface encapsulation algorithm sent by the target transaction algorithm module, and send the algorithm single processing information to the target algorithm adaptation service;

[0106] The target algorithm adaptation service is further used to send the algorithm single processing information to the transaction service middle station according to the target process;

[0107] The transaction service middle platform is also used to manage and control the algorithm master order and child order corresponding to the target algorithm order based on the algorithm order processing information.

[0108] It is easy to understand that the above algorithm order processing information can be the sub-order information or parent order status change information corresponding to the target algorithm order. For example, when the API communication unit is used for data communication between the trading service center and the target algorithm trading module, and the target algorithm trading module performs relevant algorithm processing on the algorithm master order (i.e. the target algorithm order) to remove the sub-order, the API communication unit can be connected through the relevant API call to send the removed sub-order to the trading service center.

[0109] Alternatively, when the target algorithm trading module detects that the parent order status of the target algorithm order has changed, it can also push it to the trading service middle station through the relevant API call connection API communication unit.

[0110] Correspondingly, the transaction service can manage and control the algorithm master order and child orders corresponding to the target algorithm order based on the split child order and parent order status change information sent by the target algorithm adaptation service, that is, the above-mentioned algorithm order processing information.

[0111] Therefore, this embodiment can perform binary format data transmission based on the API communication unit, so that the efficiency of information interaction between the algorithm bus and several algorithm trading modules is greatly improved, and greater concurrency and lower latency can be supported; based on the API communication unit, the versatility of the algorithm bus is further improved, and the access of external algorithm manufacturers is conveniently supported, so that the algorithm bus has stronger functional extensibility and can conveniently support the business function expansion of the algorithm trading module.

[0112] Therefore, the algorithmic trading processing system proposed in this application can provide functions such as unified protocol specifications, protocol conversion adaptation and transaction routing, helping securities companies to build a multi-platform algorithm management center, while meeting the system construction needs of securities companies and achieving unified management and control of the algorithm platform.

[0113] This embodiment discloses that the interface communication submodule includes a FIX communication unit or an API communication unit. The target algorithm adaptation service is also used to perform preset interface assembly on the adaptation algorithm sheet when it is detected that the algorithm configuration parameters contain API communication indicators to obtain the interface encapsulation algorithm sheet; the target algorithm adapter service is also used to send the interface encapsulation algorithm sheet to the API communication unit; the interface encapsulation algorithm sheet is transmitted over the network in binary data format; the API communication unit is used to convert the interface encapsulation algorithm into an algorithm callback function; the API communication unit is also used to determine the target algorithm trading module according to the algorithm configuration parameters, and send the algorithm callback function to the target algorithm trading module for algorithmic trading processing. The target algorithm adaptation service is also used to determine the target API structure based on the business type corresponding to the adaptation algorithm sheet; the target algorithm adaptation service is also used to perform structure assembly on the adaptation algorithm sheet according to the target API structure to obtain the interface encapsulation algorithm sheet. The API communication unit is also used to receive the algorithm sheet processing information corresponding to the interface encapsulation algorithm sent by the target trading algorithm module, and send the algorithm sheet processing information to the target algorithm adaptation service; the target algorithm adaptation service is also used to send the algorithm sheet processing information to the trading service middle station according to the target process. Therefore, this embodiment can perform binary format data transmission based on the API communication unit, so that the efficiency of information interaction between the algorithm bus and several algorithm trading modules is greatly improved, and greater concurrency and lower latency can be supported; and based on the API communication unit, the versatility of the algorithm bus is further improved, and the access of external algorithm manufacturers is conveniently supported, so that the algorithm bus has stronger functional extensibility and can conveniently support the business function expansion of the algorithm trading module.

[0114] It should be understood that the various parts disclosed in this application can be implemented by hardware, software, firmware or a combination thereof. In the description of the above embodiments, specific features, structures, materials or characteristics can be combined in any one or more embodiments or examples in a suitable manner.

[0115] The above are only specific implementations of the present application, but the protection scope of the present application is not limited thereto. Any technician familiar with the technical field can easily think of changes or substitutions within the technical scope disclosed in the present application, which should be included in the protection scope of the present application. Therefore, the protection scope of the present application should be based on the protection scope of the claims.

[0116] It should be noted that the execution subject of this embodiment may be an algorithmic trading processing system, or a computing service device with data processing, network communication and program running functions, such as a tablet computer, a personal computer, a medical testing device, etc., or an algorithmic trading processing device capable of realizing the above functions, etc., and this embodiment does not specifically limit this. The following takes the algorithmic trading processing system as the execution subject as an example to illustrate this embodiment and the following embodiments.

[0117] The embodiment of the present invention provides an algorithmic transaction processing method based on the algorithmic transaction processing system. Figure 4 , Figure 4 This is a first flow chart of the first embodiment of the algorithmic trading processing method of the present application.

[0118] In this embodiment, the algorithmic trading processing method includes steps S10 to S30:

[0119] Step S10, when the transaction service middle station detects the algorithm entrustment request input by the user, it obtains the algorithm configuration parameters and target algorithm sheet corresponding to the algorithm entrustment request;

[0120] Step S20, the transaction service middle station sends the algorithm configuration parameters and the target algorithm single to the algorithm bus module;

[0121] Step S30, the algorithm bus module determines a target algorithm trading module among a plurality of algorithm trading modules according to the algorithm configuration parameters, and routes the target algorithm single to the target algorithm trading module for algorithm trading processing.

[0122] In a feasible implementation, the algorithm bus module includes: an interface communication submodule and a plurality of algorithm adaptation services; Figure 5 , Figure 5 This is a second flow chart of the first embodiment of the algorithmic trading processing method of the present application. The preset temperature information includes the target temperature difference and the average battery temperature. In this embodiment, step S20 may include steps A1 to A2:

[0123] Step A1, the transaction service middle platform determines a target algorithm adaptation service among the plurality of algorithm adaptation services according to the algorithm configuration parameters;

[0124] Step A2, the transaction service middle station sends the algorithm configuration parameters and the target algorithm list to the target algorithm adaptation service;

[0125] Accordingly, step S30 includes steps B1 to B2:

[0126] Step B1, the target algorithm adaptation service converts the target algorithm list into an adaptation algorithm list according to the algorithm configuration parameters;

[0127] Step B2, the interface communication submodule determines the target algorithm trading module among several algorithm trading modules according to the algorithm configuration parameters, and routes the adaptation algorithm to the target algorithm trading module for algorithm trading processing.

[0128] In one possible implementation, refer to Figure 6 , Figure 6 This is a third flow chart of the first embodiment of the algorithmic trading processing method of the present application. In this embodiment, step S30 may further include steps C1 to C10:

[0129] Step C1, the target algorithm adaptation service detects whether the algorithm configuration parameters match the historical configuration parameters;

[0130] Step C2, when the algorithm configuration parameters do not match the historical configuration parameters, the target algorithm adaptation service creates a new target process, and converts the target algorithm sheet into the adaptation algorithm sheet according to the algorithm configuration parameters through the target process;

[0131] Step C3, the target algorithm adaptation service determines the target API structure based on the business type corresponding to the adaptation algorithm;

[0132] Step C4, the target algorithm adaptation service performs structural assembly on the adaptation algorithm sheet according to the target API structure to obtain the interface encapsulation algorithm sheet;

[0133] Step C5, the target algorithm adapter service sends the interface encapsulation algorithm list to the API communication unit; the interface encapsulation algorithm list is transmitted over the network in a binary data format;

[0134] Step C6, the API communication unit converts the interface encapsulation algorithm into an algorithm callback function;

[0135] Step C7, the API communication unit determines the target algorithmic trading module according to the algorithm configuration parameters, and sends the algorithm callback function to the target algorithmic trading module for algorithmic trading processing;

[0136] Step C8, the API communication unit receives the algorithm single processing information corresponding to the interface encapsulation algorithm sent by the target transaction algorithm module, and sends the algorithm single processing information to the target algorithm adaptation service;

[0137] Step C9, the target algorithm adaptation service sends the algorithm single processing information to the transaction service middle station according to the target process;

[0138] Step C10, the transaction service middle platform manages and controls the algorithm master order and child order corresponding to the target algorithm order according to the algorithm order processing information.

[0139] The algorithmic transaction processing method provided by this application is a system operation method proposed based on the algorithmic transaction processing system in the above embodiment, which can also solve the technical problem of improving the safety of CNC machining. Compared with the prior art, the beneficial effects of the algorithmic transaction processing method provided by this application are the same as the beneficial effects of the algorithmic transaction processing system provided by the above embodiment, and the other technical features in the algorithmic transaction processing method are the same as the features disclosed in the above embodiment method, which will not be repeated here.

[0140] The flow chart and block diagram in the accompanying drawings illustrate the possible architecture, function and operation of the system, method and computer program product according to various embodiments of the present application. In this regard, each square box in the flow chart or block diagram can represent a module, a program segment or a part of a code, and the module, the program segment or a part of the code contains one or more executable instructions for realizing the specified logical function. It should also be noted that in some alternative implementations, the functions marked in the square box can also occur in a sequence different from that marked in the accompanying drawings. For example, two square boxes represented in succession can actually be executed substantially in parallel, and they can sometimes be executed in the opposite order, depending on the functions involved. It should also be noted that each square box in the block diagram and / or flow chart, and the combination of the square boxes in the block diagram and / or flow chart can be implemented with a dedicated hardware-based system that performs a specified function or operation, or can be implemented with a combination of dedicated hardware and computer instructions.

[0141] The modules involved in the embodiments described in this application may be implemented by software or hardware, wherein the name of the module does not constitute a limitation on the unit itself in some cases.

[0142] The above are only some embodiments of the present application, and are not intended to limit the patent scope of the present application. All equivalent structural changes made using the contents of the present application specification and drawings under the technical concept of the present application, or direct / indirect application in other related technical fields are included in the patent protection scope of the present application.

Claims

1. An algorithmic trading processing system, characterized in that: The system includes: a trading service middle platform, an algorithm bus module and several algorithm trading modules; The trading service middle station is used to obtain the algorithm configuration parameters and target algorithm sheet corresponding to the algorithm entrustment request when detecting the algorithm entrustment request input by the user; The transaction service middle station is also used to send the algorithm configuration parameters and the target algorithm single to the algorithm bus module; The algorithm bus module is used to determine a target algorithm trading module among a plurality of algorithm trading modules according to the algorithm configuration parameters, and route the target algorithm single to the target algorithm trading module for algorithm trading processing.

2. The algorithmic trading processing system according to claim 1, characterized in that: The algorithm bus module includes: an interface communication submodule and a plurality of algorithm adaptation services; The transaction service middle platform is further used to determine a target algorithm adaptation service among the plurality of algorithm adaptation services according to the algorithm configuration parameters; The transaction service middle station is also used to send the algorithm configuration parameters and the target algorithm single to the target algorithm adaptation service; The target algorithm adaptation service is used to convert the target algorithm list into an adaptation algorithm list according to the algorithm configuration parameters; The interface communication submodule is used to determine the target algorithm trading module among several algorithm trading modules according to the algorithm configuration parameters, and route the adaptation algorithm single to the target algorithm trading module for algorithm trading processing.

3. The algorithmic trading processing system according to claim 2, characterized in that: The target algorithm adaptation service is also used to detect whether the algorithm configuration parameters match the historical configuration parameters; The target algorithm adaptation service is further used to create a new target process if not, and convert the target algorithm sheet into the adaptation algorithm sheet according to the algorithm configuration parameters through the target process.

4. The algorithmic trading processing system of claim 3, wherein: The interface communication submodule includes a FIX communication unit or an API communication unit.

5. The algorithmic trading processing system of claim 4, wherein: The target algorithm adaptation service is further used to perform preset interface assembly on the adaptation algorithm sheet to obtain an interface encapsulation algorithm sheet when it is detected that the algorithm configuration parameters include an API communication indicator; The target algorithm adapter service is further used to send the interface encapsulation algorithm list to the API communication unit; the interface encapsulation algorithm list is transmitted over the network in a binary data format; The API communication unit is used to convert the interface encapsulation algorithm into an algorithm callback function; The API communication unit is also used to determine the target algorithm trading module according to the algorithm configuration parameters, and send the algorithm callback function to the target algorithm trading module for algorithm trading processing.

6. The algorithmic trading processing system of claim 5, wherein: The target algorithm adaptation service is further used to determine the target API structure based on the business type corresponding to the adaptation algorithm; The target algorithm adaptation service is further used to assemble the adaptation algorithm sheet according to the target API structure to obtain the interface encapsulation algorithm sheet.

7. The algorithmic trading processing system of claim 6, wherein: The API communication unit is further used to receive the algorithm single processing information corresponding to the interface encapsulation algorithm sent by the target transaction algorithm module, and send the algorithm single processing information to the target algorithm adaptation service; The target algorithm adaptation service is further used to send the algorithm single processing information to the transaction service middle station according to the target process; The transaction service middle platform is also used to manage and control the algorithm master order and child order corresponding to the target algorithm order based on the algorithm order processing information.

8. An algorithmic transaction processing method based on the algorithmic transaction processing system according to any one of claims 1 to 7, characterized in that: The method comprises: When the transaction service middle station detects the algorithm entrustment request input by the user, it obtains the algorithm configuration parameters and target algorithm sheet corresponding to the algorithm entrustment request; The transaction service middle station sends the algorithm configuration parameters and the target algorithm single to the algorithm bus module; The algorithm bus module determines a target algorithm trading module among a plurality of algorithm trading modules according to the algorithm configuration parameters, and routes the target algorithm single to the target algorithm trading module for algorithm trading processing.

9. The algorithmic trading processing method according to claim 8, characterized in that: The algorithm bus module includes: an interface communication submodule and a plurality of algorithm adaptation services; The step of the transaction service middle station sending the algorithm configuration parameters and the target algorithm single to the algorithm bus module includes: The transaction service middle station determines a target algorithm adaptation service among the plurality of algorithm adaptation services according to the algorithm configuration parameters; The transaction service middle station sends the algorithm configuration parameters and the target algorithm list to the target algorithm adaptation service; Accordingly, the algorithm bus module determines a target algorithm trading module among a plurality of algorithm trading modules according to the algorithm configuration parameters, and routes the target algorithm to the target algorithm trading module for algorithm trading processing, including: The target algorithm adaptation service converts the target algorithm list into an adaptation algorithm list according to the algorithm configuration parameters; The interface communication submodule determines the target algorithm trading module among a plurality of algorithm trading modules according to the algorithm configuration parameters, and routes the adaptation algorithm to the target algorithm trading module for algorithm trading processing.

10. The algorithmic trading processing method according to claim 9, characterized in that: The algorithm bus module determines a target algorithm trading module among a plurality of algorithm trading modules according to the algorithm configuration parameters, and routes the target algorithm to the target algorithm trading module for algorithm trading processing, further comprising: The target algorithm adaptation service detects whether the algorithm configuration parameters match the historical configuration parameters; The target algorithm adaptation service creates a new target process when the algorithm configuration parameters do not match the historical configuration parameters, and converts the target algorithm sheet into the adaptation algorithm sheet according to the algorithm configuration parameters through the target process; The target algorithm adaptation service determines the target API structure based on the business type corresponding to the adaptation algorithm; The target algorithm adaptation service performs structural assembly on the adaptation algorithm sheet according to the target API structure to obtain the interface encapsulation algorithm sheet; The target algorithm adapter service sends the interface encapsulation algorithm list to the API communication unit; the interface encapsulation algorithm list is transmitted over the network in a binary data format; The API communication unit converts the interface encapsulation algorithm into an algorithm callback function; The API communication unit determines the target algorithmic trading module according to the algorithm configuration parameters, and sends the algorithm callback function to the target algorithmic trading module for algorithmic trading processing; The API communication unit receives the algorithm single processing information corresponding to the interface encapsulation algorithm sent by the target transaction algorithm module, and sends the algorithm single processing information to the target algorithm adaptation service; The target algorithm adaptation service sends the algorithm single processing information to the transaction service middle station according to the target process; The transaction service middle platform manages and controls the algorithm master order and child order corresponding to the target algorithm order based on the algorithm order processing information.

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