TWI841062B - Risk control judgment device and transaction system - Google Patents

Abstract

The present invention discloses a transaction system comprising a user device that generates an order packet based on a product price packet; a risk control judgment device receives the order packet, quickly deserializes the order packet, finds a tag in the order packet and a transaction information corresponding to the tag; the risk control judgment device compares whether the order packet suffices a risk control condition and generates a risk control transaction packet; and an operation center host collects the price of a product on the market and generates the product price packet, and makes a matching transaction based on a risk control transaction packet; wherein, when the order packet meets the risk control condition, the risk control transaction packet is the order packet and is transmitted to the operation center host for making matching transaction; when the order packet does not meet the risk control condition, the risk control transaction packet replaces the order packet, and the risk control transaction packet is transmitted to the operation center host to invalidate the transaction of the order packet.

Description

Risk control judgment device and trading system

The present invention relates to a risk control judgment device, in particular a risk control judgment device having a field programmable gate array (FPGA) chip and a trading system thereof.

In the field of financial transactions, the transaction amount of financial products changes rapidly. When the transmission of transaction information or financial product information is delayed, it is easy to cause huge losses to users. Therefore, how to quickly transmit customers' transaction information in the field of financial transactions where every second counts has become an important issue.

How to trade financial products before the market fluctuates violently is an urgent problem that this invention needs to solve.

One of the purposes of an embodiment of the present invention is to provide a risk control judgment device that can judge whether to conduct a transaction before the market fluctuates violently.

One of the purposes of an embodiment of the present invention is to provide a risk control judgment device that can quickly judge whether the user's order package meets the risk control conditions so as to conduct transactions before the market fluctuates violently.

The present invention discloses a trading system comprising a user device, which generates an order package according to a commodity price package; a risk control judgment device, which receives the order package, quickly deserializes the order package, finds a tag in the order package and a transaction information corresponding to the tag, and compares whether the order package meets a risk control condition, and generates a risk control transaction package; and an operation center host, which collects market information. The price of a commodity on the market is generated and the commodity price package is matched according to a risk control transaction package; when the order package meets the risk control conditions, the risk control transaction package is the order package and is transmitted to the operation center host for transaction matching; when the order package does not meet the risk control conditions, the risk control transaction package replaces the order package, and the risk control transaction package is transmitted to the operation center host to make the transaction of the order package invalid.

According to an embodiment of the present invention, the risk control judgment device includes: a tag deserializer, which is used to deserialize the order package to obtain the tag in the order package and the transaction information corresponding to the tag; and a risk control judgment unit, which compares the tag and the transaction information to see whether they meet the risk control condition.

According to an embodiment of the present invention, the tag deserializer divides the packet into a plurality of packet blocks within the same time interval, and each packet block corresponds to a preset bit length.

According to an embodiment of the present invention, the tag deserializer searches for a terminal value of each packet block. If the terminal value contains "=", it means that the packet block is the tag in the packet, and the packet block in the next time interval contains the transaction information corresponding to the tag.

According to an embodiment of the present invention, when the adjacent tag deserializer reads the packet, it has a packet displacement of a preset bit.

According to an embodiment of the present invention, when the adjacent tag deserializer reads the packet, it has a packet displacement of one bit.

According to an embodiment of the present invention, the risk control judgment device uses a mask table to compare the value of a fixed preset bit position in the packet. If the value of the preset bit position satisfies an expected value table, the risk control judgment device automatically sends the transaction packet to the operation center host.

100: Trading system

151: Operation center host

113: Risk control judgment device

15: User device

111: Internet

112: Line

153: Risk control judgment server

154:FPGA card

15a: Application Programming Interface

15b: NIC bridge

15c:FPGA Manager

15d: PCIe drive unit

15e: PCIe bus

221~224: Tag deserializer

225: Risk control judgment unit

120a: PCIe interface

120~123: NIC interface

P: Packet displacement

T0~T3, A1~A2: virtual frame

12: First layer switch

12a: Data multiplexer

Port1~Port6: Connection port

[Figure 1] shows a schematic diagram of the structure of a trading system of an embodiment of the present invention.

[Figure 2] shows a schematic diagram of the structure of the user device 15 and the risk control judgment device 113.

[Figure 3] shows a schematic diagram of the risk control judgment device 113 used to detect TMP packets.

[Figure 4] A schematic diagram showing an embodiment of a risk control judgment device for detecting FIX packets

Please refer to Figure 1 and Figure 2 at the same time. Figure 1 shows a schematic diagram of the structure of a trading system of an embodiment of the present invention, and Figure 2 shows a risk control judgment device of an embodiment of the present invention. The trading system 100 includes an operation center host 151, a risk control judgment device 113, and a user device 15. The risk control judgment device 113 is connected to an operation center host 151 and a user device 15, for example, the operation center host 151 and the risk control judgment device 113 can be connected through a network 111, and the risk control judgment device 113 and the user device 15 can be connected through a line 112.

In one embodiment, the broker connects the risk control judgment device 113 through a high-speed peripheral component interconnect bus (hereinafter referred to as PCIe) to set it, or the broker connects to the first layer switch (layer 1 switch) 12 through a network and connects the risk control judgment device 113 through the first layer switch 12 to set the risk control judgment device 113.

The risk control judgment device 113 is connected to a network transmission device of the user device 15, and the user device 15 and the operation center host 151 transmit data packets through the risk control judgment device 113.

Please note that the risk control judgment device 113 includes a risk control judgment server 153, an FPGA card 154, and a first-layer switch 12. The risk control judgment server 153 includes an application programming interface (API) 15a, a network interface controller (NIC) bridge 15b, an FPGA manager 15c, a PCIe driver unit 15d, and a PCIe bus 15e; the FPGA card 154 includes a tag deserializer 221~224, a risk control judgment unit 225, a PCIe interface 120a, and a NIC interface 120~123; the first-layer switch 12 has a data multiplexer (Mux) 12a that collects a plurality of packets received by the first-layer switch 12 and transmits them to a database of the risk control judgment device 113 (not shown). Among them, the application programming interface 15a is an interface for the broker (or the operation center host 151) to set up the risk control judgment device 113.

Please note that in one embodiment, the FPGA card 154 has four NIC interfaces 120-123, of which two NIC interfaces 120 and 122 are respectively indirectly connected to the operation center host 151 and the user device 15. In this way, the user device 15 generates an order packet based on a product price packet from the operation center host 151. After the risk control judgment unit 225 in the FPGA card 154 makes a judgment directly, the FPGA card 154 sends the risk control transaction packet to the operation center host 151. Because the FPGA card 154 can perform fast calculations to achieve low latency characteristics, it can speed up the processing process.

In one embodiment, the first-layer switch 12 has a plurality of ports Port1 to Port6. The user device 15 sends an order packet through port Port1 and connects to the NIC interface 120 through port Port2. The FPGA card 154 calculates the risk control condition judgment. The risk control transaction packet is then transmitted from the NIC interface 120 to port Port2, and then from port Port2 to port Port6, and finally transmitted from port Port6 to the operation center host 151.

Similarly, when the risk control judgment server 153 is configured, the risk control judgment server 153 is connected to the connection port Port4, and the configuration data is then transmitted from the connection port Port4 to the connection port Port3, and finally the configuration data is transmitted from the connection port Port3 to the NIC interface 121, and then connected to the PCIe interface 120a of the risk control judgment server 153 by the NIC bridge 15b of the FPGA card 154.

In one embodiment, the NIC bridge 15b of the risk control judgment server 153 is connected to the PCIe interface 120a of the FPGA card 154. The broker or the operation center host 151 uses the FPGA manager 15c to manage and configure the risk control judgment device 113 through the NIC bridge 15b, and the operation center host 151 establishes a TCP connection with the risk control judgment device 113 through the NIC bridge 15b, that is, the operation center host 151 enables the PCIe packet exchange with the risk control judgment server 153 through the NIC bridge 15b, and finally the risk control judgment device 113 and the operation center host 151 NIC packet exchange to complete the setting of the risk control judgment device 113.

In actual application, the risk control judgment server 153 in the risk control judgment device 113 is set by the broker or the operation center host 151. The operation center host 151 can pre-set the risk control conditions of the risk control judgment device 113 to confirm whether the order package sent by the user device 15 violates the rules of the risk control conditions. That is, the securities dealer or futures dealer controls the risk control judgment device 113 to prevent the customer (user device 15) from violating the trading regulations by placing an order package or trading.

The risk control judgment device 113 is a configurable detector and a configurable TX buffer with fast verification and calculation functions. The risk control judgment device 113 is used to detect the Financial Information eXchange (FIX) transmission protocol or the Taifex Message Protocol (TMP) packet; the FPGA manager 15c is used to adjust or configure the operation of the risk control judgment device 113, that is, the FPGA manager 15c is used to set the transaction conditions in the risk control judgment device 113, so that the FPGA card 154 in the risk control judgment device 113 compares the order packet sent from the operation user device 15 to see whether it meets its transaction conditions.

In one embodiment, when the order package from the user device 15 meets the risk control conditions, the risk control transaction package is the order package and is transmitted by the FPGA card 154 to the operation center host for transaction matching; when the order package does not meet the risk control conditions, the risk control transaction package replaces the order package, and the FPGA card 154 transmits the risk control transaction package to the operation center host 151 to invalidate the transaction of the order package. Among them, the operation center host 151 collects a commodity price on the market and generates a commodity price package, and the operation center host 151 matches the transaction according to the risk control transaction package.

Please note that the operation center host 151 generates a transaction commission report packet according to the risk control transaction packet, and the port Port6 in the first layer switch 12 in the risk control judgment device 113 receives the transaction commission report packet and transmits it from the port Port6 to the port Port2, and the port Port2 transmits it to the NIC interface 120. The risk control judgment unit 225 in the risk control judgment device 113 compares the transaction commission report packet with the risk control transaction packet. The order packet corresponding to the easy entrustment report packet; the risk control judgment device 113 will add an error code to the transaction entrustment report packet for the order packet that does not meet the risk control conditions, and the NIC interface 122 of the risk control judgment device 113 transmits it to the first layer switch 12 to the connection port Port5, and finally the transaction entrustment report packet is transmitted to the user device 15 by the connection port Port1.

The operation center host 151 collects commodity prices in the market and generates commodity price packages. The operation center host 151 also matches transactions based on a risk control transaction package.

Please refer to Figure 3, which shows a schematic diagram of the risk control judgment device 113 for detecting TMP packets. The risk control judgment device 113 uses a mask table to compare the value of a fixed preset bit position in the order packet from the user device 15. If the risk control judgment unit 225 determines that the value of the preset bit position satisfies an expected value table (EXP Mean Value Table), that is, Result=(Mask & RX==EXP), the risk control judgment device 113 performs the corresponding actions mentioned above.

Please note that for the sake of simplicity, although only four tag deserializers are drawn, the present invention should not be limited to this. In one embodiment, the tag deserializers 221~224 deserialize the order package to obtain the tag in the order package and the transaction information corresponding to the tag. The risk control judgment unit 225 uses the tag and transaction information to compare whether the tag and transaction information meet the risk control conditions; when the order package meets the risk control conditions, the order package is a risk control transaction package, and the risk control judgment device 113 transmits the risk control transaction package to the operation center host 151.

Please refer to FIG. 4 at the same time, which shows a schematic diagram of an embodiment of a risk control judgment device for detecting FIX packets. In this embodiment, when adjacent tag deserializers 221~224 read packets, they have a preset packet displacement P, and the preset packet displacement P of this embodiment is a packet displacement of one bit; each tag deserializer 221~224 divides the packet into multiple packet blocks at the same time, and each packet block corresponds to a preset bit length; in this embodiment, the preset bit length is four bits.

Please note that each square virtual frame T0~T3 represents a different time interval, and its tag deserializer 221~224 divides the order packet into four-bit packet blocks respectively, and the adjacent tag deserializer 221~224 reads the time difference by a packet displacement P; the tag deserializer 221~224 searches for a terminal value of each packet block in the same virtual frame. If the terminal value has "=", it means that the packet block is a tag in the packet, and the packet block in the next time interval contains the transaction information corresponding to the tag; in one embodiment, the transaction information corresponding to the tag is between the next packet block and the "01" value.

For example, virtual frame T0 searches for the last value "=" (such as circular virtual frame A1) at the tag deserializer 221; because virtual frame T1 is the next time interval, in the virtual frame T1 packet block, the value before "01" in the tag deserializer 221 in virtual frame T1 will be the transaction information corresponding to the tag, so the "VV" value of the elliptical virtual frame A2 is the transaction information.

Finally, the risk control judgment unit 225 judges whether the tag and transaction information meet the risk control conditions; when the order package meets the risk control conditions, the FPGA card 154 in the risk control judgment device 113 sends a risk control transaction package to the operation center host 151.

In summary, the risk control judgment device 113 of the present invention uses a tag deserializer to deserialize the order packet from the user device 15, and the FPGA card 154 determines whether the order packet meets the risk control conditions, so that the FPGA card 154 in the risk control judgment device 113 transmits the risk control transaction packet to determine whether to conduct a transaction, and no longer returns the order packet to the application program interface 15a in the upper user device 15; therefore, it can solve the problem of trading financial products before the market fluctuates violently.

15: User device

151: Operation center host

15a: Application Programming Interface

15b: NIC bridge

15c:FPGA Manager

15d: PCIe drive unit

15e: PCIe bus

153: Risk control judgment server

154:FPGA card

221~224: Tag deserializer

225: Risk control judgment unit

120a: PCIe interface

120~123: NIC interface

12: First layer switch

12a: Data multiplexer

113: Risk control judgment device

Port1~Port6: Connection port

Claims (14)

A trading system includes: a user device, generating an order package according to a product price package; a risk control judgment device, receiving the order package, quickly deserializing the order package, finding a tag in the order package and a transaction information corresponding to the tag, and comparing whether the order package meets a risk control condition, and generating a risk control transaction package; and an operation center host, collecting market data The price of a product is obtained and the product price package is generated, and a matching transaction is carried out according to a risk control transaction package; wherein, when the order package meets the risk control conditions, the risk control transaction package is the order package and is transmitted to the operation center host for transaction matching; when the order package does not meet the risk control conditions, the risk control transaction package replaces the order package, and the risk control transaction package is transmitted to the operation center host to invalidate the transaction of the order package. According to the trading system described in claim 1, the operation center host generates a transaction entrustment report packet according to the risk control transaction packet, the risk control judgment device receives the transaction entrustment report packet, and the risk control judgment device compares the order packet corresponding to the transaction entrustment report packet; the risk control judgment device adds an error code to the transaction entrustment report packet for the order packet that does not meet the risk control condition, and transmits the transaction entrustment report packet to the user device. According to the trading system described in claim 2, the risk control judgment device includes a first-layer switch, and the first-layer switch uses a data multiplexer (Mux) to collect multiple packets received by the first-layer switch and transmit them to a database of the risk control judgment device. According to the trading system described in claim 2, the risk control judgment device comprises: a tag deserializer, which is used to deserialize the order package to obtain the tag in the order package and the transaction information corresponding to the tag; and a risk control judgment unit, which compares the tag and the transaction information to see whether they meet the risk control condition. According to the trading system described in claim 4, the tag deserializer divides the order packet into a plurality of packet blocks within the same time interval, and each packet block corresponds to a preset bit length. According to the transaction system described in claim 5, the tag deserializer searches for a terminal value of each packet block, and if the terminal value contains "=", it means that the packet block is the tag in the order packet, and the packet block in the next time interval is the transaction information corresponding to the tag. According to the transaction system described in claim 5, when the adjacent tag deserializer reads the order packet, it has a packet displacement of a preset bit. According to the transaction system described in claim 6, when the adjacent tag deserializer reads the order packet, it has a packet displacement of one bit. According to the trading system described in claim 1, the risk control judgment device uses a mask table to compare the value of a fixed preset bit position in the order packet. If the value of the preset bit position satisfies an expected value table, the risk control judgment device sends the risk control transaction packet to the operation center host. A risk control judgment device is used to receive an order package from a user device, and comprises: a tag deserializer, the tag deserializer is used to deserialize the order package to obtain the tag in the order package and a transaction information corresponding to the tag; and a risk control judgment unit, comparing the tag and the transaction information to see whether they meet a risk control condition; wherein the risk control judgment device compares the order package The package satisfies the risk control conditions and generates a risk control transaction package; when the order package satisfies the risk control conditions, the risk control transaction package is the order package and is transmitted to an operation center host for transaction matching; when the order package does not meet the risk control conditions, the risk control transaction package replaces the order package, and the risk control transaction package is transmitted to the operation center host to invalidate the transaction of the order package. According to the risk control determination device described in claim 10, the risk control determination device receives a transaction commission report packet, and the risk control determination device compares the order packet corresponding to the transaction commission report packet; for the order packet that does not meet the risk control condition, the risk control determination device adds an error code to the transaction commission report packet, and transmits the transaction commission report packet to the user device. According to the risk control judgment device described in claim 11, the risk control judgment device includes a first-layer switch, and the first-layer switch uses a data multiplexer (Mux) to collect a plurality of packets received by the first-layer switch and transmit them to a database of the risk control judgment device. According to the risk control judgment device described in claim 10, the tag deserializer divides the order packet into a plurality of packet blocks within the same time interval, and each packet block corresponds to a preset bit length. According to the risk control judgment device described in claim 13, the tag deserializer searches for a terminal value of each packet block, and if the terminal value contains "=", it means that the packet block is the tag in the packet, and the packet block in the next time interval contains the transaction information corresponding to the tag.