Level2 Reference Data UA 101 TransactionUA 3101 Market
- Slides: 41
Level-2内容 • • Reference Data (UA 101) Transaction(UA 3101) Market Data(UA 3102, UA 3113) Order Queue(UA 3111)
行情展示 Transaction(UA 3111) Market Data(UA 3102) Order Queue(UA 3111)
SSE to Vendor Connection 1. VDE(Vendor Data Engine) 2. VSS(Vendor Supplies System)
VDE to VSS Connection
Daily Procedure
三、 Level-2 FAST数据解码
Level-2 FAST的介绍 FIX Adapted for Streaming (FAST) • 为解决FIX协议传输市场数据存在冗余度高,带宽需求大 的问题, 芝加哥商品交易所于2003年 11月17日向FPL提交了 一个隐示标记(Implicit tags)方案 • FPL于2004年 12月27日宣布成立市场数据优化 作组 (MDOWG, Market Data Optimization Working Group). • 2005年 5月开始MDOWG根据一系列POC的结果,开始进行协 议标准制定 • 2006年初完成FAST(FIX Adapted for STreaming)V 1. 0 • 2006年 12月完成FAST V 1. 1
FAST关键技术 • Field Encoding – 隐式标签(Implicit Tag)(模版 Template) • 提供消息层面的优化 – 操作符(Operator) • 消息层面和tag层面的优化 • Transfer Encoding • 二进制数据流 • Presence Map(PMAP) • Stop Bit Encoded Entities
Field Encoding • 常用数据类型 Data type Descript ion strin String g data type int 32 integer data type int 64 long data type seque repeatin nce g group
Field Encoding Operator Entry Description Constant value Default value if not specified Copy previous value if not specified Increment previous value if not specified Delta value from previous value Tail value from previous value
Field Encoding Operator • Constant Value 用途:主要用于表示模板中的固定数据 cons valu outp t e u a i t n n v t s a v tr l a e u m e “VA N/A L U “VA L U
Field Encoding Operator • Default Value 用途:主要用于表示默认值 defa ult valu e in stre am outp ut valu e “VA LUE ” N/A “VA LUE ” “HE LLO”
Field Encoding Operator • Copy Value 用途:主要用于表达相邻数据相同的情况 previ valu outp o e u u i t s n v v s a a tr l l e u u a e e m “VA N/A L U E “VA L U E
Field Encoding Operator • Increment Value 用途:主要用于表示前后数据有规律的递增的情况 previ valu outp o e u u i t s n v v s a a tr l l e u u a e e m 5 N/A 6 5 10 10
Field Encoding
Field Encoding-Template • 定义和语法,包括: – Field(Message Structure) – Field Encoding Operator – Data Type • 如何表示: – XML语言
Field Encoding-Template • XML格式的模板示例 Field Operators <template name="Example. Order"> <message. Ref name="New. Order. Single"/> <string name="Begin. Str"> <constant value="FIX. 4. 4"/> </string> <u 32 name="Seq. Num"> <increment/> </u 32> Structure <string name="Sender. ID"> <copy/> </string> <string name="Sending. Time"> <tail/> </string> <decimal name="Price"> <delta/> </decimal> <string name="Symbol"> <copy/> </string> </template> Data Types
Transfer Encoding stream : : = message* | block* block : : = Block. Size message+ message : : = segment : : = Presence. Map Template. Identifier? (field | segment)* field : : = integer | string | delta | Scaled. Number | Byte. Vector integer : : = Unsigned. Integer | Signed. Integer string : : = ASCIIString | Unicode. String delta : : = Integer. Delta | Scaled. Number. Delta | ASCIIString. Delta | Byte. Vector. Delta
Transfer Encoding-Presence Map Bit in Required Operator Mandatory Optional None No No default Yes constant No Yes* copy Yes increment Yes
Presence Map and NULL • NULL一般用来指示这一field没有出现(absent) Occ u p y Oper at or Prese nc e None Mand ato no ry Option no al Mand ato no const ry an t Option yes al 使用 N U L L yes
Data Type Example • u. Int 32 Example—Optional Number
如何解析Level-2 FAST 的消息 • VSS – 1 Initial – 2 Read. Templates – 3 Connect VDE – 4 Logon – 5 Receive Data – 6 Decode – 7 业务处理 – 8 数据存储和转发
UA 3101的解码实例 PMAP 5 F E 0 1011111 11100000 10111111100000 TID 占位=1 18 9 d 11000 10011101 110000011101 3101 <string name="Message. Type" id="35"><constant value="UA 3101"/></string> 35 不占位 UA 3101 <int 32 name="Data. Status" id="10121" presence="optional"><default/></int 32> 10121 占位=0 <int 32 name="Trade. Index" id="10011"><increment/></int 32> 10011 占位=1 81 10000001 00000001 1 <int 32 name="Trade. Channel" id="10115"><copy/></int 32> 10115 占位=1 86 10000110 00000110 6
UA 3101的解码实例 <string name="Security. ID" id="48" presence="optional"><copy/></string> 48 占位=1 36 30 31 37 36 B 6 601766 <int 32 name="Trade. Time" id="10013" presence="optional"><copy/></int 32> 10013 占位=1 04 34 4 A 83 100 0110100 1001010 0000011 9250050 <int 32 name="Trade. Price" id="10014" presence="optional" decimal. Places="3"><default/></int 32> 10014 占位=1 29 83 101001 0000011 5250 5. 250 <int 64 name="Trade. Qty" id="10015" presence="optional" decimal. Places="3"><default/></int 64> 10015 占位=1 1 E 42 A 1 11110 1000010 0100001 500000 500. 000 <int 64 name="Trade. Money" id="10016" presence="optional" decimal. Places="5"><default/></int 64> 10016 占位=1 00 7 D 15 5 D A 1 1111101 0010101 1011101 0100001 262500000 2625. 00000 35=UA 3101|10011=1|10115=6|48=601766|10013=9250050|10014=5. 250|10015 =500. 000|10016=2625. 000|
- Miguel garzon rate my prof
- Seg 3101
- Cda 3101
- Iso iec ieee 29148 template
- Seg 3101
- Seg 3101
- Cda3101 uf
- Cda 3101
- Jeff edmonds
- Seg3101
- Cda3101
- Leader follower challenger nicher
- Difference between segmentation targeting and positioning
- Market reference data
- Reference node and non reference node
- Reference node and non reference node
- Historic tax credit structure diagram
- New market tax credits 101
- Software architecture 101
- Sql and relational databases 101 answers
- Data governance 101
- Data literacy 101
- Brontobyte
- Teaching market structures with a competitive gum market
- Market form of beef steak
- Primary target market and secondary target market
- Participants in the business buying process
- What is space market in real estate
- Segments of money market
- "@" inurl:market= market; cryptanalysis;
- Spot market in foreign exchange market
- Market and market identification
- Market power market failure
- Document sample
- Bill market scheme 1970
- Reference data conference
- Federal enterprise architecture data reference model
- Nist big data reference architecture
- Reference data model
- Data reference model
- Hasil kompilasi dari berkas java
- Coi