TWI880151B - A timeout check function of an order host and a method thereof - Google Patents

Abstract

The present invention provides a timeout check function of an order host and a method thereof. The method comprises the following steps. Receiving an order information from a client end by the order host, and determining whether a delay time of the order information exceeds a preset threshold. When the delay time of the order information does not exceed the preset threshold, the order information is converted into a customer order, and the customer order is transmitted to an exchange host. And, when the delay time of the order information exceeds the preset threshold, generates a return information associated with the order information, and reports the return information to the client end.

Description

Ordering host with timeout checking function and timeout checking method

The present invention relates to an order placing host and a timeout checking method in a financial commodity trading system, and in particular to an order placing host with a timeout checking function and a method for executing timeout checking using the order placing host.

Please refer to FIG. 1, which is a functional block diagram of a traditional financial product trading system. As shown in the figure, in a traditional financial product trading system 9, customers can use specific applications in various networked devices (such as mobile phones or computers) to place online orders. The networked devices with specific applications can be defined as client terminals 90. After the broker terminal 92 receives the order information from the client terminal 90, the internal risk control module 920 will perform risk assessment and calculation, and the risk control module 920 will then transmit the verified order information to the order host 922. Then, the order host 922 converts the verified order information into a commission order, and then transmits the commission order to the exchange host 94. Finally, the exchange host 94 matches the transaction according to the order and generates the result of the matching transaction. Generally speaking, the exchange host 94 will report the result of the matching transaction to the brokerage end 92, and then the brokerage end 92 will send a notification to the client end 90, so that the client end 90 can know whether its order has been successfully traded.

However, the traditional financial commodity trading system 9 has some problems in high-frequency trading, especially the high-frequency trading speed is very fast. If the time point when the customer really wants to trade is missed due to network delay or various uncontrollable reasons, it may cause huge losses to the customer. Therefore, in order to avoid transactions at incorrect time points due to delays, the order placing host 922 can be set to add a "cancel" time to each order, and then send the order to the exchange host 94. The advantage is that when the exchange host 94 determines that the time of receiving a certain order is greater than the "cancel" time, the exchange host 94 will return the order, which can avoid unexpected losses to customers. However, the time for the exchange host 94 to return the order cannot be guaranteed. In high-frequency trading, it is possible that after the client sends a new order, the exchange host 94 returns the previous order. Or, the client 90 needs more time to know whether the previous order is accepted, which makes it difficult to decide how to place the next order. Therefore, securities companies need a new order placing host that allows customers to immediately know whether the order is cancelled due to delay.

The present invention provides an order placing host with a timeout checking function, which can predict whether the order placing information of the client will be cancelled by the exchange host, thereby intercepting the order placing information that will be cancelled by the exchange host and reporting it to the client.

The present invention proposes an order placing host with a timeout check function, which is used in a financial commodity trading system. The order placing host includes a timeout check module, a commission order conversion module, a transmission module and a timeout reporting module. The timeout check module receives order information from a client and determines whether the delay time of the order information exceeds a preset threshold value. The commission order conversion module is electrically connected to the timeout check module. When the delay time of the order information does not exceed the preset threshold value, the order information is converted into a customer commission order. The transmission module is electrically connected to the commission order conversion module to transmit the customer commission order to the exchange host. The timeout reporting module is electrically connected to the timeout checking module. When the delay time of the order information exceeds the preset threshold value, return order information related to the order information is generated and the return order information is reported to the client.

In some embodiments, when the delay time of the order information exceeds the preset threshold value, the entrustment order conversion module does not convert the order information into a customer entrustment order. Moreover, the return order information generated by the timeout reporting module does not pass through the transmission module. In addition, when the delay time of the order information exceeds the preset threshold value, the timeout verification module generates a return order command, and the timeout reporting module generates return order information related to the order information according to the return order command. In addition, the time when the client provides the order information can be defined as the first time, and the time when the timeout verification module receives the order information can be defined as the second time, and the delay time of the order information is the time difference between the first time and the second time.

The present invention provides a method for performing timeout checking using an order placing host, which can predict whether the order information of the client will be cancelled by the exchange host, thereby intercepting the order information that will be cancelled by the exchange host and reporting it to the client.

The present invention proposes a method for performing timeout check using an order placing host, which is used in a financial product trading system, and the method comprises the following steps. The order placing host receives order information from a client, and determines whether the delay time of the order placing information exceeds a preset threshold value. When the delay time of the order placing information does not exceed the preset threshold value, the order placing information is converted into a customer entrustment order, and the customer entrustment order is transmitted to the exchange host. And, when the delay time of the order placing information exceeds the preset threshold value, return order information related to the order placing information is generated, and the return order information is reported to the client.

In some embodiments, when the delay time of the order information exceeds the preset threshold value, the order information is not converted into a customer commission order. In addition, when the delay time of the order information exceeds the preset threshold value, the timeout verification module may generate a return order command, and the timeout reporting module may generate return order information related to the order information according to the return order command. In addition, the time when the client provides the order information may be defined as the first time, and the time when the timeout verification module receives the order information may be defined as the second time, and the delay time of the order information is the time difference between the first time and the second time.

In summary, the order placing host with timeout checking function and the method for performing timeout checking using the order placing host proposed by the present invention can check whether the delay time of the order placing information has exceeded the preset threshold value. If the delay time exceeds the preset threshold value, it means that the order placing host determines that the exchange host will cancel the order of this order placing information, then the order placing host will no longer convert this order placing information into a commission order, but will automatically return it to the client, so that the client can quickly grasp the information that the order placing information has been cancelled.

The following will further disclose the features, purpose and function of the present invention. However, what is described below is only an embodiment of the present invention and should not be used to limit the scope of the present invention. That is, any equivalent changes and modifications made within the scope of the patent application of the present invention will still be the gist of the present invention and will not deviate from the spirit and scope of the present invention, so they should be regarded as further embodiments of the present invention.

Please refer to FIG. 2 and FIG. 3 together. FIG. 2 is a functional block diagram of a financial product trading system according to an embodiment of the present invention, and FIG. 3 is a functional block diagram of an order placing host according to an embodiment of the present invention. As shown in the figure, the financial product trading system 1 of the present embodiment describes the trading behavior between the client 10, the brokerage terminal 12 and the exchange host 14. The client 10 can be electrically connected to the brokerage terminal 12 by wire or wirelessly, and the brokerage terminal 12 and the exchange host 14 are usually connected by a physical trading line. Of course, the present embodiment does not limit the connection method between the client 10, the brokerage terminal 12 and the exchange host 14. Here, the client terminal 10 referred to in this embodiment refers to a networked device operated by a user who wants to trade financial products. The networked device can use a specific application to send order information to the broker terminal 12 and receive the transaction results from the broker terminal 12. The broker terminal 12 includes a risk control module 120 and an order host 122. Of course, this embodiment does not limit the internal structure of the broker terminal 12. For example, the broker terminal 12 can also include an order matching host or a database. A person with ordinary knowledge in the relevant technical field should be able to understand the operating mechanism of the client terminal 10 and the exchange host 14, so this embodiment will not describe it in detail.

Different from the traditional order placing host, the order placing host 122 of this embodiment includes a timeout checking module 1220, a timeout reporting module 1222, a commission order conversion module 1224 and a transmission module 1226. The timeout checking module 1220 is electrically connected to the timeout reporting module 1222 and the commission order conversion module 1224, respectively, and the transmission module 1226 is electrically connected to the commission order conversion module 1224, and the transmission module 1226 can transmit information with the exchange host 14. In detail, the risk control module 120 in the brokerage end 12 will check the order placing information provided by the client end 10, such as calculating the required margin. When the order information is checked by the risk control module 120, the checked order information will be transmitted to the order host 122. Here, the function of the order conversion module 1224 is to convert the order format that can be recognized by the exchange host 14, that is, the order conversion module 1224 can convert the checked order information into a formal customer order. Then, the transmission module 1226 provides the customer order to the exchange host 14. The functions of the timeout check module 1220 and the timeout report module 1222 of this embodiment are described in detail later.

In practice, after the client 10 provides the order information, it will provide the order information to the broker 12 through a wired or wireless network. However, the process of transmitting the order information may be subject to unexpected delays. For example, factors such as insufficient computing performance of the client 10 or poor network quality of the client 10 may prevent the broker 12 from receiving the order information in a timely manner. In particular, for high-frequency transactions that may provide order information dozens to hundreds of times per second, it is even more likely that the time point when the client really wants to trade will be missed due to the above delay. Traditionally, in order to avoid transactions at incorrect times due to delays, brokers can set a "cancel" time for the order host. On this basis, the present embodiment adds a timeout check module 1220 to detect the delay time of the order information. In an example, the timeout check module 1220 detects the time when the client 10 provides the order information (first time) and the time when the timeout check module 1220 receives the order information that has passed the check (second time). The time difference between the first time and the second time is the delay time of the order information that has passed the check, and the timeout check module 1220 of the present embodiment compares the delay time with the pre-set "cancellation" time (preset threshold value) of the order host.

To illustrate with an actual example, assuming that the delay time of a verified order information has exceeded the preset "cancel" time, a person with ordinary knowledge in the relevant technical field can understand that even if the order conversion module 1224 converts the verified order information into a customer order, and the transmission module 1226 provides the customer order to the exchange host 14, the exchange host 14 will return the customer order because it exceeds the "cancel" time. In other words, the function of the timeout check module 1220 is to check whether the delay time of the order information has exceeded the preset threshold value, or to say, the timeout check module 1220 checks whether there is order information that is known to be returned by the exchange host 14. If the timeout check module 1220 finds order information that is known to be returned by the exchange host 14, the order information will not be transferred to the order conversion module 1224 to be converted into a customer order, and will certainly not be sent to the exchange host 14 via the transmission module 1226. In this embodiment, the timeout check module 1220 will transfer the order information that is known to be returned by the exchange host 14 to the timeout reporting module 1222, which will directly generate return order information indicating the result that the order information has been returned. In practice, if the timeout check module 1220 finds that the delay time of the order information has exceeded the preset threshold value, it will generate a return order command, and the timeout reporting module 1222 will generate return order information related to this order information according to the return order command. In addition, this embodiment does not limit the content of the return order information. For example, the timeout reporting module 1222 can only return the order information that is delayed too long to the client 10, that is, the return order information can be the original order information. Alternatively, the timeout reporting module 1222 can also only return the content sufficient to identify a certain order information to the client 10, for example, the return order information can indicate the order number or order time of the corresponding order information.

It is understood by those skilled in the art that in this embodiment, the order placing host 122 pre-intercepts the order placing information that is delayed for too long, so that the order conversion module 1224 does not need to process the order placing information that is meaningless (because it is known that it will be returned by the exchange host 14), which can save the processing resources of the order conversion module 1224. At the same time, the transmission module 1226 does not need to transmit the customer order that is meaningless (because it is known that it will be returned by the exchange host 14), which saves the transmission bandwidth between the transmission module 1226 and the exchange host 14. In addition, because there is no need to wait for the exchange host 14 to return the customer order, but the timeout reporting module 1222 generates the order return information, the client 10 can obtain the order return information faster and learn the message that the order was not successfully placed, reducing the loss caused by the client 10 not immediately discovering the order failure in high-frequency transactions. From an actual test example, the transmission module 1226 transmits a customer order to the exchange host 14, and the exchange host 14 determines that the delay time of this customer order has exceeded the preset threshold value, and it takes about 5ms to return this customer order to the transmission module 1226. As can be seen from the above, the improved order placing host 122 of this embodiment can report to the client 10 at least 5ms in advance by pre-determining whether the order information is delayed for too long, which undoubtedly directly optimizes the order placing and reporting speed of the entire financial product trading system 1.

On the other hand, the present embodiment determines whether the order information is delayed for too long in the order host 122, which also has practical significance. In an example, the delay of the client 10 itself, the transmission delay from the client 10 to the risk control module 120, and the processing delay of the risk control module 120 are often the reasons for whether the order information is delayed for too long. Accordingly, the timeout check module 1220 proposed in the present embodiment determines the order information that has been checked by the risk control module 120, and can filter out most of the order information that is delayed for too long in advance. Of course, this embodiment does not change the original processing mechanism of the exchange host 14. For example, the exchange host 14 can still determine whether the customer order exceeds the preset "cancellation" time when receiving the customer order. If the transaction line between the transmission module 1226 and the exchange host 14 fails, resulting in a delay in transmission, the exchange host 14 can still return the customer order that exceeds the preset "cancellation" time. At this time, the customer order returned by the exchange host 14 can be provided to the client 10 through the traditional return path, and this embodiment will not be repeated.

In order to clearly explain the method of using the order host to perform timeout checking of the present invention, please refer to Figures 2 to 4. Figure 4 is a flow chart of the steps of the method of using the order host to perform timeout checking according to an embodiment of the present invention. As shown in the figure, the method of using the order host to perform timeout checking of the present embodiment is also used in the financial product trading system 1. In step S20, the order host 122 receives the order information from the client 10, and the timeout checking module 1220 in the order host 122 can determine whether the delay time of the order information exceeds the preset threshold value. When the timeout check module 1220 determines that the delay time of the order information has not exceeded the preset threshold value, the order information can be converted into a customer order by the order conversion module 1224 in the order host 122, and the customer order can be transmitted to the exchange host 14 by the transmission module 1226 in the order host 122. In addition, when the timeout check module 1220 determines that the delay time of the order information has exceeded the preset threshold value, the timeout check module 1220 will instruct the timeout reporting module 1222 to generate return order information associated with the order information, and the timeout reporting module 1222 will report the return order information to the client 10.

In summary, the order placing host with timeout checking function and the method for performing timeout checking using the order placing host proposed by the present invention can check whether the delay time of the order placing information has exceeded the preset threshold value. If the delay time exceeds the preset threshold value, it means that the order placing host determines that the exchange host will cancel the order of this order placing information, then the order placing host will no longer convert this order placing information into a commission order, but will automatically return it to the client, so that the client can quickly grasp the information that the order placing information has been cancelled.

1: Financial commodity trading system 10: Client 12: Brokerage side 120: Risk control module 122: Order host 1220: Timeout verification module 1222: Timeout report module 1224: Order conversion module 1226: Transmission module 14: Exchange host 9: Financial commodity trading system 90: Client 92: Brokerage side 920: Risk control module 922: Order host 94: Exchange host S20~S24: Step flow

FIG1 is a functional block diagram of a traditional financial product trading system.

FIG. 2 is a functional block diagram of a financial product trading system according to an embodiment of the present invention.

FIG. 3 is a functional block diagram of a single host according to an embodiment of the present invention.

FIG. 4 is a flow chart showing a method for performing timeout checking using an order placing host according to an embodiment of the present invention.

S20~S24: Step flow

Claims (6)

An order placing host with a timeout check function is used in a financial commodity trading system. The order placing host comprises: an timeout check module, which receives an order placing information from a client and determines whether a delay time of the order placing information exceeds a preset threshold value; an order placing order conversion module, which is electrically connected to the timeout check module and converts the order placing information into a client order placing order when the delay time of the order placing information does not exceed the preset threshold value; and a transmission module, which is electrically connected to the order placing order conversion module and is used to transfer the client order placing information to the client order placing ... The client's order is transmitted to an exchange host; and an overtime reporting module is electrically connected to the overtime verification module. When the delay time of the order information exceeds the preset threshold value, a return order information related to the order information is generated and the return order information is reported to the client; wherein the time when the client gives the order information is defined as a first time, the time when the overtime verification module receives the order information is defined as a second time, and the delay time of the order information is the time difference between the first time and the second time. The order placing host with timeout checking function as described in Request Item 1, wherein when the delay time of the order placing information exceeds the preset threshold value, the order conversion module does not convert the order placing information into the customer order. The order placing host with timeout checking function as described in claim 1, wherein the return order information generated by the timeout reporting module does not pass through the transmission module. The order placing host with timeout checking function as described in claim 1, wherein when the delay time of the order placing information exceeds the preset threshold value, the timeout checking module generates a return order command, and the timeout reporting module generates the return order information associated with the order placing information according to the return order command. A timeout check method is used for an order placing host of a financial commodity trading system, the method comprising: receiving order placing information from a client by the order placing host, and determining whether a delay time of the order placing information exceeds a preset threshold value; when the delay time of the order placing information does not exceed the preset threshold value, converting the order placing information into a customer entrustment order, and transmitting the customer entrustment order to an exchange host; and when the delay time of the order placing information exceeds the preset threshold value, generating a timeout check associated with the order placing information. A return order information is generated, and the return order information is reported to the client; wherein when the delay time of the order information exceeds the preset threshold value, a return order command is generated by a timeout check module, and a timeout reporting module generates the return order information associated with the order information according to the return order command, wherein the time when the client provides the order information is defined as a first time, the time when the timeout check module receives the order information is defined as a second time, and the delay time of the order information is the time difference between the first time and the second time. The timeout check method as described in claim 5, wherein when the delay time of the order information exceeds the preset threshold value, the order information is not converted into the customer entrustment order.