Market data acquisition method and device, storage medium and computer device

Abstract

The application discloses a market data acquisition method and device, a storage medium and a computer device, relates to the technical field of data processing, and mainly aims to solve the problem of low effectiveness of existing market data source selection. Including: determining a plurality of market data sources; constructing a hash key based on each piece of market data in the market data source, and performing statistics based on the hash key to obtain a market quantity statistical result corresponding to the market data source; determining a market source index based on the market quantity statistical result, and performing standardized processing on market data of the market data source according to the market source index; based on the standardized market data, an evaluation result corresponding to the market data source is obtained, and market data corresponding to a target market data source determined based on the evaluation result is acquired.

Description

Technical Field

[0001] This application relates to the field of data processing technology, and in particular to a method, apparatus, storage medium, and computer equipment for acquiring market data. Background Technology

[0002] In the field of financial product trading, securities, futures, foreign exchange, digital collectibles, bidding, and other financial products generate a large amount of market data during market transactions. The quality and timeliness of this market data directly determine the accuracy of financial transactions and overall performance indicators. Therefore, with the rapid development of trading strategies such as quantitative trading and high-frequency trading, the market has placed higher demands on the real-time nature, completeness, and accuracy of market data.

[0003] Currently, existing market data receiving systems switch market data sources based on simple polling, network latency, or manual priority configuration. However, different market data sources vary in network quality, server performance, and data integrity, making it difficult to guarantee data source stability. Furthermore, the aforementioned switching methods cannot meet real-time requirements, leading to the neglect of data integrity and accuracy, resulting in inaccurate market data source switching and failing to meet the need for intelligent selection of market data sources in high-frequency trading scenarios. Summary of the Invention

[0004] In view of this, this application provides a method, apparatus, storage medium and computer equipment for acquiring market data, the main purpose of which is to solve the problem of low effectiveness in the selection of existing market data sources.

[0005] According to one aspect of this application, a method for obtaining market data is provided, comprising: Identify multiple market data sources; A hash key is constructed for each data point in the market data source, and statistics are performed based on the hash key to obtain the statistical results of the number of market data points corresponding to the market data source. Based on the statistical results of the market data volume, the market data source indicator is determined, and the market data from the market data source is standardized according to the market data source indicator; An evaluation is performed based on the standardized market data to obtain the evaluation result corresponding to the market data source, and market data corresponding to the target market data source determined based on the evaluation result is obtained.

[0006] Furthermore, the statistical results of obtaining the number of market data points corresponding to the market data source based on the hash key include: For each of the aforementioned market data sources, the hash keys are accumulated and counted to obtain the number of market data points and the number of hash keys. Based on the number of market data points, the number of market data points in the most active market is counted, and the number of market data points, the number of hash keys, and the number of market data points in the most active market are determined as the statistical result of the number of market data points.

[0007] Furthermore, the determination of market data source indicators based on the statistical results of the market data volume includes: The market data source indicators are calculated based on the number of market data points, the number of hash keys, and the number of market data points from the most active trading session. The market data source indicators include a completeness ratio indicator, a stability ratio indicator, and a degree of change indicator.

[0008] Furthermore, the market data source indicators include positive market data source indicators and negative market data source indicators, and the standardization processing of the market data source data according to the market data source indicators includes: The market data that matches the positive indicator of the market source is subjected to a first standardization process, and the market data that matches the negative indicator of the market source is subjected to a second standardization process to obtain the market data that has undergone standardization.

[0009] Furthermore, constructing a hash key based on each piece of market data in the market data source includes: The hash key is constructed based on the number of transactions or orders, timestamps, and transaction prices in the market data. The hash key includes a hash value calculated based on the transaction data or order quantity, the time, and the transaction price.

[0010] Furthermore, before constructing a hash key based on each piece of market data in the market data source, the method further includes: The market data is discretized according to the timestamp, and a hash key is constructed based on the discretized market data.

[0011] Furthermore, the evaluation results include absolute value evaluation results, relative value evaluation results, and comprehensive evaluation results, and the market data includes event number, timestamp, transaction price, transaction quantity, buy / sell direction, and event type.

[0012] According to another aspect of this application, a market data acquisition device is provided, comprising: The determination module is used to determine multiple market data sources; The statistics module is used to construct a hash key based on each piece of market data in the market data source, and to perform statistics based on the hash key to obtain the statistical results of the number of market data corresponding to the market data source. The processing module is used to determine the market data source indicator based on the market data quantity statistics results, and to standardize the market data of the market data source according to the market data source indicator; The acquisition module is used to evaluate the standardized market data, obtain the evaluation result corresponding to the market data source, and acquire the market data corresponding to the target market data source determined based on the evaluation result.

[0013] Furthermore, the statistics module is specifically used to accumulate and count the hash keys for each market data source to obtain the number of market data and the number of hash keys, and to count the number of most active market data based on the number of market data, so as to determine the number of market data, the number of hash keys and the number of most active market data as the statistical result of market data.

[0014] Furthermore, the processing module is specifically used to calculate the market data source indicators based on the number of market data points, the number of hash keys, and the number of most active market data points, respectively. The market data source indicators include a completeness ratio indicator, a stability ratio indicator, and a degree of change indicator.

[0015] Furthermore, the processing module is specifically used to perform a first standardization process on the market data matching the positive indicator of the market source, and a second standardization process on the market data matching the negative indicator of the market source, to obtain the market data that has undergone standardization.

[0016] Furthermore, the statistics module is specifically used to construct the hash key based on the number of transactions or orders, timestamps, and transaction prices in the market data. The hash key includes a hash value calculated based on the transaction data or order quantity, the time, and the transaction price.

[0017] Furthermore, the processing module is also used to discretize the market data according to the timestamp, so as to construct a hash key based on the discretized market data.

[0018] Furthermore, the evaluation results include absolute value evaluation results, relative value evaluation results, and comprehensive evaluation results, and the market data includes event number, timestamp, transaction price, transaction quantity, buy / sell direction, and event type.

[0019] According to another aspect of this application, a storage medium is provided, wherein at least one executable instruction is stored therein, the executable instruction causing a processor to perform an operation corresponding to the above-described method for acquiring market data.

[0020] According to another aspect of this application, a computer device is provided, comprising: a processor, a memory, a communication interface, and a communication bus, wherein the processor, the memory, and the communication interface communicate with each other through the communication bus; The memory is used to store at least one executable instruction, which causes the processor to perform the operation corresponding to the above-described method for obtaining market data.

[0021] By employing the above technical solutions, the technical solutions provided in the embodiments of this application have at least the following advantages: This application provides a method, apparatus, storage medium, and computer equipment for acquiring market data. Compared with the prior art, the embodiments of this application determine multiple market data sources; construct a hash key based on each market data in the market data sources, and perform statistics based on the hash keys to obtain the market data quantity statistics results corresponding to the market data sources; determine market source indicators based on the market data quantity statistics results, and standardize the market data of the market data sources according to the market source indicators; evaluate the standardized market data to obtain the evaluation results corresponding to the market data sources, and obtain the market data corresponding to the target market data source determined based on the evaluation results. This achieves the purpose of comprehensively evaluating the quality of market data sources from multiple dimensions such as completeness, stability, timeliness, and relative performance, overcoming the shortcomings of traditional methods with single evaluation dimensions. At the same time, for the characteristics of high-frequency market data, a combination of standardization and hash aggregation algorithms is adopted to efficiently process massive data streams, meet the rapid response requirements of high-frequency trading, greatly improve system performance, and thus improve the accuracy and effectiveness of market data acquisition.

[0022] The above description is only an overview of the technical solution of this application. In order to better understand the technical means of this application and to implement it in accordance with the contents of the specification, and to make the above and other objects, features and advantages of this application more obvious and understandable, the following are specific embodiments of this application. Attached Figure Description

[0023] Various other advantages and benefits will become apparent to those skilled in the art upon reading the following detailed description of preferred embodiments. The accompanying drawings are for illustrative purposes only and are not intended to limit the scope of this application. Furthermore, the same reference numerals denote the same parts throughout the drawings. In the drawings: Figure 1 A flowchart illustrating a method for obtaining market data according to an embodiment of this application is shown. Figure 2 This illustration shows a block diagram of a market data acquisition device according to an embodiment of this application; Figure 3A schematic diagram of the structure of a computer device provided in an embodiment of this application is shown. Detailed Implementation

[0024] Exemplary embodiments of the present disclosure will now be described in more detail with reference to the accompanying drawings. While exemplary embodiments of the present disclosure are shown in the drawings, it should be understood that the present disclosure may be implemented in various forms and should not be limited to the embodiments set forth herein. Rather, these embodiments are provided so that this disclosure will be thorough and complete, and will fully convey the scope of the disclosure to those skilled in the art.

[0025] It should be noted that the terms "first," "second," etc., in the specification, claims, and accompanying drawings of this application are used to distinguish similar objects and are not necessarily used to describe a specific order or sequence. It should be understood that such data can be interchanged where appropriate so that the embodiments of this application described herein can be implemented in orders other than those illustrated or described herein. Furthermore, the terms "comprising" and "having," and any variations thereof, are intended to cover non-exclusive inclusion; for example, a process, method, system, product, or apparatus that comprises a series of steps or units is not necessarily limited to those steps or units explicitly listed, but may include other steps or units not explicitly listed or inherent to such processes, methods, products, or apparatus.

[0026] This application provides a method for obtaining market data, such as... Figure 1 As shown, the method includes: 101. Identify multiple market data sources.

[0027] In this embodiment, the current executing entity, acting as the execution end for acquiring market data, can be a computer device or a cloud server, etc., to access multiple market data sources for filtering, thereby obtaining more effective and accurate market data. The system or platform acting as the current executing entity can access multiple market data sources to determine the market data source to be filtered.

[0028] It should be noted that different market data sources can be accessed from third-party market data platforms, or they can be data interfaces created by the current executing entity itself to obtain different market data sources. Market data includes event number, timestamp, transaction price, transaction quantity, buy / sell direction, and event type. This application embodiment does not make specific limitations.

[0029] 102. Construct a hash key based on each piece of market data in the market data source, and perform statistics based on the hash key to obtain the statistical result of the number of market data corresponding to the market data source.

[0030] In this embodiment of the application, after determining the market data sources that need to be filtered, a hash key is constructed for each market data in each market data source. The hash key can be calculated and constructed based on the hash value. Then, the corresponding hash key of each market data source is counted to obtain the market data quantity statistics result.

[0031] In another embodiment of this application, for further definition and explanation, the step of constructing a hash key based on each piece of market data in the market data source includes: The hash key is constructed based on the number of transactions or orders, timestamps, and transaction prices in the market data.

[0032] To construct the hash key, for each market data source, specifically, the hash key is constructed based on the number of transactions or orders, timestamps, and transaction prices in the market data. In this case, the hash key includes a hash value calculated based on the transaction data or order quantity, the time, and the transaction price.

[0033] In a specific implementation, a three-dimensional hash key is constructed for each order and transaction data, represented as: HashKeyk = Hash(price, order_type, time_bucket); where HashKeyk represents the market data source k, price is the transaction price, which is a floating-point number, order_type is the order or transaction quantity, which takes the value 0 (order) or 1 (transaction), and time_bucket is the timestamp, which takes the value 0-5.

[0034] In another embodiment of this application, for further definition and explanation, the step of performing statistics based on the hash key to obtain the statistical result of the number of market data points corresponding to the market data source includes: For each of the aforementioned market data sources, the hash keys are accumulated and counted to obtain the number of market data points and the number of hash keys. Based on the number of market data points, the number of market data points in the most active market is counted, and the number of market data points, the number of hash keys, and the number of market data points in the most active market are determined as the statistical result of the number of market data points.

[0035] To achieve accurate filtering of multiple market data sources, after obtaining the hash key, statistics are performed on each market data source according to this hash key. Specifically, for each market data source, the hash key is accumulated to obtain the number of market data and the number of hash keys, and the number of most active market data is calculated based on the number of market data.

[0036] In one specific embodiment, each market data source constructs a hash key (HashKey). When each market data arrives, it is first converted to a hash key (HashKey), and then the hash key is incremented, denoted as Volumeki, representing the number of transactions received by the i-th hash key from the k-th market data source. When a timestamp (time_bucket) is completed, the statistics include: the number of market data transactions, the number of hash keys, and the number of transactions from the most active trading session. The total number of market data transactions received by market data source k can be represented as: ; The number of most active market data points received by market data source k can be represented as: ; The number of hash keys (HashKeys) received by market data source k can be represented as: .

[0037] In another embodiment of this application, for further definition and explanation, before constructing a hash key based on each piece of market data in the market data source, the method further includes: The market data is discretized according to the timestamp, and a hash key is constructed based on the discretized market data.

[0038] In order to evaluate market data using market data sources, the market data is discretized according to timestamps before constructing the hash key.

[0039] In a specific embodiment, the timestamps in the market data source are discretized, which can be represented as: time_bucket = floor(timestamp / Δt), where Δt is the minimum time for determining the validity of the data timestamp, preferably set to 1000ms. Furthermore, since the snapshot times of market data at different depths are different (e.g., the basic market data is 3 seconds), a 1000ms time window is preferably set, and 6 timestamps (time_bucket) are maintained by default to continuously observe the data source intervals of market data at two independent depths.

[0040] 103. Determine the market data source indicator based on the statistical results of the market data volume, and standardize the market data of the market data source according to the market data source indicator.

[0041] In this embodiment, since the market data quantity statistics can include the market data statistics of each market data source, evaluation indicators for each market data source are calculated separately as market data source indicators. Market data source indicators include positive market data source indicators and negative market data source indicators. Furthermore, the market data of the market data source is standardized in different ways according to the market data source indicators to obtain market data that can be directly used for evaluation.

[0042] In another embodiment of this application, for further definition and explanation, the step of determining the market data source indicator based on the statistical results of the market data volume includes: The market data source indicator is obtained by calculating based on the number of market data points, the number of hash keys, and the number of market data points from the most active trading session.

[0043] In order to accurately evaluate market data sources and improve the efficiency of market data source screening to obtain effective market data, when determining market data source indicators, specific calculations are performed based on the number of market data, the number of hash keys, and the number of market data from the most active market to obtain various indicators. Market data source indicators include completeness ratio indicators, stability ratio indicators, and degree of change indicators.

[0044] In one specific implementation, the calculation of the indicator does not require maintaining a HashKey; instead, the market data source is evaluated solely based on the calculation rules of the Volume. For a completeness ratio indicator, X can be included. k1 and X k2 X k1 This refers to the ratio of the total number of HashKeys received from market data source k to the total number of HashKeys from all market data sources. It measures the completeness of the data received from market data source k. The larger the value, the less data is lost during the reception process after the data is sent from the market data source. It is expressed as: .

[0045] X k2 This refers to the ratio of the number of market data points received from the most active (e.g., 10) order / execution price levels of market data source k to the total number of market data points received from all market data sources at the same most active (e.g., 10) order / execution price levels. It measures the stability of data reception at the most active price levels and can be expressed as: ; At this point, each time_bucket ultimately records the X of each market data source. k1 and X k2 , denoted as X t(i)_k1 With X t(i)_k2 .

[0046] The stability ratio index can include Xk3 and X k4 X k3 This refers to the degree of change in market stability over adjacent time intervals. A larger value indicates that the market reception is less stable, which can be expressed as: ; X k4 This refers to the degree of change in the stability of market reception at the most active price level within adjacent time intervals. The larger the value, the more unstable the market reception. It can be expressed as: .

[0047] Indicators for the degree of change may include X k5 and X k6 X k5 This refers to the breadth of data sources received from the market data provider. A larger value indicates a wider range of market data received, which can be represented as: ; X k6 This refers to the degree of stability change in the breadth of market data reception over adjacent time intervals. A larger value indicates a more unstable range of market data reception, which can be expressed as: .

[0048] In another embodiment of this application, for further definition and explanation, the step of standardizing the market data of the market data source according to the market data source indicator includes: The market data that matches the positive indicator of the market source is subjected to a first standardization process, and the market data that matches the negative indicator of the market source is subjected to a second standardization process to obtain the market data that has undergone standardization.

[0049] To ensure the effectiveness of the three-tiered indicator evaluation system, after obtaining the market data source indicators, the market data source indicators are divided into positive and negative categories to determine X. k1 X k2 and X k3 As a positive indicator, a higher value is better, and it directly measures the completeness of the data. X is then determined. k4 X k5 and X k6 This is a reverse indicator; the smaller the value, the better, and it describes the stability of the link.

[0050] Furthermore, for each market data source, the raw speed data is standardized. Specifically, for X... k1 X k2 and X k3The standardization process is as follows: Norm(X) = (X - X_min) / (X_max - X_min); for X k4 X k5 and X k6 :Norm(X) = (X_max - X) / (X_max - X_min).

[0051] 104. Evaluate the standardized market data to obtain the evaluation result corresponding to the market data source, and obtain the market data corresponding to the target market data source determined based on the evaluation result.

[0052] In this embodiment, a three-tiered scoring system is used to evaluate the standardized market data and obtain evaluation results. The evaluation results include absolute value evaluation results, relative value evaluation results, and comprehensive evaluation results. Then, the target market data source is selected according to the evaluation results to obtain the market data corresponding to the target market data.

[0053] In one specific embodiment, the evaluation results include absolute value evaluation results, relative value evaluation results, and comprehensive evaluation results. Regarding the absolute value evaluation results, for each market data source k, X... k1 -X k6 Both calculate the absolute value score, W i The average allocation is 1 / 6, but this can be adjusted according to actual market conditions. k1 The range of its value is [0,1], which can be represented as: .

[0054] Based on the relative value evaluation results, for each market data source k, X k1 -X k6 Absolute value scores are calculated for all scores, with Wi being the average distribution value of 1 / 6, which can be adjusted according to actual market conditions. k1 The range of its value is [0,1], which can be represented as: .

[0055] The comprehensive evaluation result refers to the calculation of a comprehensive score for each market data source k, which can be expressed as: ; Among them, β is preferably 0.6, when a certain market data source Y appears in 12 consecutive time_buckets. k If the score is higher than the current market data source score, then switch the market data source to the optimal market data source.

[0056] In a specific scenario of filtering market data sources to obtain market data, the system first undergoes initialization, including configuring the time discretization parameter Δ, establishing connections between multiple market data sources, initializing the hash table statistical structure of each market data source, and setting the weight coefficients W1~W6 for evaluation indicators. Next, data reception and preprocessing are performed, i.e., real-time reception of market data streams from each market data source, parsing each data entry, extracting price, quantity, buy / sell direction, event type, and timestamp, and discretizing the timestamp: time_bucket = floor(timestamp / Δt). For hash key construction and statistics, a three-dimensional hash key can be constructed for each market data entry: HashKey = Hash(price, order_type, time_bucket). At this point, a count is accumulated in the hash table of the corresponding market data source, and a sliding time window is maintained, retaining the market data from the most recent 6 time_buckets. Then, for real-time indicator calculation, X is calculated at the end of each time_bucket. k1 -X k6 Finally, a comprehensive score is calculated (Y), and all market data sources are ranked and scored. The scores of the current market data source are compared with those of other market data sources. Specifically, if the same optimal market data source appears in 12 consecutive time_buckets, the target market data source is switched to the optimal market data source, and the market data from this source is retrieved. Furthermore, after reselecting the current market data source, the process of re-filtering other market data sources is repeated.

[0057] This application provides a method for acquiring market data. This method involves identifying multiple market data sources; constructing a hash key for each piece of market data in each source; performing statistical analysis based on the hash key to obtain a statistical result of the number of market data points corresponding to each source; determining a market source indicator based on the statistical result; standardizing the market data from each source according to the indicator; evaluating the standardized data to obtain an evaluation result; and acquiring the market data corresponding to a target source determined by the evaluation result. This method comprehensively evaluates the quality of market data sources from multiple dimensions, including completeness, stability, timeliness, and relative performance, overcoming the shortcomings of traditional methods that rely on a single evaluation dimension. Furthermore, considering the characteristics of high-frequency market data, it combines standardization and hash aggregation algorithms to efficiently process massive data streams, meeting the rapid response requirements of high-frequency trading and significantly improving system performance, thereby enhancing the accuracy and effectiveness of market data acquisition.

[0058] Furthermore, as a response to the above Figure 1To implement the method shown, this application provides a device for acquiring market data, such as... Figure 2 As shown, the device includes: Module 21 is used to determine multiple market data sources; The statistics module 22 is used to construct a hash key based on each piece of market data in the market data source, and to perform statistics based on the hash key to obtain the statistical results of the number of market data corresponding to the market data source. Processing module 23 is used to determine the market data source indicator based on the market data quantity statistics results, and to standardize the market data of the market data source according to the market data source indicator; The acquisition module 24 is used to evaluate the standardized market data to obtain the evaluation result corresponding to the market data source, and to acquire the market data corresponding to the target market data source determined based on the evaluation result.

[0059] Furthermore, the statistics module is specifically used to accumulate and count the hash keys for each market data source to obtain the number of market data and the number of hash keys, and to count the number of most active market data based on the number of market data, so as to determine the number of market data, the number of hash keys and the number of most active market data as the statistical result of market data.

[0060] Furthermore, the processing module is specifically used to calculate the market data source indicators based on the number of market data points, the number of hash keys, and the number of most active market data points, respectively. The market data source indicators include a completeness ratio indicator, a stability ratio indicator, and a degree of change indicator.

[0061] Furthermore, the processing module is specifically used to perform a first standardization process on the market data matching the positive indicator of the market source, and a second standardization process on the market data matching the negative indicator of the market source, to obtain the market data that has undergone standardization.

[0062] Furthermore, the statistics module is specifically used to construct the hash key based on the number of transactions or orders, timestamps, and transaction prices in the market data. The hash key includes a hash value calculated based on the transaction data or order quantity, the time, and the transaction price.

[0063] Furthermore, the processing module is also used to discretize the market data according to the timestamp, so as to construct a hash key based on the discretized market data.

[0064] Furthermore, the evaluation results include absolute value evaluation results, relative value evaluation results, and comprehensive evaluation results, and the market data includes event number, timestamp, transaction price, transaction quantity, buy / sell direction, and event type.

[0065] This application provides a market data acquisition device. This device identifies multiple market data sources; constructs a hash key for each piece of market data in each source, and performs statistical analysis based on the hash key to obtain a statistical result of the number of market data points corresponding to each source; determines a market source indicator based on the statistical result, and standardizes the market data from each source according to the indicator; evaluates the standardized market data to obtain an evaluation result, and acquires the market data corresponding to a target source determined by the evaluation result. This achieves a comprehensive evaluation of the quality of market data sources from multiple dimensions, including completeness, stability, timeliness, and relative performance, overcoming the shortcomings of traditional methods with their single evaluation dimension. Furthermore, considering the characteristics of high-frequency market data, it combines standardization and hash aggregation algorithms to efficiently process massive data streams, meeting the rapid response requirements of high-frequency trading and significantly improving system performance, thereby enhancing the accuracy and effectiveness of market data acquisition.

[0066] According to one embodiment of this application, a storage medium is provided, the storage medium storing at least one executable instruction, which can execute the market data acquisition method in any of the above method embodiments.

[0067] Figure 3 The diagram shows a structural schematic of a computer device according to one embodiment of the present application. The specific embodiments of the present application do not limit the specific implementation of the computer device.

[0068] like Figure 3 As shown, the computer device may include: a processor 302, a communications interface 304, a memory 306, and a communications bus 308.

[0069] The processor 302, communication interface 304, and memory 306 communicate with each other via communication bus 308.

[0070] Communication interface 304 is used to communicate with other network elements such as clients or other servers.

[0071] The processor 302 is used to execute program 310, specifically to execute the relevant steps in the above-described method embodiment for obtaining market data.

[0072] Specifically, program 310 may include program code that includes computer operation instructions.

[0073] Processor 302 may be a central processing unit (CPU), an application-specific integrated circuit (ASIC), or one or more integrated circuits configured to implement the embodiments of this application. The computer device includes one or more processors, which may be processors of the same type, such as one or more CPUs; or they may be processors of different types, such as one or more CPUs and one or more ASICs.

[0074] Memory 306 is used to store program 310. Memory 306 may include high-speed RAM memory, and may also include non-volatile memory, such as at least one disk storage device.

[0075] Specifically, program 310 can be used to cause processor 302 to perform the following operations: Identify multiple market data sources; A hash key is constructed for each data point in the market data source, and statistics are performed based on the hash key to obtain the statistical results of the number of market data points corresponding to the market data source. Based on the statistical results of the market data volume, the market data source indicator is determined, and the market data from the market data source is standardized according to the market data source indicator; An evaluation is performed based on the standardized market data to obtain the evaluation result corresponding to the market data source, and market data corresponding to the target market data source determined based on the evaluation result is obtained.

[0076] Obviously, those skilled in the art should understand that the modules or steps of this application described above can be implemented using general-purpose computing devices. They can be centralized on a single computing device or distributed across a network of multiple computing devices. Optionally, they can be implemented using computer-executable program code, thereby storing them in a storage device for execution by a computing device. In some cases, the steps shown or described can be performed in a different order than those presented here, or they can be fabricated as separate integrated circuit modules, or multiple modules or steps can be fabricated as a single integrated circuit module. Thus, this application is not limited to any particular combination of hardware and software.

[0077] The above description is merely a preferred embodiment of this application and is not intended to limit this application. Various modifications and variations can be made to this application by those skilled in the art. Any modifications, equivalent substitutions, improvements, etc., made within the spirit and principles of this application should be included within the scope of protection of this application.

Claims

1. A method for obtaining market data, characterized in that, include: Identify multiple market data sources; A hash key is constructed for each data point in the market data source, and statistics are performed based on the hash key to obtain the statistical results of the number of market data points corresponding to the market data source. Based on the statistical results of the market data volume, the market data source indicator is determined, and the market data from the market data source is standardized according to the market data source indicator; An evaluation is performed based on the standardized market data to obtain the evaluation result corresponding to the market data source, and market data corresponding to the target market data source determined based on the evaluation result is obtained.

2. The method according to claim 1, characterized in that, The statistical results obtained by performing statistics based on the hash key to obtain the statistical results of the number of market data points corresponding to the market data source include: For each of the aforementioned market data sources, the hash keys are accumulated and counted to obtain the number of market data points and the number of hash keys. Based on the number of market data points, the number of market data points in the most active market is counted, and the number of market data points, the number of hash keys, and the number of market data points in the most active market are determined as the statistical result of the number of market data points.

3. The method according to claim 2, characterized in that, The indicator for determining the market data source based on the statistical results of the market data volume includes: The market data source indicators are calculated based on the number of market data points, the number of hash keys, and the number of market data points from the most active trading session. The market data source indicators include a completeness ratio indicator, a stability ratio indicator, and a degree of change indicator.

4. The method according to claim 1, characterized in that, The market data source indicators include positive and negative market data source indicators. The standardization process of the market data source data according to the market data source indicators includes: The market data that matches the positive indicator of the market source is subjected to a first standardization process, and the market data that matches the negative indicator of the market source is subjected to a second standardization process to obtain the market data that has undergone standardization.

5. The method according to claim 1, characterized in that, The step of constructing a hash key based on each piece of market data in the market data source includes: The hash key is constructed based on the number of transactions or orders, timestamps, and transaction prices in the market data. The hash key includes a hash value calculated based on the transaction data or order quantity, the time, and the transaction price.

6. The method according to claim 2, characterized in that, Before constructing a hash key based on each piece of market data in the market data source, the method further includes: The market data is discretized according to the timestamp, and a hash key is constructed based on the discretized market data.

7. The method according to any one of claims 1-6, characterized in that, The evaluation results include absolute value evaluation results, relative value evaluation results, and comprehensive evaluation results. The market data includes event number, timestamp, transaction price, transaction quantity, buy / sell direction, and event type.

8. A device for acquiring market data, characterized in that, include: The determination module is used to determine multiple market data sources; The statistics module is used to construct a hash key based on each piece of market data in the market data source, and to perform statistics based on the hash key to obtain the statistical results of the number of market data corresponding to the market data source. The processing module is used to determine the market data source indicator based on the market data quantity statistics results, and to standardize the market data of the market data source according to the market data source indicator; The acquisition module is used to evaluate the standardized market data, obtain the evaluation result corresponding to the market data source, and acquire the market data corresponding to the target market data source determined based on the evaluation result.

9. A computer-readable storage medium having a computer program / instructions stored thereon, characterized in that, When the computer program / instructions are executed by the processor, they implement the steps of the method of claim 1.

10. A computer device, comprising a memory, a processor, and a computer program stored in the memory, characterized in that, The processor executes the computer program to implement the steps of the method of claim 1.

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