| With the rapid development of the Internet and the capital market,the domestic program trading also has a rapid development,because it can capture the market short-term profit opportunities,while avoiding the human factors of uncertainty,so has studied the present situation at home and abroad program trading,and according to the status of domestic program trading high speed development,the futures program trading professional person,provides automated trading system of institutions and organizations;In view of the above requirements,this thesis is going to research,design and develop a futures trading system.The main work is finished as follows:(1)The mainstream of domestic futures trading access technology based on CTP(Comprehensive Transaction Platform),this thesis designs and implements the strategy of orders,cancels and other basic methods.(2)In order to deal with the risk of transaction,this thesis designs and implements the asset management function to provide the user with the function of risk management.(3)To solve the uncertain problem of single breed single strategy prone to profit and loss,the relative advantage of single strategy of strategy combination is studied and based on the idea of strategy combination,this thesis designs strategy and implementation framework of trading system.(4)In order to solve the problem of estimating the effect of the strategy combination,this thesis designs and implements the function of back testing.In summary,this thesis designs and implements a futures trading system based on CTP automation interface,realizes the function that can use the automated trading strategy or strategy combination,and it can carry out risk managerment according to cash management module.The system designed in this thesis can provide an automated trading system for individuals or groups with futures trading and strategic research. |
