High-speed Exchange Method of Securities Trading File-like Interface Data Based on Extended-FAST
Bai Shuo · Journal of Chinese Computer Systems · 2012
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 segment 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 leverage high efficiency encoding of process of Extended-FAST to significantly reduce redundancy of exchange data,and thus the bandwidth overhead.Moreover,since the encoding procedure is based on the granularity of a record,the receiver can directly decode records 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 formats.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.