How to identify, capture and process the massive and complex Internet financial information resources in real time and quickly is a major problem facing the current financial services. Therefore, it is necessary to strengthen the integration of data collection and network to enhance the ability of data analysis and processing. The questionnaire survey method was used to investigate and make statistics on the data mining methods used by various companies. Questionnaires can be sent through email, online survey platforms, and other means. Use statistical analysis software or data visualization tools such as Excel, etc. By analyzing and comparing data, understand the usage of data mining methods and the level of attention paid to data security in various companies.On this basis, a real-time collection method of time-series financial data based on network financial platform is proposed, and an efficient and accurate network financial data collection and analysis system is designed and developed.