Research On High Frequency Trading System

High-frequency trading is a kind of trading activity that takes advantage of thecomputer’s high speed to quickly detect tiny arbitrage price differences of stocks or options inthe market. It improves the market efficiency by creating liquidity and smoothing marketprice and maintains the market stability. In recent years, high-frequency trading surge intransactions size and new innovative trading strategies keep coming out. High-frequencytrading is becoming the global financial world’s one of major focuses.Currently, there are two types of high-frequency trading systems in the market. One isfor the investors and is mainly used by academic investors such as investment banks, hedgefunds and etc.; the other is for the exchanges and is mainly used by the exchanges to helpquickly liquidate financial products. Therefore, the design and implementation of a highperformance high-frequency trading system is not only good for investors, but also help toimprove market liquidity and market efficiency.The research of this thesis is to design and implement a high frequency trading systemfor institutional investor that includes demand analysis and system components of highfrequency trading system, software and hardware components of high frequency tradingsystem, module design and implementation of high frequency trading system.The main achievements of the paper are as followings:Performed deep analysis to the current status and related technologies of high frequencytrading system and studied the architecture of high frequency trading system.Given hardware and software components of the high frequency trading system andpresented demand analysis and main design of investment strategy, risk management,implementation, control and post-trade analysis modules.Many specific design methods are proposed for major software modules of highfrequency trading system including design of investment strategy, risk management andimplementation modules, and database schema design methodology of high frequency tradingsystem.Showed the human-computer interface screenshots of the high frequency trading systemin the paper, then a high frequency trading order imbalance strategy has been implemented inthe thesis to tell how to do Back testing and how to examine the order imbalance tradingstrategy using Hushen300index future tick data. Research tests showed that the implementation of high-frequency trading system in the thesis can meet general demands ofinvestors.