LuaMatic Program Trading Platform Based On Lua Script

With rapid wave of financial globalization, the widely use of information technology and mathematics, such as trading strategy testing, quantitative modeling, real-time risk control and automated trading, has become a trend in this industry.Therefore, in this paper we discuss one kind of automated trading platform, LuaMatic, which is just tailored to institutional investors with small or medium size, providing them a powerful program trading platform in which the common trading strategy can be easily be realized by Lua scripts. First, the project is based on our self-developed framework Ouranos with its SDK, which is specifically optimized for features of financial trading, to facilitate the rapid development with high performance. Then, a trading strategy is firstly divided into one IN strategy with OUT strategy. They are the basic unit of a whole trading strategy, and investors can code two kinds of IN or OUT strategy then combine any two of them into a trading strategy, or’Loop’ in LuaMatic. And Lua is easy to learn and also easy to use. Meanwhile one can use it to realize complicated strategies by Lua coroutine mechanism, coding complex asynchronous logic on real trading API, to meet real demand from different users under various scenarios.In this paper, Rational Unified Process(RUP) is used as software developing methodology, together with Unified Modeling Language (UML) for the specific business analysis, such as strategy developing, simulation testing, trading and risk control in the back-end.