Field programmable gate array (FPGA)-based deep market quotation acquisition system and method

Abstract

The invention provides a deep market quotation obtaining system and method based on an FPGA, and relates to the field of stock quotation systems.The method comprises the steps that a TCP protocol stack is built based on the FPGA, communication with an exchange quotation gateway is conducted through a 10-gigabit optical port, and original data of the exchange quotation gateway is received; the method comprises the following steps: firstly, transcoding an order book, then realizing deep market condition snapshot, commission and transaction transcoding based on a Binary protocol through FPGA logic, reconstructing the order book by using information of commission and transaction transcoding, and finally, multicasting transcoding data and reconstructed order book data to a downstream client through a 10-gigabit optical port in a UDP broadcast form. And the characteristics of hardware programmability, low power consumption and low time delay of the FPGA are fused. Based on RTL-level logic programming customization TCP protocol stacks and Binary protocol decoding of the deep public, parallelization and pipeline processing of data are achieved, and extremely low deep market quotation time delay and extremely high processing performance are achieved.

Description

technical field [0001] The present invention relates to the technical field of stock quotation system, in particular to an FPGA-based deep market quotation acquisition system and method. Background technique [0002] In the field of securities trading, profit opportunities are fleeting, and "lower transaction latency" is one of the core goals pursued by all financial traders. A transaction usually goes through three stages, namely the acquisition of market information, strategic judgment based on market information and other factors, and order placement and transaction. For any transaction, the delay in each stage is very important and directly affects the success or failure of the transaction. . At present, most of the trading systems in the domestic financial industry are based on the traditional general-purpose CPU architecture, and there is a bottleneck in the speed-up of transactions, which cannot meet the needs of ultra-low-latency transactions. Among them, the real-...

AI Technical Summary

Problems solved by technology

Among them, the real-time market information of securities is an important basis for financial institutions to make investment decisions, and the current solution is to use the "universal CPU + low-latency network card" solution to access the market gateway, and the market system delay can reach tens of microseconds or even higher , it is difficult to meet the microsecond-level real-time processing and real-time response requirements of programmatic transactions

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