TY - GEN
T1 - Design and implementation of a program trading platform for futures
AU - Yang, Lifan
AU - Gao, Qiang
N1 - Publisher Copyright:
© 2019 IEEE.
PY - 2019/10
Y1 - 2019/10
N2 - With the increase of trading volume and frequency in futures market, manual trading is unable to meet the requirements of investors in many cases. Meanwhile, program trading has advantages of quick reaction and objectivity, which is suitable for realizing complex trading strategies. Therefore, we proposed a program trading platform for futures, making it possible for investors to realize their strategies by programs and execute them automatically. The platform consists of four layers of interface, processing, strategy and user. In the processing layer, we designed an event-driven engine as the processing core of the platform to ensure high instantaneity, stability and concurrency. Then we explained how users realize and manage their trading strategies in the strategy layer. After optimizing the design, we implemented the program trading platform and did system testing on it. The results show that the platform can access the exchanges through the Internet to trade futures, and can achieve our objectives in instantaneity, stability and concurrency.
AB - With the increase of trading volume and frequency in futures market, manual trading is unable to meet the requirements of investors in many cases. Meanwhile, program trading has advantages of quick reaction and objectivity, which is suitable for realizing complex trading strategies. Therefore, we proposed a program trading platform for futures, making it possible for investors to realize their strategies by programs and execute them automatically. The platform consists of four layers of interface, processing, strategy and user. In the processing layer, we designed an event-driven engine as the processing core of the platform to ensure high instantaneity, stability and concurrency. Then we explained how users realize and manage their trading strategies in the strategy layer. After optimizing the design, we implemented the program trading platform and did system testing on it. The results show that the platform can access the exchanges through the Internet to trade futures, and can achieve our objectives in instantaneity, stability and concurrency.
KW - Event-driven
KW - Futures
KW - Program trading
KW - Strategies
UR - https://www.scopus.com/pages/publications/85082857426
U2 - 10.1109/ICSESS47205.2019.9040782
DO - 10.1109/ICSESS47205.2019.9040782
M3 - 会议稿件
AN - SCOPUS:85082857426
T3 - Proceedings of the IEEE International Conference on Software Engineering and Service Sciences, ICSESS
SP - 221
EP - 225
BT - Proceedings of 2019 IEEE 10th International Conference on Software Engineering and Service Science, ICSESS 2019
A2 - Li, Wenzheng
A2 - Babu, M. Surendra Prasad
PB - IEEE Computer Society
T2 - 10th IEEE International Conference on Software Engineering and Service Science, ICSESS 2019
Y2 - 18 October 2019 through 20 October 2019
ER -