Design Of Procedural Trading System Based On Lua

In September2012, the relative special financing policies announced that the fund accounts can invest in commodity futures. In order to occupy the market share of investment in commodity futures as soon as possible, CCB Fund Management Corporation put forward specific requirements on the Fund’s investment in commodity futures that it needs through strategic transactions. Futures trading strategy has high requirement on real-time, at the same time the strategy itself should have a certain degree of flexibility. If factors such as risk control indicators had be taken into account, the complexity of strategy design would be greatly increased. The intertemporal trading strategy and model design had be given through research on fund. So the realization of the design and development of the future trading strategy, while maintaining a high degree of stability and flexibility of the system, is the problem that CCB funds faced.Firstly, the current situation of CCB fund investment system and insufficient reaction to the development of futures investment business is discussed and the necessity of introducing Lua programming is defined. Based on that, the copy of instruction, the approval of instruction, centralized order and so on main functions of programming trading system are discussed, the realization of investment instruction and the loading of risk control strategy are analyzed. Further more, the architecture based on the Lua program trading system is analyzed and the subsystem including account management, investment strategy is designed. The key point in the paper is to discuss the process of achieving trading strategy by Lua and detecting risk control indicators, and then compare the characteristics of the system with other systems in the same industry. At the end of the paper, the maintainability, stability and promotion prospects of the programming trading system are also described briefly.