期货程序化交易系统的设计与实现

发布时间：2018-06-17 08:57

本文选题：期货 + 自动化交易系统　；参考：《中国科学院大学(中国科学院工程管理与信息技术学院)》2017年硕士论文

【摘要】：随着互联网和资本市场的高速发展,国内的程序化交易也随之有了高速的发展,因其可以捕捉到市场短暂的盈利机会,同时避免了人为因素的不确定性,所以目前市场上出现了许多程序化的托管的理财产品,本文研究国内外程序化交易的现状,并根据国内目前程序交易高速发展的现状,为这些做期货程序化交易的专业个人,机构和团体提供自动化交易系统;针对上述的需求,本文研究、设计开发期货交易系统,完成的主要工作如下:(1)基于国内主流期货交易接入技术CTP(Comprehensive Transaction Platform),本文设计并实现了策略的下单,撤单等基础方法。(2)针对程序化交易风险问题,设计并实现了资产管理功能来为用户提供风险控制功能。(3)针对单品种单策略容易出现盈亏的不确定性问题,研究了策略组合的相对单策略的优势,并基于策略组合的思想设计和实现了实盘系统的框架。(4)针对需要预估策略组合的效果问题,设计并实现了回测的功能。综上,本文设计了一个基于CTP接口的自动化期货交易系统,实现了根据策略或策略组合进行自动化交易的功能,同时能够根据资金管理模块进行风险控制。本文设计的系统可以为一些有期货交易和策略研究需求的个人或团体提供一个资产管理的自动化交易平台。
[Abstract]:With the rapid development of the Internet and the capital market, domestic programmed transactions have also developed at a high speed, because they can capture short-term profit opportunities in the market, while avoiding the uncertainty of artificial factors. So at present, there are many programmed managed financial products in the market. This paper studies the current situation of programmed transactions at home and abroad, and according to the current situation of rapid development of domestic procedural transactions, it is for these professional individuals who do futures procedural transactions. Institutions and organizations provide automated trading systems. In response to the above requirements, this paper studies, designs and develops futures trading systems, The main work accomplished is as follows: (1) based on CTPComprehensive transaction platform (CTPComprehensive transaction platform), this paper designs and implements some basic methods, such as placing orders and withdrawing orders, aiming at the problem of programmed transaction risk. This paper designs and implements the asset management function to provide risk control function for users. (3) aiming at the uncertainty that single strategy is prone to profit and loss, the advantages of policy combination relative to single strategy are studied. Based on the idea of policy combination, the framework of real disk system is designed and implemented. Aiming at the problem of estimating the effect of policy combination, the function of backtesting is designed and implemented. To sum up, this paper designs an automated futures trading system based on CTP interface, which realizes the function of automating trading according to strategy or combination of strategies, and can carry out risk control according to fund management module at the same time. The system designed in this paper can provide an automated trading platform of asset management for some individuals or groups with the demand of futures trading and strategy research.
【学位授予单位】：中国科学院大学(中国科学院工程管理与信息技术学院)
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：TP311.52

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