Research And Design Of Collaborative Programming Trading Scheme Between Financial Institutions

With the development of China's securities market, quantitative investment is booming. Due to various reasons such as policies and regulations as well as the technology platform, the financial institutions need more business cooperation. As business continues to develop and expand, its complexity extremely increases, so it is required to improve risk control. As the basis of quantitative investment tools, IT technology should strongly support the business development. Based on the research of event-driven architecture and its related technology, and the analysis of actual demand of carrying out the programming trading between financial institutions, the thesis proposes a trading system design scheme. The system built according to the design scheme has been applied in a financial institution, and good results have been achieved. The thesis research work mainly includes the following aspects:1. To support the rapid trading, this securities trading system scheme is based on the event-driven architecture. It designs the order service, instruction service, the risk control service, the channel service and so on. These services are independent of each other and mutual cooperation. It improves the efficiency of processing event messages.2. In the aspect of strategy service, it provides a high-frequency data test platform for the programming trading strategy. According to the test results, the platform has the great advantage on the execution efficiency.3. In view of the existing distribution systems between financial institutions, and the problem of heterogeneous systems, it needs a general protocol for data exchange. The general protocol should meet the requirement of the rapid development, and reduce the cost of interface development. The thesis makes a research on the existing system interface protocols. As a result, in practice, the json protocol performs well on data exchange between heterogeneous systems.4. Securities trading system has higher requirement of stability and reliability. So the scheme designs the complete system monitoring service. The system can automatically repair small errors, and in the case of serious problems, it can restart services. It basically requires nobody to be on duty. Thus, it ensures system stable and reliable, and also reduces the maintenance cost.5. According to the practical application in a financial institution, the system design scheme can well meet the requirements. It supports different institutions to carry out the program trading. On the other hand, the system is scalable in practice. This fully proves the feasibility and practicability of the scheme.The thesis proposes a scheme to construct trading system. It has achieved good effect in the practical application environment. It can shorten the system development cycle, improve performance, and enhance the system stability and reliability. And this design proposal can be discussed or referred for trading system in financial industry.