SSE Level 2 Vendor Interface Specification(FAST)-16章-Custom operator for market order summary（委托摘要的自定义操作符）

In addition to techniques provided by FAST, another method for optimization is used by using
INSERT/UPDATE/DELETE operations on market order summary message.

>>>除了FAST提供的方法外,在委托摘要信息上,另外一个优化过的通过使用INSERT/UPDATE/DELETE方法也被使用.

A market order summary message contains information of spread price and queue size for all spread
prices in the order queue of each instrument. Only the changes of market order summary are sent
instead of the whole market order summary to save more bandwidth.

>>>在每个证券的委托队列中,委托摘要信息包含了spread price和队列大小等信息.仅是委托摘要有变化的部分被发送,

>>>以减少带宽.

To construct the full broker queue based on incremental data, IDC will identify the difference between
the current market order summary image with the previous one.  Delta image will be sent out together
with INSERT/UPDATE/DELETE operator.  Based on the order of spread price in market order
summary, together with the INSERT/UPDATE/DELETE instruction given in the update message, the
image of the market order summary could be constructed.

>>>构建一个完整的基于增量数据的委托队列,IDC将区别出当前镜像与先前一个的不同之处.Delta镜像将连同

>>>INSERT/UPDATE/DELETE 等操作符一起被发出来.

 

Referring to Figure 1, comparing the latest and the previous image of a broker queue summary of a
particular RIC, spread 3 is removed from the queue and spread 7 is updated. In the existing design of
SSE, the new queue image with spread 3 removed and spread 7 updated will be sent to vendor (as
shown in the ‘Data sent to Vendor’ column).

>>>关于图1,比较前两图,spread3被删除,spread7被更新.在目前的sse的设计中,带有删除了spread3和更新了spread7的

>>>新队列镜像被发送给信息商(如上图中的第三个小图所示).

 

By using custom operator, instead of sending out the market order summary, a message that consists
two instructions; “delete spread 3” and “update spread 7” will be sent out from IDC. Assuming that
Vendor has kept the previous image, the latest image could be constructed by deleting spread 3 from
the previous image and update spread 7 on the previous image.

>>>通过使用自定义操作符,带有两个指令的消息将代替图1的做法;"delete spread 3"和"update spread 7"将被发送出来.

>>>假定信息商保留了先前的镜像,那么最新的镜像可以通过从先前的镜像中删除spread3和更新spread7来构造.

 

To prevent data loss, full image of market order summary of each security will be sent out
periodically. So, full images of market order summary are expected to receive during the market.

>>>为了防止数据丢失,每个证券的委托摘要信息的全镜像将被定期发送回来.

>>>所以,委托摘要信息的全镜像有望在整个交易期间收到.

Example on market order summary (for bid):

 

 

For operator, 1 is an add command, 2 is an update command and 3 is a delete command. For the add
command, the order summary is needed to keep in order.

The first data with security id “600000” on stream: 10143=1, 10068=4, 44=15, 38=1000, 10067=3,
44=14.9, 38=500, 10067=2, 44=14.8, 38=200, 10067=1, 44=14.6, 38=1500, 10067=5

This data is a full image as 10143 is 1, so this data is the latest image.

This data contains:
1. Price level 15, order qty 1000 and num orders 3
2. Price level 14.9, order qty 500 and num orders 2
3. Price level 14.8, order qty 200 and num orders 1
4. Price level 14.6, order qty 1500 and num orders 5

After the first data:

The second data with security id “600000” on stream: 10143=2, 10068=4, 10145=2, 44=15, 38=800,
10067=2, 10145=3, 44=14.9, 10145=1, 44=14.7, 38=100, 10167=1, 10145=1, 44=14.5, 38=200,
10167=1

This data is an update, it contains:
1. Update order qty to 800 and num orders to 2 where price level 15
2. Delete price level 14.9
3. Insert price level 14.7, order qty 100 and num orders 1
4. Insert price level 14.5, order qty 200 and num orders 1

 

After the second data:

 

The third data with security id “600000” on stream: 10143=2, 10068=3, 10145=1, 44=15.1, 38=500,
10067=4, 10145=3, 44= 14.7, 10145=1, 44=14.4, 38=100, 10145=1

This data is an update, it contains:
1. Insert price level 15.1, order qty 500 and num orders 4
2. Delete price level 14.7
3. Insert price level 14.4, order qty 100 and num orders 1

After the third data:

 

The fourth data with security id “600000” on stream: 10143=2, 10068=3, 10145=3, 44=15.1,
10145=3, 44=15, 10145=2, 44=14.6, 38=500, 10145=3

This data is an update, it contains:
1. Delete price level 15.1
2. Delete price level 15
3. Update price level 14.6, order qty to 500 and num orders to 3

After the fourth data:

 

 

The last data with security id “600000” on stream: 10143=1, 10068=3, 44=15.2, 38=1500, 10145=5,
44=15.1, 38=2000, 10145=10, 44=15, 38=1500, 10145=5

 

This data is a full image, it contains:
1. Price level 15.2, order qty 1500 and num orders 5
2. Price level 15.1, order qty 2000 and num orders 10
3. Price level 15, order qty 1500 and num orders 5

After the last data:

 

 

 

 

 

 SSE Level 2 Vendor Interface Specification(FAST)-16章-Custom operator for market order summary（委托摘要的自定义操作符-第一部分）--完