METHOD AND APPARATUS FOR RECONSTRUCTING MARKET QUOTATIONS BASED ON QUOTE-BY-QUOTE DATA, AND DEVICE

摘要

A method and apparatus for reconstructing market quotations based on quote-by-quote data, a device and a readable storage medium can generate a quotation skip list and an order hash table, wherein the quotation skip list comprises multiple ticks divided by order price, each tick comprising an order price and an order quantity, and the order hash table comprises multiple order data items, the order data items comprising unfilled quantity, quotation tick pointer and order number as a key. The present application uses a skip list to store the price-volume relationships of quotations, uses a linear structure of the first layer of the skip list to improve the performance of market quotation output, and uses the order hash table to accelerate tick deduction after quote-by-quote matching. Thus, the performance of reconstructing market quotations based on quote-by-quote data is improved, and delay of a back-end trading system in receiving quotations is reduced.