The Design And Implementation Of Low Lantency Future Trading System

Program trading has become the main trading mode of securities and futures products.High-frequency trading is a kind of program trading of which low-latency is one of the most important indicators from the characteristics.Domestic research and practice in the low-latency trading system is relatively slow relative to foreign countries,which is the proportion of domestic institutional investors is not high,and regulatory agencies have a certain relationship between the regulations.However,as China's futures market is becoming more open to the outside world,more and more accustomed to the use of high-frequency trading of foreign investors involved,which will allow domestic participants with lower latency trading system Demand more and more urgent.This paper designs and implements a set of low-latency futures trading system.The main contents of this paper are as follows:Firstly,the research background and significance of the subject are introduced.The present situation of related systems at home and abroad is analyzed,and then the technology to be applied in low-latency trading system is introduced.Secondly,the overall demand analysis of the trading system,mainly from the functional and non-functional aspects of the two described,introduced the trading system workflow and functional modules.Thirdly,on the basis of detailed requirement analysis,the overall architecture of the system is proposed.According to the architecture design,the multi-event concurrent processing model,message bus technology,fault-tolerant master-slave queuing mechanism and memory database are introduced.In the design and implementation of the whole trading system,according to the demand analysis,the key components are designed and realized.In the design of multi-event concurrency model,the I / O-based mechanism is used to deal with concurrent I / O events,and Reactor model is used to construct the event processing framework.For data synchronization between different threads of the same process,the conversion data is accessed in a lock-free producer-consumer model for data sharing,reducing the time-consuming overhead caused by competition.In the application scenario of business processing,business operations are naturally located in the transaction management through the operation of the memory database,simplifying the business logic.Finally,the research results in this project have been initially verified,the whole system running through the functional testing and non-functional testing.From the test results can be seen in the correctness and stability of the system performed well,at the same time in the key business of the low latency index has also greatly improved,the system processing capacity has also been improved.In general,low-latency futures trading system designed by this paper achieves the desired goal.