论文标题

DEBS 2022大挑战:检测财务壁虱数据中的交易趋势

The DEBS 2022 Grand Challenge: Detecting Trading Trends in Financial Tick Data

论文作者

Frischbier, Sebastian, Tahir, Jawad, Doblander, Christoph, Hormann, Arne, Mayer, Ruben, Jacobsen, Hans-Arno

论文摘要

DEBS Grand Challenge(GC)是一项年度编程竞赛,向来自学术界和行业的从业者开放。 GC 2022版重点介绍了Infront Financial Technology GmbH提供的大量tick数据的实时复杂事件处理。挑战的目的是有效计算特定趋势指标,并在这些指标中检测模式,例如现实生活中的交易者使用的指标来决定在金融市场上购买或销售。用于基准测试的数据集交易数据包含来自阿姆斯特丹三个主要交易所(NL),巴黎(FR)和法兰克福AM Main(GER)的大约5500多个金融工具的2.89亿个tick事件。除了正确性和绩效外,提交还必须明确专注于可重复性和实用性。因此,参与者必须满足特定的非功能要求,并被要求在开源平台上构建。本文介绍了所需的方案和数据集交易数据,定义了问题声明的查询,并解释了对评估平台挑战者的增强功能,该挑战者处理了数据分布,动态订阅以及对提交的远程评估。

The DEBS Grand Challenge (GC) is an annual programming competition open to practitioners from both academia and industry. The GC 2022 edition focuses on real-time complex event processing of high-volume tick data provided by Infront Financial Technology GmbH. The goal of the challenge is to efficiently compute specific trend indicators and detect patterns in these indicators like those used by real-life traders to decide on buying or selling in financial markets. The data set Trading Data used for benchmarking contains 289 million tick events from approximately 5500+ financial instruments that had been traded on the three major exchanges Amsterdam (NL), Paris (FR), and Frankfurt am Main (GER) over the course of a full week in 2021. The data set is made publicly available. In addition to correctness and performance, submissions must explicitly focus on reusability and practicability. Hence, participants must address specific nonfunctional requirements and are asked to build upon open-source platforms. This paper describes the required scenario and the data set Trading Data, defines the queries of the problem statement, and explains the enhancements made to the evaluation platform Challenger that handles data distribution, dynamic subscriptions, and remote evaluation of the submissions.

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