期货程序化套利平台研究与实现

发布时间：2018-03-25 20:30

  本文选题：程序化交易　切入点：分布式部署　出处：《上海交通大学》2014年硕士论文

【摘要】：随着全球经济回暖,我国期货市场也迎来了新的发展期。期货市场可以发现价格,提高资源配置效率,掌握大宗商品定价权,同时帮助企业规避市场风险,推进期货市场建设是国家战略;同时,期货也是一种投资工具,由于其众多符合投机交易的特性,使其成为投资组合中首选的高风险高收益的品种。期货投资相比其他的金融产品,期货及其复杂,专业化程度较高,主要表现为以下几个特征,保证金杠杆交易,双向交易,T+0交易品种众多,交割月合约持有限制,高频行情,指令丰富,连续交易(夜盘)等等。程序化交易在复杂的交易过程中,有非常明显的优势。如程序化策略可以全面监控行情,实时计算风险度,多策略匹配提高资金效率。策略模型化减少随意性,避免人性贪婪的弱点,保证策略的实施。程序化交易属于计算机、金融的交叉学科,是现代金融交易发展的重要方向,其研究领域包括计算机科学、信息通讯、金融工程、系统工程、金融数学、博弈理论等等,国内外科研机构、金融机构都有相关部门对其理论实践进行深入研究。程序化策略的研究和系统平台的搭建是程序化交易的重要核心部分。本文重点研究了程序化交易策略研究方法,并以一套正向可交割钓鱼单策略为例。同时,为了配合此类策略实施,又设计了策略运行的平台,为投资机构实施程序化交易提供了一套完整的可统一管理、灵活部署的解决方案。本文的研究工作主要有以下几个方面:首先,本文主要研究如何设计一个交易策略的方法,它是系统的最核心部分。从期货交易系统的需求分析出发,提出程序化交易策略可细分为传统交易策略、订单策略、高频策略三个部分。在此指导下,以正向可交割套利为传统交易策略,钓鱼策略为订单策略,“抽烟理论”为高频策略,基于正向可交割原理,针对钓鱼线行情,完整且创造性地提出了一个用于套利的程序化交易策略。然后,构建了程序化交易系统平台的总体构架。文中对系统的外部环境做了分析,同时针对前文提出的策略需求,兼顾了运行效率和架构灵活性,设计了平台架构。将系统定位为一套接入期货公司柜台交易系统的程序化策略交易平台,交易子系统支持子账户分组策略交易风控,交易核心系统双活运行,管理子系统可以满足系统管理和报表功能。最后,将策略与平台结合起来,在程序化交易平台之上完成了策略的实现及验证。平台实现了程序化接入交易等功能,模块化的设计思想完成了诸如子账户管理,订单分析等功能,分布式部署方式,提供了更稳定、高效的交易订单下达方式。交易策略的稳定运行,将会在市场中接受检验,同时在市场的搏斗中不断优化改进。在完成基于自建平台之上的特定交易策略的同时,由于其平台设计与策略相分离的原则,因此,在本系统平台之上可以用于建立其他的交易策略,为程序化交易提供了一个通用性的平台。在运行当中,平台还兼具有历史行情交易信息收集功能,这些信息可用于日后数据挖掘分析,为更进一步策略设计提供帮助。
[Abstract]:With the global economic recovery, China's futures market has also ushered in a new stage of development. The futures market price discovery, improve the efficiency of resource allocation, grasp commodity pricing, and help enterprises to avoid market risk, promote the construction of the futures market is a national strategy; at the same time, futures is an investment tool, because of its many characteristics with speculation the transaction, make it become the preferred investment portfolio in high-risk high-yield varieties. Futures investment compared to other financial products, futures and its complex, high degree of specialization, mainly for the following features, margin leveraged transactions, two-way transaction, T+0 transaction variety, delivery month contracts, high prices, the instruction is rich, continuous trading (night disc) and so on. Program trading in the trading process in the complex, there are very obvious advantages. Such as program strategy can fully monitor the market, real time Calculation of risk, strategy, strategy model to improve the efficiency of capital. To reduce the randomness and avoid the weakness of human greed, to ensure the implementation of the strategy. The program trading belongs to the computer, cross discipline is an important direction of modern finance, financial transaction development, in the fields of computer science, information communication, financial engineering, system engineering, financial mathematics, game theory and so on, the domestic and foreign research institutions, financial institutions have the relevant departments to conduct in-depth research on the theory and practice. To build a program of strategic research and system platform is an important part of program trading. This paper focuses on the Research of program trading strategy research methods, and a set of forward delivery a single fishing strategy for example. At the same time, in order to cooperate with the implementation of such a strategy, and the strategy is designed to run the platform, providing a complete set of investment institutions to implement the program trading Can be unified management, flexible solution deployment. The main research work of this paper includes the following aspects: firstly, this paper studies how to design a trading strategy, it is the core part of the system. From the point of view of the futures trading system needs analysis, proposed program trading strategy can be divided into traditional trading strategies, orders the three part of the high strategy strategy. Under the guidance of this, with the forward delivery of traditional arbitrage trading strategies, strategies for fishing order strategy, "smoke" theory of high-frequency strategy, based on the principle of forward delivery, for the fishing line market, and creatively put forward a program for arbitrage trading strategy. Then, build the overall framework of the platform program trading system. The external environment of the system in this paper is analyzed, and according to the proposed strategy needs, taking into account the operation efficiency and architecture Flexibility design of platform structure. The system will be positioned as a Futures Company access counter trading system of program strategy trading platform, trading subsystem support sub account grouping strategy of transaction risk control, double live operation transaction core system, management system can satisfy the system management and reporting function. Finally, the combined strategy and platform in program trading platform, completed the implementation and verification strategy. Platform programming of access transactions and other functions, the modularized design completed such as sub account management function, order analysis, distributed deployment mode, provides a more stable and efficient trading orders. The stable operation of trading strategy. Will be tested in the market, at the same time in the market struggle constantly improves. In particular trading strategy based on the self built platform based on the platform, because of its Phase separation strategy and design principle, therefore, on the platform of the system can be used to establish other trading strategies, provides a universal platform for program trading. In operation, the platform also has the history of the market transaction information collection function, this information can be used for mining analysis on data, provide help for the design strategy further.

【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：TP311.52
，

本文编号：1664776