The Design And Implementation Of An Algorithmic Trading System With Active VWAP

Algorithmic Trading is a procedure that trading automatically by using pre-programmed trading strategies.The investors usually use algorithmic trading to deal with large-scale securities trading.The algorithmic trading strategy,splitting large order into small slices of order,to get the best strike price by spreading the risk of the trading market and diluting the affection on market price caused by large order.According to the requirements for algorithmic trading from corporate investors and high net worth individuals,this paper designs and implements an algorithmic trading system with comprehensive feature.First of all,set up dear objectives for building the system,based on algorithmic trading,providing investors with a platform executing investment strategy and managing positions,also providing features of stopping profit and stopping loss for the assests.In addition,to improve the performance of VWAP Strategy,which is a most popular algorithmic strategy,by introducing a module for active adjustment,the module aims to get the best strike price by using the fractal interpolation model to predict the strike price in a short future time and adjust the distribution of orders.Then we test the Active VWAP Strategy in backtesting environment.Finally,this paper represents the implementation of the several modules in the system.Based on the different perspective between the users and the administrators,the database is designed separately.the development of execution and strategy management module is based on middleware technology.The strategy execution engine is implemented based on Complex Event Processing Technology.The management terninal of the system is implemented based on ASP.NET.The client terminal is implemented base on Windows Presentation Foundation.