The Research And Implementation Of A Futures Arbitrage Platform

With the global economic recovery, China’s futures market has also ushered in a new period of development. Futures market prices can be found to improve the efficiency of resource allocation, master commodity pricing, and help companies avoid market risks. Promoting the construction of the futures market is a national strategy.In the other hand, futures is an investment tool. Due to its characteristics of numerous speculative trading, it is becoming the first choice of high-risk and high-yield varieties for portfolio.Compared to other financial products, futures is complex, and high degree of specialization, mainly for the following characteristics : margin trade, two-way trade, T+0 trade, a lot of contracts, front-month contract holding restrictions, high frequency quotes, rich instruction,consecutive trading(night drive) and so on. In a complex transaction process program trading has a very distinct advantage. The program can fully monitor the market chances, real-time computing risk rate, multi-strategy running to improve capital utilization efficiency. Modeling strategies to reduce arbitrariness and avoid the weaknesses of human greed, ensure the implementation of the strategy.Program trading is interdisciplinary subject of computers and finance. It is an important development direction of modern financial transactions. Its research interests include computer science, information & communication, financial engineering, systems engineering, financial mathematics, game theory, etc.. The relevant departments of Domestic and foreign research institutions and financial institutions have conducted in-depth study of its theory and practice. The research of program trading strategy and how to build a system platform are important core parts of program trading. This paper focuses on program trading strategies research methods and provides an example of fishing quote strategy. Meanwhile, in line with the implementation of such a strategy, we designed a platform to support strategies running. This provides investment institutions a complete set of program trading implementation solution which can be unified managed and flexible deployed.This thesis has mainly completed the following researching tasks:First, the article focuses on how to design a trading strategy, which is the core part of the system. From the analysis of the needs of futures trading system, this paper presents program trading strategies can be broken down into traditional trading strategies, order strategy, the high-frequency strategies in three parts. Under this guidance, with deliverable forward arbitrage as trading strategy, the "fishing theory" as the order strategy, the "Smoking theory" as the high-frequency strategies, we complete and creatively put forward a program trading arbitrage strategy.Then, we constructed a general framework for program trading platform. Articles platform architecture designed by analyzing the strategic needs of the external environment system, previously proposed, taking into account the operational efficiency and architectural flexibility. This system will be a program trading platform that access into the counters system of futures companies. It will implement the following functions: trading implements subsystem grouping strategy sub-account trading and risk control, transaction-core dual-live system running; management subsystem implements system management and report generation.Finally, we combine the strategy and the platform. On the platform, the trading strategy implements, runs and verifies the completion. With the help of the modular design concept, the platform achieve the programmed trading access and a lot of other functions,such as the completion of the sub-account management, order analysis and other functions, distributed deployment, providing a more stable and efficient way of trading orders issued. Trading strategy will be tested in the market, fight with competitor and continuously optimized in the market.Considering of the separation of the platform design and the strategy development, in the completion of a specific trading strategy based on the self-built platform, this platform can be used to create other trading strategies. It provides a transaction universal platform. While running the trading system, the platform also has many functions such as a history quote recording and information gathering that may be used for future data mining analysis, to help further trading strategy development.