Design And Implementation Of Quantitative Trading Platform Based On Complex Event Processing

After nearly twenty years of development, Chinese securities market is prepared to implement quantitative trading market. According to the need of innovation and development, most domestic securities company’s information technology departments recently advanced experience in the construction of domestic and foreign quantitative trading platform, and build their own quantitative trading platforms based on complex-event-processing technology. These platforms have been put into production, and proved profitable.To achieve quantitative trading platform, they need real-time detection and rapid response to the external business system events. Event-driven architecture provides a way to subvert the traditional "storage-index-query" mode. Before the flow of events goes into the database, it goes through pre-defined event matching model first to measure the flow of events, once meet the pre-defined rules immediately triggered the corresponding behavior. Complex event processing is a rapidly developing new application technology of current financial quantitative trading. The main contents of this paper consist of two parts. The first is to try to achieve discovering and capturing the business opportunities in the first time according to the pre-defined specific rules by using complex processing strategy engine. The second is to try to realize the resources integration of the original information systems within securities companies by using Enterprise service bus (ESB), and to achieve data communication and message transferring between the quantitative trading systems and the original information systems within securities companies. Without changing or effecting the normal operation of original systems, the paper try to design a distributed, heterogeneous and loosely coupled system integration mechanism to fully mine the potential value of the original information system in an enterprise.