Research And Improvement On Design Of Futures High-frequency Trading System

With the development of domestic futures market, program trading, which refers to usecomputer software program to design trading strategies and implement trading ordersautomatically, has been more and more applied to practical trade-offs. High-frequencyprogram trading can respond quickly to the changing market with the aid of computer, so ithas the ability to earn huge profit. However, original program trading systems are mostlyfocused on generating and testing strategies. They are mostly used for quantitative trading,less for high-frequency automated trading. This paper mainly discusses about improveddesign and implementation methods, which is suitable for high-frequency automated futurestrading software.This paper firstly analyzes the lack of features and structure for high-frequency tradingin original futures trading systems, then promotes an overall structure fits for high frequencytrading system software, describes the methods, design and implementation of quotesreceiving, strategy processing, log processing in details separately. For quotes receiving,according to theoretical analysis and testing in real environment, multi-thread way is moresuitable for high frequency trading system than traditional single-thread way. For strategyprocessing, use thread pool and priority queue to treat high priority task. After simulationtests, this design not only avoid to create unlimited threads, but also can treat high prioritytasks in time. For log processing, use asynchronous messages and log service thread,improved the efficiency of log writing in multithreading competition condition.The implementation of high-frequency automated futures trading software described inthis paper, can greatly reduce the maintenance workload of original futures trading system,improve former workflow, reduce costs, and create great value for companies and customers.