本文選題：程序化交易　切入點(diǎn)：分布式部署　出處：《上海交通大學(xué)》2014年碩士論文

【摘要】：隨著全球經(jīng)濟(jì)回暖,我國期貨市場也迎來了新的發(fā)展期。期貨市場可以發(fā)現(xiàn)價(jià)格,提高資源配置效率,掌握大宗商品定價(jià)權(quán),同時(shí)幫助企業(yè)規(guī)避市場風(fēng)險(xiǎn),推進(jìn)期貨市場建設(shè)是國家戰(zhàn)略;同時(shí),期貨也是一種投資工具,由于其眾多符合投機(jī)交易的特性,使其成為投資組合中首選的高風(fēng)險(xiǎn)高收益的品種。期貨投資相比其他的金融產(chǎn)品,期貨及其復(fù)雜,專業(yè)化程度較高,主要表現(xiàn)為以下幾個(gè)特征,保證金杠桿交易,雙向交易,T+0交易品種眾多,交割月合約持有限制,高頻行情,指令豐富,連續(xù)交易(夜盤)等等。程序化交易在復(fù)雜的交易過程中,有非常明顯的優(yōu)勢。如程序化策略可以全面監(jiān)控行情,實(shí)時(shí)計(jì)算風(fēng)險(xiǎn)度,多策略匹配提高資金效率。策略模型化減少隨意性,避免人性貪婪的弱點(diǎn),保證策略的實(shí)施。程序化交易屬于計(jì)算機(jī)、金融的交叉學(xué)科,是現(xiàn)代金融交易發(fā)展的重要方向,其研究領(lǐng)域包括計(jì)算機(jī)科學(xué)、信息通訊、金融工程、系統(tǒng)工程、金融數(shù)學(xué)、博弈理論等等,國內(nèi)外科研機(jī)構(gòu)、金融機(jī)構(gòu)都有相關(guān)部門對其理論實(shí)踐進(jìn)行深入研究。程序化策略的研究和系統(tǒng)平臺的搭建是程序化交易的重要核心部分。本文重點(diǎn)研究了程序化交易策略研究方法,并以一套正向可交割釣魚單策略為例。同時(shí),為了配合此類策略實(shí)施,又設(shè)計(jì)了策略運(yùn)行的平臺,為投資機(jī)構(gòu)實(shí)施程序化交易提供了一套完整的可統(tǒng)一管理、靈活部署的解決方案。本文的研究工作主要有以下幾個(gè)方面:首先,本文主要研究如何設(shè)計(jì)一個(gè)交易策略的方法,它是系統(tǒng)的最核心部分。從期貨交易系統(tǒng)的需求分析出發(fā),提出程序化交易策略可細(xì)分為傳統(tǒng)交易策略、訂單策略、高頻策略三個(gè)部分。在此指導(dǎo)下,以正向可交割套利為傳統(tǒng)交易策略,釣魚策略為訂單策略,“抽煙理論”為高頻策略,基于正向可交割原理,針對釣魚線行情,完整且創(chuàng)造性地提出了一個(gè)用于套利的程序化交易策略。然后,構(gòu)建了程序化交易系統(tǒng)平臺的總體構(gòu)架。文中對系統(tǒng)的外部環(huán)境做了分析,同時(shí)針對前文提出的策略需求,兼顧了運(yùn)行效率和架構(gòu)靈活性,設(shè)計(jì)了平臺架構(gòu)。將系統(tǒng)定位為一套接入期貨公司柜臺交易系統(tǒng)的程序化策略交易平臺,交易子系統(tǒng)支持子賬戶分組策略交易風(fēng)控,交易核心系統(tǒng)雙活運(yùn)行,管理子系統(tǒng)可以滿足系統(tǒng)管理和報(bào)表功能。最后,將策略與平臺結(jié)合起來,在程序化交易平臺之上完成了策略的實(shí)現(xiàn)及驗(yàn)證。平臺實(shí)現(xiàn)了程序化接入交易等功能,模塊化的設(shè)計(jì)思想完成了諸如子賬戶管理,訂單分析等功能,分布式部署方式,提供了更穩(wěn)定、高效的交易訂單下達(dá)方式。交易策略的穩(wěn)定運(yùn)行,將會(huì)在市場中接受檢驗(yàn),同時(shí)在市場的搏斗中不斷優(yōu)化改進(jìn)。在完成基于自建平臺之上的特定交易策略的同時(shí),由于其平臺設(shè)計(jì)與策略相分離的原則,因此,在本系統(tǒng)平臺之上可以用于建立其他的交易策略,為程序化交易提供了一個(gè)通用性的平臺。在運(yùn)行當(dāng)中,平臺還兼具有歷史行情交易信息收集功能,這些信息可用于日后數(shù)據(jù)挖掘分析,為更進(jìn)一步策略設(shè)計(jì)提供幫助。
[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.

【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：TP311.52
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本文編號：1664776