低延迟证券交易系统关键技术研究

doi:10.3969/j.issn.1000-3428.2011.18.010

计算机工程 ›› 2011, Vol. 37 ›› Issue (18): 28-31.

低延迟证券交易系统关键技术研究

徐广斌 ^1,2，武剑锋 ¹，白硕 ¹

(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)

收稿日期:2011-03-02 出版日期:2011-09-20 发布日期:2011-09-20
作者简介:徐广斌(1976－)，男，博士后，主研方向：证券交易接口技术，金融信息系统；武剑锋，高级工程师、副教授；白硕，教授、博士生导师
基金资助:
中国证监会证券数据压缩传输协议专项研究基金资助项目

Research on Key Technologies of Low-latency Securities Trading System

XU Guang-bin ^1,2, WU Jian-feng¹, BAI Shuo ¹

(1. Technology Center, Shanghai Stock Exchange, Shanghai 200120, China;2. School of Computer Science, Fudan University, Shanghai 200443, China)

Received:2011-03-02 Online:2011-09-20 Published:2011-09-20

摘要/Abstract

摘要： 为构建低延迟证券交易系统，给出对证券交易延迟的定义，提出证券交易延迟的整体分析框架。对证券交易延迟进行细分，研究构建证券交易系统相关的操作系统、消息中间件、软件开发、性能测试及优化等软件关键技术，讨论可能消除或减少这些延迟的现有方法、技术和手段及其发展趋势。分析表明，采用系统化分析方法对搭建的系统进行不断调整优化是构建低延迟证券交易系统的有效方法。

关键词: 低延迟, 证券交易, 交易延迟, 电子交易, 消息交换

Abstract: Focusing on building the low-latency trading system, this paper gives definition of the securities trading latency and presents the analytical framework and the breakdown of trading latency. The key technologies of operating systems, message middleware, applications, and performance testing and tuning for building a low-latency trading system are studied. In each part of that, existing methods and techniques of eliminating or relieving corresponding latency are discussed and the developing trends of which are provided. It concludes that systematical analysis methodology should be applied and continuously tuning and optimizing should be conducted for building a low-latency trading system.

Key words: low-latency, securities trading, trading latency, electronic trading, message exchange

中图分类号:

TP311.5

徐广斌, 武剑锋, 白硕. 低延迟证券交易系统关键技术研究[J]. 计算机工程, 2011, 37(18): 28-31.

XU An-Bin, WU Jian-Feng, BAI Shuo. Research on Key Technologies of Low-latency Securities Trading System[J]. Computer Engineering, 2011, 37(18): 28-31.

https://www.ecice06.com/CN/Y2011/V37/I18/28

参考文献

[1] Agarwal V, Bader D A, et al. Faster FAST: Multicore Acceleration of Streaming Financial Data[J]. Computer Science: Research and Development, 2009, 23(3): 249-257.
[2] Karamcheti V, Chien A A. Software Overhead in Messaging Layers: Where Does the Time Go[C]//Proc. of International Conference on Architectural Support for Programming Languages and Operating Systems. San Jose, USA: [s. n.], 1994.
[3] Abeni L, Goel A, Krasic C, et al. A Measurement-based Analysis of the Real-time Performance of the Linux Kernel[C]//Proc. of the 8th IEEE Real-time and Embedded Technology and Applications Symposium. San Jose, USA: [s. n.], 2002.
[4] Goel A. Operating System Support for Low-latency Streaming[D]. Portland, USA: School of Science and Engineering, Oregon Health and Science University, 2003.
[5] Barabanov M, Yodaiken V. Real-time Linux[J]. Linux Journal, 1997, 34(2): 19-23.
[6] Wainer G A. Implementing Real-time Services in MINIX[J]. Operating Systems Review, 1995, 29(3): 75-84.
[7] Hildebrand D. An Architectural Overview of QNX[C]//Proc. of the USENIX Workshop on Micro-kernels and Other Kernel Architectures. Seattle, USA: [s. n.], 1992: 113-126.
[8] Furht B, Parker J, Grostick D. Performance of REAL/IXTM-fully Preemptive Real Time Unix[J]. ACM SIGOPS Operating Systems Review, 1989, 23(4): 45-52.
[9] Yodaiken V. The RTLinux Manifesto[C]//Proc. of the 5th Linux Conference. Raleigh, USA: [s. n.], 1999.
[10] Redhat, Inc.. Redhat MRG[EB/OL]. (2010-04-08). http://www. redhat.com/mrg.
[11] Doherty B P. A Real-time Benchmark for Java[C]//Proc. of the 5th International Workshop on Java Technologies for Real-time and Embedded Systems. Vienna, Austria: [s. n.], 2007.
[12] Zerzelidis A, Wellings A J. Requirements for a Real-time .NET Framework[J]. ACM SIGPLAN Notices, 2005, 40(2): 41-50.
[13] 胡冷非, 李小勇. 基于Xen的I/O准虚拟化驱动研究[J]. 计算机工程, 2009, 35(23): 258-262.
[14] Viamonte M J, Ramos P. Simulating the Behaviour of Electronic MarketPlaces with an Agent-based Approach[C]//Proc. of the 2004 IEEE/WIC/ACM International Conference on Web Intelligence. Beijing, China: [s. n.], 2004.
[15] Praca I, Viamonte M J. Agent-based Simulation of Electronic Marketplaces with Decision Support[C]//Proc. of the 2008 ACM Symposium on Applied Computing. Fortaleza, Brazil: [s. n.], 2008.

选择文件类型/文献管理软件名称

选择包含的内容

低延迟证券交易系统关键技术研究

Research on Key Technologies of Low-latency Securities Trading System

PDF

可视化

被引次数

摘要/Abstract

引用本文

使用本文

参考文献

相关文章 9

编辑推荐

Metrics

本文评价

[1]	胡宗升, 邢凯, 许静. 基于超越数论的无线传感器网络时空编码方法[J]. 计算机工程, 2023, 49(9): 172-182.
[2]	冯一飞, 丁楠, 叶钧超, 柴志雷. 领域专用低延迟高带宽TCP/IP卸载引擎设计与实现[J]. 计算机工程, 2022, 48(9): 162-170.
[3]	李沛南,薛萍,林忱,蒋银坪,孟洪宇. 一种高效片间互联接口协议的设计与实现[J]. 计算机工程, 2018, 44(4): 66-73,80.
[4]	周亮,李格非,邰伟鹏,郑啸. 基于Spark的时态查询扩展与时态索引优化研究[J]. 计算机工程, 2017, 43(7): 22-28,37.
[5]	魏炬熠,张建军,魏振春. 一种能量均衡的低开销WSN时间同步算法[J]. 计算机工程, 2016, 42(12): 5-10,15.
[6]	阮彤, 金志超. 面向跨企业多方协同应用的Web服务安全模型[J]. 计算机工程, 2013, 39(2): 55-60.
[7]	隋新, 朱云龙, 南琳. 企业服务总线中消息路由器的设计与实现[J]. 计算机工程, 2011, 37(21): 11-13,16.
[8]	蔡祺, 杨小虎. 证券交易数据压缩的混合算术编码[J]. 计算机工程, 2010, 36(18): 267-269.
[9]	罗莎莎, 徐成, 刘彦. 一种片上网络的低延迟容错算法[J]. 计算机工程, 2010, 36(16): 94-96.

模态框（Modal）标题

选择文件类型/文献管理软件名称

选择包含的内容

低延迟证券交易系统关键技术研究

Research on Key Technologies of Low-latency Securities Trading System

PDF

可视化

被引次数

摘要/Abstract

引用本文

使用本文

参考文献

相关文章 9

编辑推荐

Metrics

本文评价