Development of trading system (II) -- market data

One 、 Introduction to market data

1、 Introduction to market data

Market data is the most basic in the trading process 、 The most important part . A complete transaction is usually divided into three steps ： Receive quotes 、 Analyze the market （ Strategy part ）、 Give orders and close the deal （ Algorithmic trading section ）. For high-frequency traders and low delay traders , The precision and fineness of market data are particularly important . Accuracy refers to the accuracy of data and the extent to which it can reflect the real situation of the market , Fineness refers to the push frequency of the market .

The market data is divided into two parts ： Trading quotation and order Commission quotation . Trading quotation is trading data , Including the latest transaction price 、 volume 、 turnover 、 Highest price 、 Field information such as lowest price ; The order Commission quotation is the purchase and sale quotation and the Commission quantity , Depending on the commission price , It can be divided into one gear 、 Fifth gear 、 Ten stalls, etc ; It usually combines the trading quotation with the order Commission quotation , formation TAQ（Trades and Quotes） The market .

Market data usually use UDP Multicast forwarding , Real time data is divided into A/B channel Make redundant backup , Add one Snapshot channel Make a backup .

2、tick Market and snapshot market

tick The market is also called the market by market , It is the data that completely records all the information of the market , It will record every event, If a transaction occurs or a new order is added , It is the most precise and complete market data .

snapshot （snapshot） The market is right tick Market data is statistical data after a certain frequency slice in the time dimension , It is a statistical data on a time section .tick The data is more accurate , The accuracy of snapshot market varies according to time and frequency .

3、 Market data provider

（1）Wind

Official website ：http://www.wind.com.cn/
Established data suppliers , The content covers stocks 、 bond 、 fund 、 Derivative 、 Index 、 Macro industry , The price is more expensive , It is the first choice for organizations .
（2） A small amount of sea
Official website ：http://www.wsbigdata.com/
Offer shares 、 foreign exchange 、 gold 、 Stock market index 、 Treasury bond futures, etc API Interface , Cooperate with many famous brands , Second only to Wande .
（3） Lide market data
Official website ：http://ldhqsj.com/
Offer shares 、 Domestic and foreign futures 、 option 、 Index 、 fund 、 bond 、 Foreign exchange rate, etc ,API Interface mode . More comprehensive functions , for example K Line data is optional 2 Two ways to restore rights 、9 Time period , Dozens of indicators . It also provides Shanghai and Shenzhen that other websites do not have 、 Hong Kong stock market real-time five level split transaction tick data .
（4） Monopoly Data Center
Official website ：http://www.licai668.cn
Variety , Covering Shanghai and Shenzhen 、 Hong Kong 、 Domestic options 、 Domestic and foreign futures 、 noble metal . You need to install a dedicated client to use , The client can receive the full push quotation .
（5） Golden data source data service
Official website ：http://www.jinshuyuan.net/
There are Shanghai and Shenzhen stock markets and domestic futures data , Download after disk csv Document oriented . High frequency data is its strength , Yes A Share by share 、level2 Data by data ( After disk download ) And domestic futures tick data (API Interface ). It also offers free A Share date K Line data ( Unrecovered right ).
（6） Fortune Data Center
Official website ：http://www.caifushuju.cn/
Mainly based on after hours data , Including shares 、 futures 、 noble metal 、ETF option 、 foreign exchange .

Two 、 Market data demand

1、 Introduction to market data demand

2019 year , Shanghai 、 The shenzhen stock exchange 、 CICC respectively launched Shanghai and Shenzhen 300ETF option 、 Shanghai and Shenzhen 300 Index futures options , With the gradual deregulation of stock index futures , Investment institutions have more in risk management 、 Better hedging tools , More policy combinations can be built . Especially when the financial market fluctuates violently , Shanghai and Shenzhen 300 Stock index options and China Securities 500 The trading volume of stock index futures has soared . According to the Futures Association ,2020 year 2 In January, the monthly turnover of CICC increased year on year 169.76%, Stock index futures and options have become quantitative 、 An important hedging tool for procedural customers .

Expansion of financial derivatives of the three exchanges , It not only helps to improve the risk prevention and control ability of investors , Maintain the healthy development of the market , Also for finance IT System development plays a positive role in promoting .

To start a new business , The first step is to build a IT System .

IT The business requirements of the quotation system are as follows ：

（1） For large institutional customers , A large amount of transaction funds 、 Change warehouse frequently , To improve the performance of the trading system , To meet their need for fast trading ;

（2） For quantitative customers , To quantify T0、 Futures arbitrage 、ETF Execution of premium hedging strategies , You need to listen to the Shanghai Stock Exchange at the same time 、 Real time market of Shenzhen Stock Exchange and CICC .

2、 Market service user demand analysis

The demand analysis of market service users is as follows ：

（1） fast , Receive the quotation at the first time ;

（2） Multi exchange quotation service ;

（3） Be able to listen to... In the same hosting room ;

（4） Personalized needs of users .

3、 Cross exchange quotation service

The application of options in risk management and trading is diversified , There are pure directional transactions , There are also some complex composite applications , Like insurance 、 Enhance revenue 、 Arbitrage trading, etc .

（1） insurance

The insurance function is one of the most important functions of the option market , It can help investors avoid possible losses in case of adverse market changes in the future .

Case study ： In the case of holding stock , Buy put options , To some extent, it can avoid the loss caused by the decline of share price .

（2） Enhance revenue

Small fluctuations in the market 、 When the trend is not obvious , Investors can obtain premium income by selling options , So as to increase the income .

Case study ： Cover opening strategy , Hold Shanghai and Shenzhen 300ETF Or related assets , At the same time, we sold Shanghai and Shenzhen 300ETF Call options or Shanghai and Shenzhen 300 Index call options , The income of option fee can enhance the income of portfolio .

（3） Interest arbitrage

Currently listed on different exchanges 3 Of the stock index period , The number of arbitrage targets 、 Possible arbitrage opportunities 、 The number of objects that can be combined will be greatly increased . Between option portfolios , Both option portfolios and futures can be arbitraged .

Case study ：

Cross species arbitrage ： The Shanghai 50 All the constituent stocks of the index are in Shanghai and Shenzhen 300 In index , The Shanghai 50 Index and Shanghai and Shenzhen 300 The correlation of the index is also very high . Because the two are highly correlated , This makes it possible to carry out cross category arbitrage between two index related products , When the two trends are different, there will be arbitrage opportunities , You can buy cheaper varieties , Sell the relatively expensive varieties and expect the price difference to converge so as to make a profit .

Spread arbitrage ： Call and put options can simulate futures prices , If the futures price simulated by options is similar to that of Shanghai and Shenzhen 300ETF Generate price difference , You can go long in Shanghai and Shenzhen at the same time 300ETF, Short the option portfolio to realize the return .

（4） Directional trading

Mainly for investors' judgment based on the direction of market rise and fall , Invest in options , And gain profits on the basis of unilateral market .

Case study ： Investors judge that Shanghai Stock Exchange in the next month 50 Can rise , So buy 50ETF Call options , If the follow-up market goes up , Then you can choose to exercise the right to obtain the income .

According to the 《2019 Shanghai Stock Exchange stock option market development report 》 Disclosure , insurance 、 Enhance revenue 、 The proportion of arbitrage and directional trading is respectively 12.87%、43.77%、19.97%、23.39%.

From the perspective of investor categories , Institutional investors mainly focus on enhancing earnings and arbitrage trading , Individual investors mainly focus on enhancing earnings and directional trading .

therefore , Professional investors in risk management , It needs to be in the same machine room 、 At the same time, listen to the market trend of the related market .

4、 Efficient market service

Market based performance 、 compliance 、 Data content, etc , apply Level-2 Authorization of non display market is the best way to obtain cross market high-speed market .

（1） The market source is more compliant

The market source of the exchange goes directly to the designated escrow machine room , The speed advantage is far greater than that of other channels 、 Third hand market .

（2） Fast reception

Level-2 The quotation adopts FAST agreement , The Market Snapshot speed has changed from 6s Up to 3s, The refresh speed of terminal market has been improved 5 To 10 second .

3、 ... and 、Level 1 Market data

Level-1 Market is the real-time market information released by the exchange according to the trading rules ; Data formats include those based on FIX/FAST Protocol interface and TXT file ; The quotation is released through the high-speed ground network and broadband broadcast satellite system of the information technology company of the exchange or transmitted through the Internet and special line of Shanghai Stock Exchange Information Network Co., Ltd .

Of the stock exchange Level-1 The market mainly provides stocks 、 bond 、 Market information of fund, index and other business varieties . Provide securities code during call auction 、 Securities abbreviation 、 Before closing price 、 Virtual opening price 、 Virtual matching amount 、 The virtual unmatched amount and the remaining direction of the virtual unmatched amount ; Provide securities code during continuous bidding 、 Securities abbreviation 、 Before closing price 、 Latest transaction price 、 The highest transaction price of the day 、 The lowest transaction price of the day 、 The accumulative trading volume of the day 、 The accumulated transaction amount of the day 、 Real time maximum five purchase order prices and quantities 、 Real time minimum five selling declared prices and quantities .

Shanghai Stock Exchange and Shenzhen Stock Exchange Level 1 and Level 2 TAQ Market data are 3 Second frequency snapshot data .

The stock market Level 2 The transaction by transaction data of market data really records every transaction , It's true. tick data , In terms of time accuracy , Also accurate to 10ms, But the real-time push frequency is also 3 Once in a second , Therefore, the time accuracy and push accuracy of the data itself must not be the same .

The first is the stock market , For Shanghai Stock Exchange and Shenzhen Stock Exchange ,level 1 The market data has 3 One snapshot per second TAQ Data and time-sharing data , among TAQ The order Commission data in is the five level market data ; about level 2 data , Shanghai Stock Exchange is different from Shenzhen Stock Exchange , Shanghai Stock Exchange level 2 Is still 3 One snapshot per second TAQ data 、3 One snapshot per second 50 File order queue and transaction by transaction data , Shenzhen stock exchange is a real-time push , And there is tick Level order delegation data , among level 2 Of TAQ The order delegation data in is 10 File Market , Than level 1 More 5 files ; The order delegation queue data is the order data delegated one by one at a price level in the order of transaction priority , A total of 50 Delegate queues .

Futures market level 1 and level 2 Data is actually TAQ Snapshot data , And the stock market level 1 The data are more like , But compared to the stock market , The snapshot frequency of futures market is 500ms A push , Compared with the stock market 3 Push every second , Its frequency is much higher . In the futures market level 1 There is only one order consignment market in , and level 2 It is the fifth gear , therefore level 2 Compared with level 1 Provide deeper order Commission market data . at present , Futures market level 1 The market is 500ms A push ,level 2 Market data , The CICC and the previous stock exchange are still 500ms once , Other exchanges are 250ms Push once , But the last stock exchange will be launched soon 250ms Frequency market .

Shanghai Stock Exchange level 2 Quotes provide the basis for trading tick data ,3 Push every second ; The shenzhen stock exchange level 2 Quotes provide the basis for trading and order delegation tick data , Real time push .

In the futures market , In fact, only snapshot data , Generally speaking, there are several in one second tick, It actually means that there are several snapshots in a second , Not strictly tick data .

Four 、Level 2 Market data

1、Level 2 The market

Level-2 The market is a new generation market of Shanghai Stock Exchange launched by Shanghai Stock Exchange Information Network Co., Ltd , It adds value-added information to the basic market , To better meet the differentiated needs of institutional investors and professional investors for market information . The data is based on FIX/FAST Interface to protocol , The quotation is transmitted through the special network of Shanghai Stock Exchange Information Network Co., Ltd .

2、Level 2 Characteristics of the market

As a value-added market ,Level-2 The market features are as follows ：

（1） More information

More opening order data 、 Transaction by transaction data 、 Transaction and order related data and value-added data , Reveal the details of the transaction , Reflect the market situation in an all-round way

（2） More abundant entrusted inventory

To the buyer and the seller 10 The price of a price 、 Information on the number of shares and the number of entrusted transactions , The front of the first gear is also provided 50 The quantity of orders entrusted , Reveal the details of the buyer's and seller's behavior

（3） Lower latency

Adopt world-class FAST agreement , The technical system with millisecond delay makes the data reach the user more quickly

（4） More value-added services

The data is processed by professional information service providers , More technical analysis indicators can be derived , Such as capital flow and large order analysis

（5） Higher service quality assurance

Provide retransmission mechanism , Make sure the data is reliable 、 accuracy , Do not lose any data

3、Level 2 The advantages of the market

Level- The market is better than Level-1 The main contents of the market increase ：

（1） Add delegation information

The total number of entrusted transactions 、 Number of consignments and weighted average price ;
front 10 The price of the stall 、 Number of consignments and number of consignments ;
front 1 Before the price 50 Number of orders entrusted ;
Total price depth and quantity ;

（2） Add transaction data

Transaction by transaction details ;
buy ／ The maximum waiting time for the seller to complete the order ;

（3） Add value-added data

buy ／ The seller's cumulative number of cancellations 、 Quantity and amount ;
ETF apply for the purchase ;

5、 ... and 、Datafeed Non display market

1、Datafeed Market introduction

Algorithmic Trading 、 Risk Management 、 If you need to listen to real-time market quotations for high-end applications such as data analysis, research and development strategies , Access required Datafeed Only non display quotes can be received and used .

Datafeed A non - display market is a stock or futures market Level2 A usage mode of deep market , Through a specific API Interface to receive the market data sent by the exchange .

Datafeed and Level-2 The data source is the same , but Datafeed Focus on using （ Like trading 、 Analytical research ）,Level-2 Focus on showing .

Level-2 The market situation visually shows the current market fluctuations in a graphical form , However, the market data is not allowed to be landed or accessed through interfaces , It can only be used for PC Or mobile terminal for display .

2、 Market data access

The exchange has clear restrictions on the access and forwarding of real-time market data , Any unauthorized unit or individual shall not forward or disseminate the trading information of the exchange without authorization .

Major securities 、 Technology companies or information companies subordinate to futures exchanges are responsible for real-time 、 External authorization management of historical market , Users can use technology directly 、 Information provided by the company API Interface , Receive the in-depth quotations of the exchange by means of computer room trusteeship , It can avoid the problem of delay in obtaining data through information providers .

Datafeed The application for market data access includes qualification 、 Review of technology and other aspects ,

And the authorized unit must strictly follow the purposes approved by the exchange in writing （ Self use or forward ） Use non presentation data .

（1） The shenzhen stock exchange

Market content ： On the basis of basic real-time market , The real-time trading order is expanded from five levels to ten levels , And increase the top of the best price 50 File details 、 Entrust one by one 、 Transaction by transaction and other information ;

Frequency of release ：3 second / Time ;

Transmission form ：TCP;

（2） Shanghai

Market content ： stay Level-1 Add delegation information based on （ Such as the number of entrusted transactions 、 Number of consignments and weighted average price ; front 10 The price of the stall 、 Number of consignments and number of consignments ; front 1 Before the price 50 Number of orders entrusted ; Total price depth and quantity ）、 Transaction information （ Transaction by transaction details ／ The maximum waiting time for the seller to complete the order ）、 Value added data （ buy ／ The seller's cumulative number of cancellations 、 Quantity and amount  ETF apply for the purchase ）

Frequency of release ：3 second / Time ;

Transmission form ：TCP;

（3） Big business

Market content ：5 Level in-depth Commission market 、 The best buying and selling price goes up 10 The amount entrusted by each transaction 、 Weighted average commission price 、 Real time settlement price 、 Statistics of trading volume at different prices, etc 8 Species data ;

Frequency of release ：0.25 second / Time ;

Transmission form ：TCP、UDP On demand and multicast ;

（4） Zheng Shangsuo

Market content ： Contract code 、 Previous closing 、 Pre settlement 、 Yesterday's position 、 Opening price 、 Closing price 、 Highest price 、 The lowest price 、 The latest price 、 Bid price 、 Bid price 、 Purchase volume 、 Applied sales volume 、 Settlement price 、 Average price 、 Limit board 、 limit down 、 volume 、 Position 、5 Level in-depth Commission market 、 The total amount of entrusted purchase 、 Total commissioned sales ;

Frequency of release ：0.25 second / Time ;

Transmission form ：TCP or UDP Multicast ;

（5） Last issue / Energy Center ：

primary coverage ： Contract code 、 The latest price 、 Number of contracts 、 Clinch a deal amount 、 Position 、 Highest price 、 The lowest price 、 Opening today 、 Today's closing ;

Frequency of release ：0.5 second / Time ;

Transmission form ：TCP or UDP Multicast ;

（6） Zhongjin Institute

Market content ： Contract name 、 Delivery month 、 The latest price 、 Up and down 、 volume 、 Position 、 Bid price （ The best five strokes ）、 Bid price （ The best five strokes ）、 Purchase volume （ The best five strokes ）、 Applied sales volume （ The best five strokes ）、 Settlement price 、 Opening price 、 Closing price 、 Highest price 、 The lowest price 、 Settlement price before 、 Turnover, etc ;

Frequency of release ：0.5 second / Time ;

Transmission form ：TCP or UDP Multicast ;

3、 Quotation forwarding system

The quotation forwarding system that meets the compliance requirements and market demand needs to have the following functions ：

（1） Meet the needs of users

Receive quotations from Shenzhen Stock Exchange in Shanghai , Where can the market gateway be deployed to reduce the delay ;

Different exchanges have different market formats , How to deal with the problem of facilitating users' rapid access ;

Whether the data can be calculated and assembled , Through technical services to meet the personalized needs of users ;

（2） Compliance with exchange compliance requirements

How to comply with the requirements of the exchange , Carry out boundary control of quotation forwarding ;

Count and control the permissions of all access users , Establish a database for the exchange to query ;

（3） Convenient for daily operation and maintenance

It can monitor the status of the system in real time ;

Locate the fault problem ;

Quick fix ;

4、 Non display quotation application

Non display quotation application authorization , Get the market gateway , Must meet exchange compliance requirements .

The authorization for the use of non display quotations shall be applied to the information company or technology company of the exchange , The exchange will assess the qualifications of enterprises 、 Review the technical proposal and other aspects .

The authorized unit must strictly follow the purposes approved by the exchange in writing （ Self use or forward ） Use non presentation data .

Shanghai Stock Exchange is authorized to contact Shanghai securities exchange information , SZSE contact SZSE information , CICC contacted CICC technology . Shanghai 、 The shenzhen stock exchange 、 The authorization process of CICC non display quotation application is as follows ：

 

After applying for quotation authorization , The exchange information company will issue the market gateway , Securities companies and futures companies need to obtain market data through the market gateway .

The market gateway of Shanghai Stock Exchange is VDE, namely Vendor Data Engine, And the upstream market source server of the exchange TCP Protocol connection , And downstream market forwarding system TCP Connect ; Shenzhen Stock Exchange Market gateway is MDGW, namely Market Data Gateway, And the upstream market source service of the exchange UDP Connect , And downstream market forwarding system TCP Connect ; CICC has no concept of market gateway , Connect through the front-end processor .

5、 Technical proposal and on-site inspection

Apply to the exchange for authorization , The key points are technical proposal and on-site inspection .

According to the requirements of the exchange , The technical proposal shall be provided at the time of application , It is necessary to explain the technical scheme of the quotation forwarding system 、 Disaster recovery plan , And how to ensure data compliance .

Technical proposal , It mainly includes the description of the four main modules ：

（1） Technical architecture description ;

（2） Operating terminal management description ;

（3） Description of data and information security measures ;

（4） System test ;

After the proposal is approved by the exchange , Ready for site inspection .

The on-site inspection focuses on four aspects ：

（1） System technical architecture 、 Disaster recovery structure 、 Network deployment, etc ;

（2） Whether there is illegal forwarding 、 The user's forwarding data is not reported ;

（3） User management system check , User data shall not be deleted and shall be retained for at least five years ;

（4） Whether the machine room is up to standard .

After passing the on-site inspection, the exchange will issue the gateway program , After getting the gateway program, you can switch the production environment for self use and forwarding .

6、 Market service operation and maintenance

There will inevitably be some problems in the market , For example, the market is broken 、 Packet loss . Causes such as network abnormality 、 Process exception 、 Excessive traffic leads to gateway disconnection and buffer overload .

therefore , During operation and maintenance, the following indicators can be monitored to ensure the stable operation of the quotation system ：

（1） Network status of each node ;

（2） Process status ;

（3） Market landing time management ;

（4） Log monitoring ;

6、 ... and 、 Exchange quotation docking

1、 Exchange quotation docking

LDDS: Low delay quotation publishing system （Low–Latency Data Distribution System）.

VDE: Vendor Data Engine Front end unit , The new quotation system of Shenzhen Stock Exchange provides the access point server of the information business system .

DDS: IDC Data publisher in .

DRS: IDC Data reconstruction server in .

VSS: Vendor Supplied System Information merchant server , The information provider server that is licensed to access the new market system of Shenzhen Stock Exchange .

Provided by Shanghai Stock Exchange LDDS-VDE It's pure. Java service , After starting ,VDE Hui He DDS Server setup TCP Connect , And short connection on demand DRS The server . Users can start from VDE Get the market data of Shanghai Stock Exchange and Shenzhen Stock Exchange .

LDDS-VDE The default configuration com.sseinfo.lddsidc.thread.vss.RealTimeClientThread  Will take a snapshot of the market every 3 Second update to file  mktdt00.txt, Users can read files or connect directly VDE Of 9129 Port to get the market of Shanghai Stock Exchange .

LDDS-VDE It will forward the market data of Shenzhen Stock Exchange , Although in 9129 You can also read the data of Shenzhen Stock Exchange , But it is recommended to connect VDE Of  6666  Port by Binary Agreement to obtain the market data of Shenzhen Stock Exchange .

establish TCP After connection ,VSS You need to VDE send out Login request , If there is no problem logging in ,VDE Will reply Login request , Then start to push the market data .

Regularly send Heartbeat Message to check if the connection is broken ,Heartbeat The interval is Login Set in the request HeartBtInt .

2、 Exchange quotation forwarding

from 2018 Beginning of the year , The CICC has gradually loosened the restrictions on stock index futures trading , Many futures companies began to pay more attention to stock index futures trading and invest in technology , Always ready to provide differentiation for professional institutional users 、 High quality service support .

With the thaw of stock index futures, quantitative institutional users , The enthusiasm for entering the market is gradually heating up , Of Shanghai and Shenzhen Stock Markets Level 2 In depth market is a necessary market data demand for quantifying the trading of stock index futures by institutional users , It is also a way for futures companies to improve their professional services , A necessary service tool to meet the personalized needs of institutional users .

According to Shanghai Stock Exchange Information Network Co., Ltd Level-2 The list of licensed units that do not display data , Nanhua futures 、 Xingzheng Futures 、 CITIC futures 、 Haitong Futures 、 Six futures companies, Zhonghui futures and Minmetals Jingyi futures, took the lead in winning the Shanghai Stock Exchange Level-2 Acceptance and approval of technical scheme for in-depth market and authorization of data use , And has been connected to the market special line in the computer room managed by CICC , Available to authorized users .

The market authorization license is to use Level-2 Not the first step in presenting data , It also needs to realize market access through technical solutions 、 decode 、 Forwarding and other functions .

3、 Quotation forwarding system

Shanghai Stock Exchange and Shenzhen Stock Exchange Level-2 The market data passed Level-2 After the market generation engine generates , It is sent to the information receiving component through the quotation publishing center , adopt UDP The multicast quotation distribution system forwards it directly to customers .

UDP Characteristics of multicast quotation distribution system ：

（1） Receive the quotation and distribute it directly , Transfer cleaning without procedures , More efficient .

（2） Pass the market through UDP Multicast instead of TCP distribution , Support more concurrent customers , Efficient and fair , High scalability .

（3） Allow investors to subscribe to market information on demand , Decode the specified stock market , It avoids the performance loss caused by decoding the whole market , Improved bandwidth utilization efficiency .

（4） Support to publish the required market classification to the specified multicast address to meet the needs of investors .

（5） Complete compliance control , All quotations are broadcast only in the authorized computer room .

（6） Support real-time query of user list 、MAC Address 、IP Address and other information , And provide detailed log report .

（7） Release data in the format of traditional market makers , To ensure that users can access the smart system with as few code changes as possible .

（8） When configuring different components , It can also support the receiving and forwarding of futures exchange quotations .

4、 Market interface

For any procedural trading strategy , Market interface and transaction interface are indispensable components , Market is the most basic signal source of all trading strategies , The sending and receiving of various transaction signals is the final form of the transaction strategy .

China Securities 、 The futures market is managed by membership system , Only the member units of the exchange, i.e. securities companies 、 Only futures companies are eligible to purchase trading seats from the exchange . The procedural trading team can contact the securities 、 Futures companies provide channel services for trading interfaces .

The information technology subsidiaries of major domestic exchanges that provide market interface services are as follows ：

A subsidiary of Shanghai Stock Exchange —— Shanghai Stock Exchange Technology Co., Ltd

A subsidiary of Shenzhen Stock Exchange —— Shenzhen Securities Communication Co., Ltd

A subsidiary of Zhengshang office —— Zhengzhou Yisheng Information Technology Co., Ltd

A subsidiary of Dashang —— Dalian feichuang Information Technology Co., Ltd

Subsidiaries of the Institute in the previous period —— Shanghai Futures Information Technology Co., Ltd

A subsidiary of CICC —— Shanghai Financial Futures Information Technology Co., Ltd

7、 ... and 、 Market data accelerate

FPGA（Field Programmable Gate Array, Field programmable gate array ） It's a semi custom circuit , Can be reprogrammed （ Hardware programming ）.

FPGA Engineers don't have to rely on manufacturers' standardized chips , But according to the actual needs , By changing the logical connection of the circuit , Realize various operation functions .

FPGA Its advantage lies in its high operating efficiency 、 Fast , But the development cycle is long 、 Debugging and error correction are difficult 、 The flexibility of logic implementation is weak 、 The cost of upgrading is high .

With the development of financial technology , The competition of financial transactions for lower transaction delay is escalating , Traditional software technology or acceleration technology based on software can not meet the requirements of microsecond real-time processing and real-time response . The industry is looking for solutions to build a low delay trading system , be based on GPU、FPGA The technology of hardware parallel acceleration has gradually entered the field of securities trading , Become the top technology trend in the field of financial technology .

The essence of reducing transaction delay is how to accelerate financial data .FPGA Hardware programmable 、 low power consumption 、 Characteristics of low delay . be based on RTL(Register Transfer Level : Register transfer level ) Level logic programming , Various communication protocols can be customized ( Such as TCP/IP Protocol stack unloading )、 Encoding and decoding of various messages ( As stated in the above exchange FAST Protocol decoding ) And the operation of various particle sizes of the system , Realize data parallelism and pipelining parallelism , To achieve very low system delay and very high system capacity .