Design And Implementation Of High-frequency Trading System Of Stock Index Futures

In recent years, with the development of computer and network technologies, high-frequency trading system has been applied to all areas of the financial markets. HFT systems are able to determine the changes that have occurred in the financial markets and make reactions quickly. Especially on the stock index futures market, high-frequency trading system could not only reduce the risk arbitrage, and offer stable returns for investors, but also play a positive role on the futures markets.Current studies of high-frequency trading system have achieved certain results. Especially in the United States, high-frequency trading systems have had significant success. But the situations of different financial markets are different, and the investors’ own situations are also not the same; therefore, we must design and develop our own trading systems according to the actual investment condition.Based on the above discussion, this paper proposes theoretical analysis of high frequency trading on arbitrage transactions, and on the basis of China’s stock index futures market, designs and implements for inter-temporal arbitrage trading of stock index futures trading system. The main contributions of the paper are as follows:Firstly, a detailed analysis of the system demand is given by combining the current research work in China and abroad, basing on the theory of arbitrage and high-frequency trading. And then follow the design principles of high-frequency trading systems and system requirements, system modules are divided into two core modules:arbitrage module and high-frequency trading module. These two modules have been designed in detail.A high-frequency trading system of stock index futures is implemented based on based on integrated trading platform (CTP) and a needs analysis and detailed design. And the system’s deployment scenarios are given. LINUX operating system is used, and deployed in the network of the front-end CTP in order to improve the concurrent operation of the system and reduce network transmission time consumed.Experiments are conducted to test the system, including the functional and performance testing of the stock index futures trading system. Test results showed that the design and development of the system have achieved the desired goal, and the testing experiments have made substantial gains.