Trading system development (IV) - trading counter system

One 、 Introduction to the trading desk

According to domestic regulatory requirements , Customers cannot directly connect to the exchange system , The middle must pass through the counter system of the brokerage company , The counter system of the brokerage company calls the exchange API Place an order .

The trading counter is the order placing system connected to the exchange . Send trading instructions to the exchange through the trading counter of the brokerage company , Then the trading counter of the brokerage company will feed back the Commission return and transaction return of the exchange to the investors .

Two 、 Brokerage counter

1、 A brief introduction to the counters of securities companies

According to domestic regulatory requirements , Customers cannot directly connect to the exchange system , It must pass through the securities company （Broker） The system of , Counter system . Securities companies will have multiple counter systems , In terms of function, it is divided into centralized trading counter and fast trading counter .

Hang Seng is the main manufacturer of domestic securities trading counters 、 Gold card 、 Hua Rui 、 The vertices 、 Root net 、 Kingstar 、 Kuanrui and other companies , The functional modules of the counter system vary according to the payment , It can also be developed according to the needs of securities companies , Available to investors . The ordinary trading counter is the centralized trading counter , Mainly for general investors ; For institutional customers and other procedural trading customers , The brokerage company also provides a fast trading counter .

Mainstream brokerage system （ Gold card 、 Hang Seng 、 Kingstar ） Roughly divided into offer system 、 Interface database 、 The counter system consists of three parts , The interface of programmed trading is usually the private interface of securities companies provided by the counter system API Interface with securities companies API Two kinds of .

Private interface of securities companies API It is provided to a third-party financial software company , Third party software companies can use private interfaces of securities companies API Develop market software or trading software , For individual investors , Such as access letter , Tonghuashun, etc .

Brokerage interface API It refers to that the securities firm encapsulates its interface , It is directly provided to individual procedural investors .

Offer interface API, It is generally impossible to provide it to individual users , It can only be jointly developed by the securities system provider and its third-party partners .

2、 Centralized trading Counter

The centralized trading counter is the core system of securities companies , For docking with Shanghai Stock Exchange 、 Stock trading in Shenzhen Stock Exchange , It belongs to the floor Market .

Ordinary transactions begin with the Commission , The Commission will first go from the investor's location to the securities firm's headquarters , From the headquarters of securities companies to the centralized trading counter , Then check compliance from the centralized trading counter to the exchange , If compliance is judged , Then the information is transferred from the exchange and returned to the centralized trading counter — Brokerage headquarters , Then place the order , Suppose the investor is in Shenzhen , Regardless of the audit time , From Shenzhen to the headquarters of securities companies , And then to the physical time of the exchange .

The centralized trading counter is designed to meet the brokerage business of securities companies , The main business functions are as follows ：

（1） Account business . Open an account for a customer 、 Sales Account 、 Manage business permissions 、 Deal with the appropriateness management related to the transaction 、 Compliance submission, etc .

（2） Capital business . Support the three-party deposit system for customer deposits .

（3） Securities trading business . Deal with all kinds of trading orders submitted by investors , Dealing with funds and securities in accordance with trading rules , And realize the docking with the entrustment and transaction order of the exchange .

（4） Credit trading business .2010 China Securities Regulatory Commission (CSRC) launched a pilot project of margin trading , Investors can buy stocks by financing securities companies , You can also sell stocks on short sale , Leverage trading has been achieved . The system needs to process all kinds of transaction orders according to the business rules of credit transaction .

（5） Fund sales on a commission basis . Investors can buy open-end fund products through securities accounts , System processing investor's product purchase and redemption order , And realize the instruction interaction with the corresponding fund company and fund 、 Share settlement .

（6） Clearing business . Responsible for dealing with the exchange 、 The registration and settlement company carries out data exchange and business check , Funds to complete the customer's products in the exchange 、 Liquidation and settlement of shares .

（7） Query business . All kinds of transaction flow to meet the needs of customers 、 Account Statement 、 Delivery orders and other business data .

（8） Financial products sales . Securities companies in order to expand the scope of customer investment , Sales of all kinds of financial products provided by ourselves .

（9） Cash balance financing business . The cash balance on the client's investment account can be automatically purchased as a monetary fund , Improve the capital income of customers .

（10） Other management functions . system parameter setting 、 Customer account security 、 Peripheral system access 、 Abnormal transaction monitoring, etc .

3、 Fast trading counter

The fast trading counter is mainly a fast trading channel for procedural trading customers , Usually only basic transaction functions are provided , Strive to achieve low delay and high speed performance , Therefore, the stock spot trading and credit trading at the mainstream fast trading counter are separated , Therefore, it is necessary to develop interfaces separately . The fast trading counters of different securities companies support different trading functions , But the entrusted declaration 、 Commission receipt 、 Transaction receipt 、 Cancellation declaration is a basic function , At the same time, Shanghai motherboard 、 Shanghai Kechuang board 、 Shenzhen mainboard 、 Shenzhen small and medium-sized board 、 Shenzhen growth enterprise market 、 Convertible bond 、 The basic business types to be supported during reverse repurchase .

The Express Trading counter will conduct risk control and compliance inspection when receiving the customer's entrusted declaration , As long as the risk control is passed, the information can be transmitted directly through a special line connected to the exchange , Both audit time and transmission time have been greatly shortened .

The main domestic fast trading counter systems include Sinovel ATP Fast trading counter 、 Hang Seng UFT Fast trading counter 、 Hang Seng UST Fast trading counter 、 The vertices HTS Fast trading counter 、 Gold card FGS Fast trading counter 、 Kuan Rui OES Fast trading counter , Huabao securities self research LTS Trading desk , Zhongtai securities self research XTP Trading desk .

4、OTC Counter

OTC OTC trading is used to issue OTC products , Carry out personalized business , It belongs to the OTC market .

The OTC market is also called OTC（Over-The-Counter） market 、 OTC market or over-the-counter market , It is a concept opposite to the exchange market . The OTC market mainly adopts one-to-one negotiation or quotation 、 Market making trading method , Tradable diversification 、 Personalized products .

OTC Over the counter trading system is a kind of quotation based on authoritative third-party market , Provide efficient services for traders and investors 、 Security 、 Stable system service , Perfect background management function module , Multi level professional protection , Ensure system security , Ensure the stability and accuracy of the pricing mechanism , Improve the intelligent risk control system , Secure the deal .

Over the counter trading business refers to the transactions between securities companies and specific counterparties outside the centralized trading place or for investors outside the centralized trading place transaction The act of providing a service .

The OTC market of securities companies is clearly located in the private market , It is issued by a securities company 、 Transfer the possession of 、 A platform for trading private equity products . At the initial stage of the construction of the OTC market, it should cooperate with the innovation of asset management business , To sell and transfer financial products of securities companies 、 Mainly selling financial products on a commission basis .

Over the counter trading customers are mainly institutional customers , Each securities company has formulated corresponding over-the-counter trading appropriateness management system , Different investor access standards have been formulated according to different products , And through the establishment of customer classification and product risk rating system , Realize the matching between customers with different risk preferences and products with different risk levels .

5、 Intelligent routing

Intelligent routing （Smart Routers） It is a technology that uses complex algorithms to split large orders into small orders and send them to different exchanges .

When placing an order , Intelligent order routing （SOR） Technology can split a large number of orders through the transaction algorithm , First point to the dark pool （Dark Pool） Then point to the exchange , Provide traders with the best opportunity to execute orders .

Due to the existence of intelligent routing strategies of different brokers , Large orders from institutional investors are usually sent to multiple exchanges . But the time required to send to each exchange is different , A slight delay gives the technical means HFT Opportunities to detect the trading intentions of other market participants .

3、 ... and 、 Futures counters

1、 Introduction to futures counters

According to domestic regulatory requirements , Customers cannot directly connect to the exchange system , The middle must pass through the futures company （Broker） The system of , Counter system . Futures companies will have multiple counter systems , In terms of function, it is divided into the chairman system and the deputy system .

2、 Chairman's counter

The chairman's counter is fully functional , Support deposit and withdrawal 、 After hours settlement, etc , High throughput and high reliability are required , Most customers trade on the chairman system .

CTP (Comprehensive Transaction Platform, Integrated trading platform ) It is a chairman system developed by the subsidiary of the Institute in the previous period .

3、 The second counter

The secondary system is generally only used for ordering and cancellation , The focus is on low latency penetration time , Generally, it is aimed at procedural trading customers with high delay requirements . Transfer of funds at the second counter 、 The settlement and other functions are realized by the chairman counter .

The high-speed trading system of futures companies is the secondary trading counter , The peak penetration time inside the counter is in the order of hundred nanoseconds , It is especially suitable for trading teams who are strict with delay requirements .

4、API

In China, , Any counter system must call the exchange API To place an order .

Futures counter systems generally provide API Access counters for programmed customers , At the same time, the counter system needs to call the... Of the exchange API Transfer the user's trading order to the exchange .

The easiest way to realize programmed trading of stock index futures is CTP.CTP Provides a fully open API Interface , So whether it's an individual or a third-party software company , Can be based on its API Interface to develop the programmed trading system , But trading seats still have to go through futures brokerage companies . As long as investors choose one to CTP Futures companies that are the main trading systems , utilize CTP Fully open API Interface , You can develop your own procedural trading system . If investors' trading ideas belong to high-frequency trading , High speed requirements , You have to choose CTP The trading system has excellent operation and maintenance , The best futures brokerage company to provide server hosting services .

5、 exchange Front end unit

The futures trading counter needs to be connected with the exchange host through the exchange front-end system , The front-end system is the communication relay between the counter and the exchange matching system .

The front-end server of the exchange not only acts as an intermediate bridge , And communication IP Address control connected terminal , The role of reducing the network burden of the transaction host , And part of the correctness detection processing of the trading instructions . meanwhile , It can also function as a firewall , Prevent the trading host from being attacked by the outside world , Ensure the safe operation of the transaction host .

To ease the pressure on the trading system , Improve the trading speed of futures companies , The exchange will set up multiple front-end processors to balance the system load of front-end processors , Futures companies can follow the front-end processor issued by the exchange IP The configuration rules are preferred .

6、 Speed Trading counter

In China's futures market , Any trading system must call the exchange API（ Application programming interface ） To place an order . However, domestic exchanges only provide software versions API, And software API Only through CPU call .

 

The Express Trading counter has a client trading system with an independent server , Use an independent trading channel , The advantage is that the Commission is fast 、 Declaration instruction push is fast 、 The transaction returns quickly .

In the centralized trading system , After the customer places an order, the online client software , First concentrate on the online transaction server , Then from the online server to the securities trading system server , Then connect to the exchange interface , Finally, go to the exchange ; Speed Trading Channel , After placing an order, transfer to the fast trading channel to connect with the exchange system .

Four 、 The vertices HTS Counter

1、HTS brief introduction

HTS（Hyper Trading System, Super fast trading system ） It is the special breakthrough and comprehensive upgrade of the trading function of vertex company , A new generation of memory database based on independent intellectual property rights HyperDB、 Adopt a new architecture 、 A new generation of fast trading counter system for communication services and business processes .

 

HTS The performance of the fast trading counter system can meet the requirements of the future 3 to 5 Development needs in , Among them, the time-consuming speed of pure entrusted single transaction processing has increased by nearly 5 times ; Delegate delay compression 90%+, The whole process takes time to compress 3/4 ; Order quickly , Triggered swing , The acceleration of the overall process is of great importance to the programming 、 quantitative 、 Algorithm 、 The experience of high-frequency trading and cross market arbitrage has improved significantly .

comparison QTS The rapid trading counter system has been improved by orders of magnitude , Based on common x86 Blade server full link , Processing time reaches microsecond level , The whole business has been achieved 、 Fast actual combat 、 Easy operation and maintenance ！

2、HTS framework

HTS The fast trading system consists of a configuration database 、 Configuration management and directory services 、 The transaction node consists of three modules , In system design , Transaction nodes allow distributed independent deployment , Each transaction node can freely specify the customer scope of the service , The logical structure is as follows ：

 

The configuration database is the basic parameter for the fast trading system to save the system operation 、 Operation and maintenance platform user and authority management 、 Customer transaction node and other basic parameter management 、 Inquiry and other services .

Configuration management services , It mainly provides configuration parameter management of fast trading system 、 maintain 、 Query and other functional services .

3、 Transaction node architecture

The specific logic structure of the transaction node is shown in the figure below

 

The transaction node is mainly composed of memory database 、 Fast trading application service and trading node declaration and return service , Provide securities trading services for fixed customer groups .

4、 characteristic

The fast trading counter system adopts a service-oriented architecture （SOA）, The characteristics are as follows ：

（1） Adopt modular stacking technology , Independent deployment mode is adopted , With the original business system " loose coupling ";

（2） Achieve clear hierarchy and clear interface definition ; 

（3） Good stability 、 high reliability 、 Compatibility 、 Scalability and progressiveness .

  In safety design , The fast trading system involves the core confidential data , The security and anti attack of the system is one of the important indexes of the system performance .

In disaster recovery design , The master-slave backup mode of memory database logs for fast transactions , It monitors the generation and saving of memory database logs by deploying the memory database data backup service process in the fast trading main system , And pass the memory database log through TCP Real time synchronization to the backup server to achieve real-time backup of memory database logs .

5、 function

The core logic of the quick trading system is to input the corresponding customer data after the quick trading system is started , Including the customer's account information 、 Available balance information of funds ; Then freeze the customer's available funds from the centralized trading system , And reverse unfreeze in the fast trading system ; Finally, the day trading processing is carried out , Its core functions include ：

A、 Customer real-time fund query 、 Real time stock query ;

B、 Entrusted order acceptance ;

C、 Entrusted declaration ;

D、 Confirmation of entrusted declaration ;

E、 Entrust real-time transaction processing ;

F、 Intraday customer fund deposit and withdrawal management ;

G、 Intraday customer share reconciliation management .

6、 China merchants securities HTS Fast trading counter

China Merchants Securities is in the process of developing hedge fund services , Through the use of a fast trading platform to meet the procedural trading 、 Demand of high-end customers such as algorithmic trading . Acme has become a supplier of China Merchants Securities rapid trading system ,HTS Become China Merchants Securities to undertake the construction of individual stock options 、 Stock Exchange 、 Fund trading 、 A full range of fast trading systems such as bond trading .

The stock option quick trading node consists of the configuration database 、 Configuration management and directory services 、 The transaction node consists of three modules , In system design , Transaction nodes allow distributed independent deployment , Each transaction node can freely specify the customer scope of the service .