Research On Program Trading System For Commodities

With the opening of China's financial market and the development of computer science and technology,the proportion of program trading in futures trading is increasing.Program trading refers to the process of automatically completing transactions through computer programs based on mathematical and financial model.With the powerful computing power of computer,program trading breaks through the limit of human physiological reaction and improves the quality of trading;it can also replace human subjective judgment and greatly reduce the negative impact of subjective emotion fluctuation of traders.However,China's program trading started late,and it is in the primary stage of development,and is basically not in line with international standards.As the carrier of program trading,the current popular program trading system has the disadvantages of high threshold,high cost and high learning cost,which hinder the development of program trading.From a professional point of view,many program trading systems have poor universality,fragmented and one-sided functions,and lack of organic unity;Although some platforms have rich functions,they also have some problems,such as market delay,inconsistency between back testing and real trading.In order to promote the development of program trading in China,aiming at the existing problems of program trading,this paper studies the program trading system for bulk commodities,designs and implements a low threshold and professional program trading system(1)Improve the universality of the program trading system.The system provides the necessary functions of the program trading,such as account information management,market storage and display,strategy development and compilation,strategy combination back test,real offer trading,etc.,and supports the trading program development environment of high-level programming language c++,which realizes the organic unity of the functions of the program trading system.(2)Reduce the delay of market sending and receiving.Use Memcache and custom communication protocol based on socket to broadcast market,enhance the concurrent ability of the system.Through local persistence of market and K-line,it supports viewing historical market in non trading time.By preloading,the waiting time of K-line request is reduced.(3)Provide trading strategy back testing function,and improve the consistency between back testing and real trading.The system realize the development,compilation and back testing function based on C/S architecture strategy,provide fund management function,improve the system risk control ability,and design back testing module according to the consistent matching method with futures exchange,improve the consistency between back testing and real trading.