Construction Of Quantitative Trading System Based On CEP Technology

With the rapid developing of the domestic capital market, large investment institutions and high net worth individual investors demand quantitative trading tools more and more. However, the demands are differ in thousands of ways. Quantitative trading platform can meet the different requirements for strategies’developing, testing and execution.This thesis introduces quantitative trading platform’s technologies firstly, and then analysis the requirements. It could be divided into three categories, strategies development and evaluation environment, strategies deploying environment and CEP peripheral interfaces. Strategies development and evaluation environment is used to quickly develop, debug and back test trading strategies, and then evaluate the strategy. According to the performance, suitable strategies will be deployed into the productive environment with limits of authority to provide services to different customers. The quantitative trading system interacts with external systems through the CEP peripheral interface.Then, it discusses the system architecture and implementation. The application view of architecture shows subsystems and application layers. The whole platform is bottom-up divided into four layers, including interface layer, the core engine layer, basic services layer and application services one. Interface layer interacts with the out systems. The core engine layer provides high-performance and safe runtime environment. And the basic services layer contains basic common services for trading strategies, such as order management subsystem. Application services layer provides variable services to end users. And logical view highlights detail information of all the subsystems. Technical architecture view shows the technology approach of quantitative trading platform. The core technologies are the CEP engine and IFA framework. The framework administrates all the adapters effectively. At last, using deploys view to show how to deploy the whole system. According to the architecture, designed and implemented the main subsystems. What’s more, designed independently the core subsystem, order management subsystem, and expounds how the system interacts with other parts of the platform. Meanwhile, a pairs trading strategy is implemented on the platform.Based on the quantitative system architecture, the platform is deployed to meet variable requirements of different end users. The platform is significant to the rapid developing of China’s quantitative trading.