Design And Implementation Of Program Trading System Based On Comprehensive Transaction Platform

Program trading has completely changed the operation mode of financial market and transaction behaviors of investors. However, program trading and algorithmic trading are more widely applied in financial market in developed market, in China, because of program trading started relatively late, It has become more and more popular in recent years. According to corresponding files, the current program trading model has covered all categories of domestic commodity and financial futures that are traded via day trading, swing trading and position trading. Day trading occupies 50% while swing trading,40%. With the growing number of hedging, arbitrage, statistical arbitrage and other more complicated trading strategies appeared in the domestic financial market, it has increased needs and standards for program trading and algorithmic trading.Focused on the current situations and issues of domestic program trading, along with the development needs of our future market, and the fact that most of domestic future companies have been equipped with Comprehensive Transaction Platform (hereinafter referred to as CTP), this paper analyzes the necessity for the development based on CTP. Furthermore, this paper demonstrates a distributed system that fully and accurately re-shows CTP trading system, self-adaptive UDP reliable multi-cast technology, multi-index of in-memory database, and presents advanced technologies and fast speed. It analyzes the processing of trading system. Then it focuses on the detailed design of modules in CTP program trading system with corresponding API, including obtainment and processing of market information, design of strategy, automatic transaction and other core modules. Last but not least, it introduces the safety, maintainability and systemic benefits. The design and implementation of the system, using C/S structure, using the modular structure of the packaging technology, based on the mainstream of C# and VC++ language development.Throughout the design and implementation process, in full compliance with the Software Engineering UML design models to use case diagram, sequence diagram expressing the entire design ideas; functional block diagram and data flow describes the main features of the design ideas; finally through the system main function introduction demonstrated the system implementation process. Further illustrate the application of the system has been in addition to addressing investor orders based artificial mechanical problems, to some extent, but also promoted the rapid development of financial information.