基于扩展FAST的高速证券交易接口文件交换方法  

High-speed Exchange Method of Securities Trading File-like Interface Data Based on Extended-FAST

作　　者：徐广斌[1,2] 武剑锋[1] 郑刚[1] 黄寅飞[1] 吴韶平[1] 王泊[1] 白硕[1] 

机构地区：[1]上海证券交易所技术中心,上海200120 [2]复旦大学计算机科学技术学院,上海200443

出　　处：《小型微型计算机系统》2012年第2期414-418,共5页Journal of Chinese Computer Systems

基　　金：中国证监会证券交易数据交换编解码协议基金项目(P2011-02)资助;上海市博士后科研资助计划重点项目基金(10R21420100)资助

摘　　要：针对现有方法冗余度高和文件分段造成带宽浪费、延迟大的问题,提出一种基于扩展FAST的高速证券交易接口文件交换方法-FastFile.将接口文件记录映射为消息进行编码并组成段传输,使接收方即便只收到部分分段,也可解析出所含记录,同时利用扩展FAST高效的编码有效降低数据冗余度.实现了扩展FAST及FastFile,实验比较了FastFile与常用接口文件格式.实验表明FastFile处理数据的粒度更小,可降低重传,数据格式比现有的接口文件格式小70%以上,验证了新方法的可行性与有效性.Current data exchange methods of file-like securities trading interface are mainly based on some high redundancy formats such as DBF, which wastes bandwidth resource and induces high distribution latency. Besides, the retransmission induced by file seg- ment loss can aggravate bandwidth overhead and cause extra latency. This paper presents an Extended-FAST-based securities trading interface data exchange method to solve this problem. By mapping records of an interface file to FAST messages, the method can le- verage high efficiency encoding of process of Extended-FAST to significantly reduce redundancy of exchange data, and thus the band- width overhead. Moreover, since the encoding procedure is based on the granularity of a record, the receiver can directly decode re- cords from a file segment, which effectively reduce the latency of records of the received segments and avoid retransmission of whole file. We implemented the Extended-FAST engine and the prototype. We compared file sizes of several generally-used interface for- mats. The experimental results demonstrate that the new method can dispose interface data by a smaller granularity and thus mitigate retransmission, and can reduce data size by over 70%, which verified the feasibility and effectiveness of the new method.

关 键 词：适流FIX 证券交易 数据交换 

分 类 号：TP319[自动化与计算机技术—计算机软件与理论]