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Design And Implementation Of Quantitative Trading Platform Based On Streambase

Posted on:2015-02-10Degree:MasterType:Thesis
Country:ChinaCandidate:Z ChenFull Text:PDF
GTID:2268330425982053Subject:Computer software and theory
Abstract/Summary:PDF Full Text Request
Quantitative trading is the use of computer technology and algorithm model to analyze the factors which influence securities transactions based and conducting transactions basing on the results of the analyses. Complex event processing is an emerging technology and method in the context of the event-driven study, the goal of which is to obtain the information included in the event through event streams of different levels inside the software system, to get hold of the impact on upper management objectives and business processed, thus making real-time response. Complex event processing applications in the financial markets mainly deal with a lot of inputs events, such as quotes, event time, commission, transactions, etc., they fetch a combination of complex events, and do real-time calculation method based on the implementation of complex events.In this context, the main contents of this paper include:(A) Studying and researching complex event processing software StreamBase, understanding the overall structure and operation of StreamBase, mastering StreamBase use and extension methods, building connection between KCXP communication middleware and KCBP business middleware and providing the technical basis for the goal of achieving quantitative trading software platform.(B)Presenting the project of a new management service module, which aims at the problems occurring in the management, achieving of efficiency and versatility of complex event processing mode in traditional securities trading, based on the complex event processing technology. The main idea of the project includes:a package of standardized data transfer interface, transformation of network data transmission to StreamBase internal memory queue transmission; using system management methods, which is applied in the management of StreamBase, providing various internal management levels and external external management commands or instructions; abstracting functions not related to quantization algorithm logic business or common quantization methods to the management service module; providing relevant corrections according to the different needs of active and passive algorithm types in order to achieve the implementing algorithm module which focuses on tactic management service module of user interaction and the implementation of automated trading algorithm module execution. Results of our experiments show that the proposed project in this paper can reduce bandwidth requirements, improve system resource utilization, and improve concurrent processing speed.(C) Based on the implementation of the management service module, using complex event processing and achieving programmes of implementing alforithm. The test results show that the algorithm can perform normal operation by supporting the implementation of the management service module, and in accordance with established split single programme implementation, in different market trends the buying and selling prices of TWAP and VWAP execution are close to the market price at the date of the transaction, under certain market trends even higher than the market average.
Keywords/Search Tags:complex event processing, events driven, strategy managing service, tradingalgorithms
PDF Full Text Request
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