CN-114049209-B - Method for generating set-by-set bidding quotation suitable for securities trading system
Abstract
The invention relates to the technical field of securities trading systems, in particular to a method for generating a per-collection bidding quotation applicable to the securities trading system, which comprises the following steps: the order comprises a buying single chain and a selling single chain, the two chains can discretely cross the whole price interval of the payable form, if the two chains have overlapping parts on the price interval, virtual trading quotations can be generated, the overlapping prices of the two chains and an order set covered by equal overlapping amounts are respectively used for tracking and recording the related orders by the virtual trading buying single chain and the virtual trading single chain, a virtual residual trading volume field is added in each order structure according to the new scheme, and therefore, the residual trading volume after virtual trading of each order can be recorded in real time.
Inventors
- LIN KUN
- CAI SHUYI
- WANG BO
Assignees
- 上交所技术有限责任公司
Dates
- Publication Date
- 20260508
- Application Date
- 20211112
Claims (1)
- 1. A stock exchange system adapted for aggregate bidding, the system comprising the following method steps for execution: S1, an order comprises a buying single chain and a selling single chain, the two chains can discretely cross the whole price interval of the payable list, if the two chains have overlapping parts on the price interval, virtual transaction quotations can be generated, and the overlapping prices of the two chains and an order set covered by the same overlapping amount are tracked and recorded by the virtual transaction buying single chain and the virtual transaction selling single chain respectively; S2, when an order is inserted or deleted, not only a buying single chain and a selling single chain are required to be maintained, but also the virtual buying single chain and the virtual trading single chain are required to be maintained according to whether the order is in a virtual trading overlapping region, wherein on the virtual trading single chain, the order at the head of the chain is the order with the lowest price in the on-chain order and the latest insertion time, on the virtual trading single chain, the order at the head of the chain is the order with the highest price in the on-chain order and the latest insertion time, an additional data structure is not required to be established for newly adding the two virtual trading chains, only a chain head order pointer is required to be saved, and a field is added in each order for saving the virtual remaining amount, and the relationship between the original amount of the virtual trading amount and the original amount of the order is that the original amount of the original amount=the virtual remaining amount of the virtual trading amount is present; S3, if the new inserted order or the deleted order is just in the virtual forming chain, performing contraction and expansion operation on the order at the head of the chain to maintain the two virtual forming chain attributes and keep the virtual forming chain to contain all orders which are formed by virtual continuous bidding.
Description
Method for generating set-by-set bidding quotation suitable for securities trading system Technical Field The invention relates to the technical field of securities trading systems, in particular to a method for generating a set-by-set bidding quotation applicable to a securities trading system. Background According to the Shanghai securities exchange trade rules (revised 2018), securities bidding trade adopts two modes of collective bidding and continuous bidding. The aggregate bid refers to a bid method of collecting and matching at one time in a bid and sell declaration accepted in a prescribed time. Continuous bidding refers to a bidding mode of continuously matching the buying and selling declarations. The determination principle of the price for the bid is 1. The price of the maximum amount of the bid can be realized, 2. The price for all the bids of the buying declaration higher than the price and the selling declaration lower than the price, 3. The price for all the bids of at least one party of the buyer or the seller which is the same with the price. The two or more declaration prices meet the above conditions, the declaration price which minimizes the amount of non-delivery is the delivery price, and the two or more declaration prices which minimizes the amount of non-delivery still meet the above conditions, the intermediate price is the delivery price. All transactions for aggregate bids are at the same price. The instant market content comprises securities codes, securities short names, front-closing prices, set bidding virtual reference prices, virtual matching quantity and virtual unmatched quantity during each trading day 9:15 to 9:25 open set bidding period and 14:57 to 15:00 closing set bidding period. Aggregate bidding is one of the ways in which securities are traded, and is typically used to determine the open and closed prices of a trade item on the same day. In the collective bidding stage, the transaction needs to be counted according to all received order declarations and withdrawal declarations, a price for a deal (called virtual deal price) and the deal quantity (called virtual deal quantity) on the price are calculated and are disclosed to all market participants in a market manner, and hereinafter, the virtual deal price, the virtual deal quantity, the virtual non-deal quantity and the virtual non-deal quantity are collectively called as collective bidding market. Because all orders which are declared into the system are required to be counted, the quantity of the orders accumulated during the bidding period is hundreds of thousands of orders on one transaction variety, the virtual price and the virtual volume of the price can not be calculated by the exchange, market information can not be timely disclosed, the price discovery efficiency is low, and the accuracy of investment decision making of market participants is affected. The reason for the problems is that the algorithm complexity of the collective bidding algorithm of the existing trading system of the Shanghai securities exchange is large, and the requirement of revealing the market by market is not met. Disclosure of Invention The invention aims to solve the defects of the prior art and provides a method for generating a per-collection bidding quotation, which is applicable to a securities trading system, and is characterized by comprising the following steps: S1, an order comprises a buying single chain and a selling single chain, the two chains can discretely cross the whole price interval of the payable list, if the two chains have overlapping parts on the price interval, virtual transaction quotations can be generated, and the overlapping prices of the two chains and an order set covered by the same overlapping amount are tracked and recorded by the virtual transaction buying single chain and the virtual transaction selling single chain respectively; S2, when an order is inserted or deleted, not only the buying single chain and the selling single chain are maintained, but also the virtual trading buying single chain and the virtual trading single chain are maintained according to whether the order is in a virtual trading overlapping section or not; the new addition of the two virtual delivery chains does not need to establish an additional data structure, only a chain head order pointer needs to be saved, and a field is added in each order to save the virtual remaining quantity of the order, wherein the relation between the virtual delivery quantity and the original quantity of the order is that the original quantity of the order = the virtual remaining quantity + the virtual delivery quantity; S3, if the new inserted order or the deleted order is just in the virtual forming chain, performing contraction and expansion operation on the order at the head of the chain to maintain the two virtual forming chain attributes and keep the virtual forming chain to contain all orders which are formed by virtual continuous bi