High Frequency Trading Solution

• running on china futures market and cryptocurrency market

What is this repository for?

• automatic algorithm trading system

How do I get set up?

• System requirement: based on centos 6.5 or 7 (other system have not been tested)
• IDE recommendation: I developed it by vim (using some cool plugin), i also set the neccessary config file for QT, so this can be opened on QT directly.
• Complie Tools: based on g++, using the complie tools waf, the binary file is included in the repository, path hft/backend/bin/waf, for waf, you can google it
• pre-installed software: this project used zeromq to do ipc, version 4.1.2 install.sh and setzeromq.sh will help you to install.
• complie command: in the path of yourhomepath/hft, run "make", you will get binary file in build/bin

Have a quick view

• How to run it As a start, you can run ctpdata (after 'make', ./build/bin/ctpdata), if network is good, and time is in the trading session(9:00-11:30 13:30-3:00), you can see marketdata come out in your screen.
• ui you can find the frontend ui: https://github.com/nickhuangxinyu/Gallery/blob/master/TradingMonitor.rar you can open it in trading time, it's a monitor of spread.

Exsited strategy:

1. Hedged market-making strategy
2. statistical arbitrage, pair trading
3. Moving-Average golden death crossing strategy
4. turtle strategy (on-goinig by ShengRui zhao)

Open Source:

Currently, the repository opened the strategy code, exchange api code, backtest code, complementary tools code.

Author:

• XinYu Huang

any questions or suggestions are welcome, please contract me with:[email protected], i will list your name here to thanks for your contribution.

Trading system latency:

Thanks list :

• ShengRui zhao: most active products getting tools on futures market, fill the detail config for all contracts.
• Jian Sun: professor of school of Economics, Fudan university. Fund-supporter and strategy idea consultant.
• Wei Sun: systems consultant.

Exsiting problem:

1. ui: load history