Design And Implementation Of Futures Market Quantitative Investment Trading System Based On CEP Technology

In recent decades, quantitative investment method based on data mining and computer technology and its trading procedures has become the mainstream of foreign investment in the mature foreign financial market, program trading volume has also occupied nearly half transaction. At the same time the development of quantitative trading strategy is also showing a trend of complex diversification, machine learning, filtering transform, stochastic processes, fractal methods increasingly used in quantitative trading strategies, due to its event-driven mode, high-speed high-throughput advantages, thus complex event stream processing(CEP) technology is widely used in the realization of complex quantitative trading strategies.Compared with domestic quantitative investment which in a low level of development, quantitative trading is still in the preparation stage of an auxiliary transaction and a simple trading strategy. Although you can Bilateral trade long and short, using T + 0 trading method, program interfaces and other characteristics suitable for basic quantitative trading, but it’s less variety, high fees, lower data accuracy, the frequency of trading restrictions and other factors still limit the quantitative trading in China’s futures market applications. Since 2010, China’s futures increased market reform and innovation, and plan to make a significant financial derivatives, launched futures, options products, quantitative trading also showed accelerated development momentum, has attracted many outside investors.in the development process of domestic quantitative trading process from small congregation to grow mature, foreign mature financial markets quantify the transaction can give us a good reference from quantitative trading strategies, ideas, research methods to the application, implementation. Although the current domestic market environment is not perfect, restrictions on quantitative trading is gradually reduced, quantitative trading will usher in a rapid development period in the future days. The topic of this thesis is based on the current situation, with reference to the development process of an overseas program trading system, put complex event stream processing(CEP) technology into the trading system and its application in China futures market, meanwhile provide feasibility idea and implementation in the complicated and diversification quantitative trading strategies. The main content of traditional trading systems includes general functions of trading system, such as access to market data, send orders, manage account funds, management strategies; access CEP technology based on China’s futures market-based trading system, using CEP technology implement processing market data, exporting required data generation strategy index, processing transaction processing strategy; providing a feasible idea and implementation process in the complex and diverse of quantitative trading strategy with compatibility and scalability.