Automatic matching system and method for high-frequency transactions

Abstract

The invention belongs to the technical field of high-frequency transactions, and particularly relates to an automatic matching system for high-frequency transactions, which comprises a data acquisition and processing module, a transaction strategy engine, an order management system, a matching engine, a risk control system, a network and communication module, a log and monitoring system and an algorithm optimization and performance optimization module, and the data acquisition and processing module is responsible for receiving market information data, transaction information and other related data in real time and processing and analyzing the data in real time so as to make a quick decision. Through the functions of intelligent data processing, strategy generation, efficient order management, precise matching, comprehensive risk control, low-delay communication, system monitoring and optimization and the like, the transaction efficiency, accuracy and stability can be remarkably improved, and powerful technical support and guarantee are provided for high-frequency transactions.

Description

Technical Field

[0001] The present invention belongs to the technical field of high-frequency trading, and in particular relates to an automatic matching system and method for high-frequency trading. Background Art

[0002] High-frequency trading is a trading strategy that uses advanced technology and complex algorithms to conduct a large number of transactions in a very short period of time. Its main feature is that it can complete a large number of transactions within milliseconds or even microseconds through high-speed data processing and ultra-low latency transaction execution. This strategy relies on the automated execution of algorithms and programs, generates trading signals through real-time analysis of market data, and quickly captures small price differences in the market to achieve profits.

[0003] The advantages of high-frequency trading include significantly improving market efficiency and liquidity. Since high-frequency traders trade frequently, there are more buy and sell orders in the market, which reduces market price volatility and liquidity risks. This high-frequency operation also helps improve the market's price discovery efficiency, allowing market prices to reflect information more quickly and accurately. By using algorithms to capture price differences and market imbalances, high-frequency trading can conduct arbitrage, reduce transaction costs, and improve transaction economics.

[0004] However, high-frequency trading also brings a series of challenges and risks. First, this trading method has extremely high requirements for technical facilities, requiring high-performance hardware and low-latency network connections, and the technical threshold is very high. Secondly, due to the fast trading speed, it may cause excessive market fluctuations and increase market instability. In addition, high-frequency trading faces strict regulatory pressure, and many countries and regions regulate it to prevent market manipulation and systemic risks. Ethical controversy is also an important issue. High-frequency trading may be considered unfair to ordinary investors and may exacerbate market inequality.

[0005] The existing high-frequency trading has poor efficiency, accuracy and stability, lacks technical support and guarantee, and is not conducive to users to conduct high-frequency trading. Therefore, we propose an automatic matching system and method for high-frequency trading to solve the above problems. Summary of the invention

[0006] The purpose of the present invention is to provide an automatic matching system and method for high-frequency trading, which can significantly improve the efficiency, accuracy and stability of transactions through intelligent data processing, strategy generation, efficient order management, accurate matching, comprehensive risk control, low-latency communication, system monitoring and optimization, etc., and provide strong technical support and guarantee for high-frequency trading.

[0007] The technical solution adopted by the present invention is as follows:

[0008] An automatic matching system for high-frequency trading, the automatic matching system comprising a data collection and processing module, a trading strategy engine, an order management system, a matching engine, a risk control system, a network and communication module, a log and monitoring system, and an algorithm optimization and performance tuning module.

[0009] In a preferred solution, the data acquisition and processing module is responsible for receiving market data, transaction information and other relevant data in real time, and processing and analyzing the data in real time to make quick decisions.

[0010] In a preferred embodiment, the trading strategy engine includes algorithms and strategies for generating buy and sell signals and determining trading strategies. The trading strategy engine uses mathematical models and statistical analysis methods to predict market trends and price changes.

[0011] In a preferred solution, the order management system is responsible for managing the creation, modification, and cancellation of orders, ensuring that orders are sent according to policies, and managing the life cycle of orders.

[0012] In a preferred embodiment, the matching engine actually executes the transaction, matches the buy and sell orders, and handles the priority and price matching of the orders to ensure that the transaction is completed as expected.

[0013] In a preferred embodiment, the risk control system monitors trading activities, assesses risks in real time and performs control, including the management of market risk, credit risk and operational risk.

[0014] In a preferred embodiment, the network and communication module is responsible for high-speed communication between the system and exchanges and market data providers, ensuring low latency and high reliability of data transmission.

[0015] In a preferred embodiment, the log and monitoring system records the system's operation logs and transaction records for subsequent analysis and auditing, real-time monitoring of system status, and detection and handling of abnormal situations.

[0016] In a preferred embodiment, the algorithm optimization and performance tuning module continuously optimizes the trading algorithm and system performance to maintain efficient trading execution, including hardware and software optimization to reduce latency and improve throughput.

[0017] In a preferred embodiment, an automatic matching method of an automatic matching system for high-frequency trading comprises the following steps:

[0018] Step 1. Market data reception and analysis:

[0019] Real-time data collection: The system obtains market data including price, volume, and order book in real time from exchanges and market data providers;

[0020] Data parsing: Parse and standardize the received data for subsequent processing;

[0021] Step 2. Strategy generation:

[0022] Data analysis: Analyze market data using statistical models, machine learning algorithms or other analytical tools;

[0023] Signal generation: Generate trading signals based on analysis results, including buy, sell or hold signals, based on trend predictions, spread strategies, and arbitrage opportunities;

[0024] Step 3. Order generation:

[0025] Strategy application: Apply trading strategies based on generated trading signals and calculate specific parameters of orders, including price and quantity;

[0026] Order creation: The system generates buy or sell orders and specifies relevant conditions for each order, including limit orders and market orders;

[0027] Step 4. Order routing and delivery:

[0028] Order routing: Routing generated orders to the appropriate exchange or market;

[0029] Order sending: Send orders to exchanges via high-speed networks to ensure low latency;

[0030] Step 5. Matching execution:

[0031] Matching engine: The exchange’s matching engine receives orders and matches them based on the price priority and time priority rules;

[0032] Confirmation of execution: Once the match is successful, the exchange will return confirmation information of the order execution;

[0033] Step 6. Real-time monitoring and adjustment:

[0034] Order status monitoring: real-time monitoring of order status, including unfulfilled and partially fulfilled orders;

[0035] Strategy adjustment: adjust trading strategies and order parameters according to market changes and order execution, including modifying order prices and canceling orders;

[0036] Step 7. Risk Management:

[0037] Real-time risk assessment: monitor market risk, operational risk and credit risk to ensure that the system operates within the preset risk range;

[0038] Risk control measures: When abnormal or out-of-risk situations are detected, measures are taken, including stopping trading and reducing positions;

[0039] Step 8. Logging and analysis:

[0040] Logging: Record all trading activities, strategy decisions, and system status information;

[0041] Post-analysis: Analyze trading logs to evaluate strategy performance and system operation, and make optimization adjustments.

[0042] The technical effects achieved by the present invention are:

[0043] The data acquisition and processing module can receive and analyze market data and transaction information in real time, so that the system can respond quickly to market changes and make timely decisions. This fast data processing capability can help traders seize market opportunities and optimize trading strategies. The trading strategy engine can generate buy and sell signals based on market trends and price changes and predict market trends by applying mathematical models and statistical analysis methods. Intelligent strategy generation not only improves the accuracy of transactions, but also gains competitive advantages in complex market environments. The order management system is responsible for operations such as order creation, modification, and cancellation to ensure that orders are executed according to predetermined strategies and effectively manage the order life cycle. This management capability can reduce human errors and improve the accuracy and efficiency of order execution.

[0044] The matching engine is responsible for matching buy and sell orders, and handling order priorities and price matching to ensure that transactions are completed as expected. Accurate matching execution can minimize slippage and transaction costs, and improve the success rate of transactions. The risk control system can evaluate and manage market risks, credit risks, and operational risks in real time to ensure that trading activities are carried out within a controllable range, which helps prevent potential losses and risks and protect the safety of traders' funds. The network and communication module ensures high-speed communication between the system and exchanges and data providers, reduces delays, and improves the reliability of data transmission, which is crucial for high-frequency trading and can ensure that trading signals and orders can be quickly communicated and processed;

[0045] The log and monitoring system records operation logs and transaction records, monitors system status in real time, and detects and handles abnormal situations. This not only helps with system maintenance and troubleshooting, but also provides data support for subsequent audits and analysis. The algorithm optimization and performance tuning module continuously optimizes trading algorithms and system performance, including hardware and software adjustments to reduce latency and increase throughput. Continuous optimization ensures that the system always runs in the best state, improving trading efficiency and effectiveness. The automatic matching method covers the complete trading process from market data reception, strategy generation, order creation, order routing, matching execution, real-time monitoring, risk management to log recording. The comprehensiveness and systematic management of the system can improve overall trading efficiency and reduce human intervention and operational risks. BRIEF DESCRIPTION OF THE DRAWINGS

[0046] Figure 1 It is a schematic diagram of an automatic matching system for high-frequency trading of the present invention. DETAILED DESCRIPTION

[0047] In order to make the above-mentioned objects, features and advantages of the present invention more obvious and easy to understand, the specific implementation methods of the present invention are described in detail below in conjunction with the accompanying drawings.

[0048] Embodiment 1

[0049] See also Figure 1 As shown, the present invention provides an automatic matching system for high-frequency trading, which includes a data acquisition and processing module, a trading strategy engine, an order management system, a matching engine, a risk control system, a network and communication module, a log and monitoring system, and an algorithm optimization and performance tuning module.

[0050] The data collection and processing module is responsible for receiving market data, transaction information and other relevant data in real time, and processing and analyzing the data in real time to make quick decisions.

[0051] The trading strategy engine contains algorithms and strategies for generating buy and sell signals and determining trading strategies. The trading strategy engine uses mathematical models and statistical analysis methods to predict market trends and price changes.

[0052] The order management system is responsible for managing the creation, modification, and cancellation of orders, ensuring that orders are sent according to policies, and managing the life cycle of orders.

[0053] The matching engine actually executes the transaction, matches the buy and sell orders, and handles the order priority and price matching to ensure that the transaction is completed as expected.

[0054] The risk control system monitors trading activities, assesses risks in real time and implements control, including the management of market risk, credit risk and operational risk.

[0055] The network and communication module is responsible for high-speed communication between the system and exchanges and market data providers, ensuring low latency and high reliability of data transmission.

[0056] The log and monitoring system records the system's operation logs and transaction records for subsequent analysis and auditing, monitors the system status in real time, and detects and handles abnormal situations.

[0057] The algorithm optimization and performance tuning module continuously optimizes trading algorithms and system performance to maintain efficient trading execution, including hardware and software optimization to reduce latency and improve throughput.

[0058] An automatic matching method of an automatic matching system for high-frequency trading, the automatic matching method comprising the following steps:

[0059] Step 1. Market data reception and analysis:

[0060] Real-time data collection: The system obtains market data including price, volume, and order book in real time from exchanges and market data providers;

[0061] Data parsing: Parse and standardize the received data for subsequent processing;

[0062] Step 2. Strategy generation:

[0063] Data analysis: Use statistical models to analyze market data;

[0064] Signal generation: Generate trading signals based on analysis results, including buy, sell or hold signals, based on trend predictions, spread strategies, and arbitrage opportunities;

[0065] Step 3. Order generation:

[0066] Strategy application: Apply trading strategies based on generated trading signals and calculate specific parameters of orders, including price and quantity;

[0067] Order creation: The system generates buy or sell orders and specifies relevant conditions for each order, including limit orders and market orders;

[0068] Step 4. Order routing and delivery:

[0069] Order routing: Routing generated orders to the appropriate exchange or market;

[0070] Order sending: Send orders to exchanges via high-speed networks to ensure low latency;

[0071] Step 5. Matching execution:

[0072] Matching engine: The exchange’s matching engine receives orders and matches them based on the price priority and time priority rules;

[0073] Confirmation of execution: Once the match is successful, the exchange will return confirmation information of the order execution;

[0074] Step 6. Real-time monitoring and adjustment:

[0075] Order status monitoring: real-time monitoring of order status, including unfulfilled and partially fulfilled orders;

[0076] Strategy adjustment: adjust trading strategies and order parameters according to market changes and order execution, including modifying order prices and canceling orders;

[0077] Step 7. Risk Management:

[0078] Real-time risk assessment: monitor market risk, operational risk and credit risk to ensure that the system operates within the preset risk range;

[0079] Risk control measures: When abnormal or out-of-risk situations are detected, measures are taken, including stopping trading and reducing positions;

[0080] Step 8. Logging and analysis:

[0081] Logging: Record all trading activities, strategy decisions, and system status information;

[0082] Post-analysis: Analyze trading logs to evaluate strategy performance and system operation, and make optimization adjustments.

[0083] Embodiment 2

[0084] See also Figure 1 As shown, the present invention provides an automatic matching system for high-frequency trading, which includes a data acquisition and processing module, a trading strategy engine, an order management system, a matching engine, a risk control system, a network and communication module, a log and monitoring system, and an algorithm optimization and performance tuning module.

[0085] The data collection and processing module is responsible for receiving market data, transaction information and other relevant data in real time, and processing and analyzing the data in real time to make quick decisions.

[0086] The trading strategy engine contains algorithms and strategies for generating buy and sell signals and determining trading strategies. The trading strategy engine uses mathematical models and statistical analysis methods to predict market trends and price changes.

[0087] The order management system is responsible for managing the creation, modification, and cancellation of orders, ensuring that orders are sent according to policies, and managing the life cycle of orders.

[0088] The matching engine actually executes the transaction, matches the buy and sell orders, and handles the order priority and price matching to ensure that the transaction is completed as expected.

[0089] The risk control system monitors trading activities, assesses risks in real time and implements control, including the management of market risk, credit risk and operational risk.

[0090] The network and communication module is responsible for high-speed communication between the system and exchanges and market data providers, ensuring low latency and high reliability of data transmission.

[0091] The log and monitoring system records the system's operation logs and transaction records for subsequent analysis and auditing, monitors the system status in real time, and detects and handles abnormal situations.

[0092] The algorithm optimization and performance tuning module continuously optimizes trading algorithms and system performance to maintain efficient trading execution, including hardware and software optimization to reduce latency and improve throughput.

[0093] An automatic matching method of an automatic matching system for high-frequency trading, the automatic matching method comprising the following steps:

[0094] Step 1. Market data reception and analysis:

[0095] Real-time data collection: The system obtains market data including price, volume, and order book in real time from exchanges and market data providers;

[0096] Data parsing: Parse and standardize the received data for subsequent processing;

[0097] Step 2. Strategy generation:

[0098] Data analysis: Use machine learning algorithms to analyze market data;

[0099] Signal generation: Generate trading signals based on analysis results, including buy, sell or hold signals, based on trend predictions, spread strategies, and arbitrage opportunities;

[0100] Step 3. Order generation:

[0101] Strategy application: Apply trading strategies based on generated trading signals and calculate specific parameters of orders, including price and quantity;

[0102] Order creation: The system generates buy or sell orders and specifies relevant conditions for each order, including limit orders and market orders;

[0103] Step 4. Order routing and delivery:

[0104] Order routing: Routing generated orders to the appropriate exchange or market;

[0105] Order sending: Send orders to exchanges via high-speed networks to ensure low latency;

[0106] Step 5. Matching execution:

[0107] Matching engine: The exchange’s matching engine receives orders and matches them based on the price priority and time priority rules;

[0108] Confirmation of execution: Once the match is successful, the exchange will return confirmation information of the order execution;

[0109] Step 6. Real-time monitoring and adjustment:

[0110] Order status monitoring: real-time monitoring of order status, including unfulfilled and partially fulfilled orders;

[0111] Strategy adjustment: adjust trading strategies and order parameters according to market changes and order execution, including modifying order prices and canceling orders;

[0112] Step 7. Risk Management:

[0113] Real-time risk assessment: monitor market risk, operational risk and credit risk to ensure that the system operates within the preset risk range;

[0114] Risk control measures: When abnormal or out-of-risk situations are detected, measures are taken, including stopping trading and reducing positions;

[0115] Step 8. Logging and analysis:

[0116] Logging: Record all trading activities, strategy decisions, and system status information;

[0117] Post-analysis: Analyze trading logs to evaluate strategy performance and system operation, and make optimization adjustments.

[0118] In the present invention, the data acquisition and processing module can receive and analyze market data and transaction information in real time, so that the system can quickly respond to market changes and make timely decisions. This fast data processing capability can help traders grasp market opportunities and optimize trading strategies. The trading strategy engine can generate buy and sell signals according to market trends and price changes and predict market trends by applying mathematical models and statistical analysis methods. Intelligent strategy generation not only improves the accuracy of transactions, but also can gain competitive advantages in complex market environments. The order management system is responsible for operations such as order creation, modification, and cancellation, ensuring that orders are executed according to predetermined strategies and effectively managing the order life cycle. This management capability can reduce human errors and improve the accuracy and efficiency of order execution.

[0119] The matching engine is responsible for matching buy and sell orders, and handling order priorities and price matching to ensure that transactions are completed as expected. Accurate matching execution can minimize slippage and transaction costs, and improve the success rate of transactions. The risk control system can evaluate and manage market risks, credit risks, and operational risks in real time to ensure that trading activities are carried out within a controllable range, which helps prevent potential losses and risks and protect the safety of traders' funds. The network and communication module ensures high-speed communication between the system and exchanges and data providers, reduces delays, and improves the reliability of data transmission, which is crucial for high-frequency trading and can ensure that trading signals and orders can be quickly communicated and processed;

[0120] The log and monitoring system records operation logs and transaction records, monitors system status in real time, and detects and handles abnormal situations. This not only helps with system maintenance and troubleshooting, but also provides data support for subsequent audits and analysis. The algorithm optimization and performance tuning module continuously optimizes trading algorithms and system performance, including hardware and software adjustments to reduce latency and increase throughput. Continuous optimization ensures that the system always runs in the best state, improving trading efficiency and effectiveness. The automatic matching method covers the complete trading process from market data reception, strategy generation, order creation, order routing, matching execution, real-time monitoring, risk management to log recording. The comprehensiveness and systematic management of the system can improve overall trading efficiency and reduce human intervention and operational risks.

[0121] The above is only a preferred embodiment of the present invention. It should be noted that, for those skilled in the art, several improvements and modifications can be made without departing from the principles of the present invention, and these improvements and modifications should also be considered as the protection scope of the present invention. The structures, devices and operating methods not specifically described and explained in the present invention shall be implemented according to the conventional means in the art unless otherwise specified and limited.

Claims

1. An automatic matching system for high-frequency trading, characterized by: The automatic matching system includes a data collection and processing module, a trading strategy engine, an order management system, a matching engine, a risk control system, a network and communication module, a log and monitoring system, and an algorithm optimization and performance tuning module.

2. The automatic matching system for high-frequency trading according to claim 1, characterized in that: The data acquisition and processing module is responsible for receiving market data, transaction information and other relevant data in real time, and processing and analyzing the data in real time to make quick decisions.

3. The automatic matching system for high-frequency trading according to claim 1, characterized in that: The trading strategy engine includes algorithms and strategies for generating buy and sell signals and determining trading strategies. The trading strategy engine uses mathematical models and statistical analysis methods to predict market trends and price changes.

4. The automatic matching system for high-frequency trading according to claim 1, characterized in that: The order management system is responsible for managing the creation, modification, and cancellation of orders, ensuring that orders are sent according to policies, and managing the life cycle of orders.

5. The automatic matching system for high-frequency trading according to claim 1, characterized in that: The matching engine actually executes the transaction, matches the buy and sell orders, and handles the order priorities and price matching to ensure that the transaction is completed as expected.

6. The automatic matching system for high-frequency trading according to claim 1, characterized in that: The risk control system monitors trading activities, assesses risks in real time and performs control, including the management of market risk, credit risk and operational risk.

7. The automatic matching system for high-frequency trading according to claim 1, characterized in that: The network and communication module is responsible for high-speed communication between the system and exchanges and market data providers, ensuring low latency and high reliability of data transmission.

8. The automatic matching system for high-frequency trading according to claim 1, characterized in that: The logging and monitoring system records the system's operation logs and transaction records for subsequent analysis and auditing, real-time monitoring of system status, and detection and handling of abnormal situations.

9. The automatic matching system for high-frequency trading according to claim 1, characterized in that: The algorithm optimization and performance tuning module continuously optimizes the trading algorithm and system performance to maintain efficient trading execution, including hardware and software optimization to reduce latency and improve throughput.

10. The automatic matching method of the automatic matching system for high-frequency trading according to claim 1 is characterized in that: The automatic matching method comprises the following steps: Step 1. Market data reception and analysis: Real-time data collection: The system obtains market data including price, volume, and order book in real time from exchanges and market data providers; Data parsing: Parse and standardize the received data for subsequent processing; Step 2. Strategy generation: Data analysis: Analyze market data using statistical models, machine learning algorithms or other analytical tools; Signal generation: Generate trading signals based on analysis results, including buy, sell or hold signals, based on trend predictions, spread strategies, and arbitrage opportunities; Step 3. Order generation: Strategy application: Apply trading strategies based on generated trading signals and calculate specific parameters of orders, including price and quantity; Order creation: The system generates buy or sell orders and specifies relevant conditions for each order, including limit orders and market orders; Step 4. Order routing and delivery: Order routing: Routing generated orders to the appropriate exchange or market; Order sending: Send orders to exchanges via high-speed networks to ensure low latency; Step 5. Matching execution: Matching engine: The exchange’s matching engine receives orders and matches them based on the price priority and time priority rules; Confirmation of execution: Once the match is successful, the exchange will return confirmation information of the order execution; Step 6. Real-time monitoring and adjustment: Order status monitoring: real-time monitoring of order status, including unfulfilled and partially fulfilled orders; Strategy adjustment: adjust trading strategies and order parameters according to market changes and order execution, including modifying order prices and canceling orders; Step 7. Risk Management: Real-time risk assessment: monitor market risk, operational risk and credit risk to ensure that the system operates within the preset risk range; Risk control measures: When abnormal or out-of-risk situations are detected, measures are taken, including stopping trading and reducing positions; Step 8. Logging and analysis: Logging: Record all trading activities, strategy decisions, and system status information; Post-analysis: Analyze trading logs to evaluate strategy performance and system operation, and make optimization adjustments.

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