Computer Engineering and Applications ›› 2012, Vol. 48 ›› Issue (1): 138-141.

• 数据库、信号与信息处理 • Previous Articles     Next Articles

Financial message compression method based on extended FAST protocol

XU Guangbin1,2, WU Jianfeng1, WANG Bo1, HUANG Yinfei1, HU Hanying1, LIU Kai1, LIN Zheng1, BAI Shuo1   

  1. 1.Technology Center of Shanghai Stock Exchange, Shanghai 200120, China
    2.School of Computer Science, Fudan University, Shanghai 200443, China
  • Received:1900-01-01 Revised:1900-01-01 Online:2012-01-01 Published:2012-01-01


徐广斌1,2,武剑锋1,王 泊1,黄寅飞1,胡汉英1,刘 凯1,林 征1,白 硕1   

  1. 1.上海证券交易所 技术中心,上海 200120
    2.复旦大学 计算机科学技术学院,上海 200443

Abstract: Recently some FAST1.1-based financial message compression methods have been presented to decrease high redundancy of commonly used financial exchange message formats such as DBF, XML etc. These methods are neither capable of supporting the newest FAST1.2, nor can support the procedure-oriented programming paradigm and running environment. This paper presents FASTX:a financial message compression method based on Extended FAST, which achieves better encoding efficiency and faster speed than existing methods. It also presents a new reference for designing and implementing FAST/Extended-FAST in procedure-oriented programming paradigm. The experimental results demonstrate FASTX works efficiently—for the same data content, the encoded data size is only of about a quarter of the DBF’s. Some comparisons with other commonly used formats are also conducted. The experimental results verify feasibility and effectiveness of FASTX.

Key words: Financial Information Exchange Adapted for Streaming(FAST) protocol, procedure-oriented, Financial Information Exchange(FIX) protocol

摘要: 为降低金融交换消息的大小,近年来已出现QuickFast、OpenFast等基于FAST1.1协议的金融消息压缩方法。然而现有方法不支持压缩率更高的FAST1.2协议,也无法支持面向过程的开发运行环境。提出基于扩展FAST的金融消息压缩方法FASTX,不仅可以达到更好的编码效率和速度,还为在面向过程编程模式下实现FAST1.2提供了新的方法。实验结果表明FASTX编码效率十分高,只需约DBF1/4的大小就可表示相同的内容,与其他几种常用数据格式也进行了对比,验证了新方法的可行性和有效性。

关键词: 适流金融信息交换(FAST)协议, 面向过程, 金融信息交换(FIX)协议