The Research And Implement On Market Maker Business Test And Verification System

The option maker is the specific institution that provides the option of bilateral quotes.In order to ensure the rationality and fairness of the offer,a commodity exchange needs to validate the market maker in the option arbitrage scenario.Before system apearring,the commodity exchange can only test quotation business manually.First,the manual order can only construct a single futures / options arbitrage scene,but can not construct multiple combinations of arbitrage scenarios,such as: vertical arbitrage scene,convex arbitrage scene;Secondly,arbitrage scene of single option,testers need to manually calculate the option price,the process is cumbersome and error-prone;Finally,for the same target futures contracts,there are multiple options contracts,manual testing,one by one single,is inefficient.Based on the above drawbacks,the commodity exchange raises the need for automated construction of arbitrage scenarios.Based on the user's requirement,this paper designs and implements the market maker business verification system(ZCE-MTS)based on C/S architecture.Firstly,the business process of single option / futures arbitrage scene,vertical arbitrage and convex arbitrage scene is expounded through the demand case,and the business function of the system is explained by using the use case diagram,and the system boundary is clarified.The logical architecture of the system is designed,and the system function modules are divided and designed in detail.Secondly,by analyzing the option BS pricing model,the option pricing module is designed and realizes the automatic derivation of the option price,which facilitates the option price calculation in the option strategy.This paper designs an automatic generation algorithm of single option / futures arbitrage strategy,option vertical arbitrage strategy and option convexity arbitrage strategy.On this basis,it realizes the automatic generation of arbitrage scene strategy through strategy construction module and market management module.The scene task execution module and the timing task module are designed and implemented.The scene task execution module creates the scene task according to the scene request.The timing task module executes the scene strategy in the scene task regularly,and the two modules cooperate to realize the automatic construction and destruction of the option arbitrage scene.Finally,the unit module code of the system is tested and the system function is tested to ensure the correctness of the system function.Users can use the ZCME-MTS to automate the construction of a single option / futures arbitrage scenario and option portfolio arbitrage scenario(option vertical arbitrage scenario,option convexity arbitrage scene).The system can automatically calculate the option price,to avoid the cumbersome and error of manual calculation.Users simply click the button,you can complete the creation of arbitrage scenes,reducing the difficulty of the option market maker business verification,improve work efficiency.