Design and Implementation of Simulation System for Program Trading Strategy of Stock Exchange

DOI

10.2991/macmc-17.2018.13How to use a DOI?

Keywords

Program trading, VN.PY, Strategy simulation

Abstract

Strategy operation is one of the most important aspects in program trading. In this paper, the program trading strategies of the high-frequency trading, algorithmic trading, and carry trading strategies were investigated. Through investigation and analysis, the principles, advantages and disadvantages of the three strategies were analyzed. This paper introduced the features of the program trading system architecture VN.PY based on Python language and ctaalgo module, focused on learning and analyzing the strategy module od VN.Trader trading platform in VN.PY, and put forward the shortcomings of the module. In view of the insufficiency of the function of ctaalgo strategy module, this paper put forward the revision idea of the corresponding module and function according to the project requirements. This article has made the corresponding improvement to the VN.PY open source code, added and revised the strategy. The back-testing function has been improved and the functions related with strategy simulation has been improved. Finally, the completion of the system testing and description were explored in the paper.

Copyright

© 2018, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Ruilin Wang
PY  - 2018/01
DA  - 2018/01
TI  - Design and Implementation of Simulation System for Program Trading Strategy of Stock Exchange
BT  - Proceedings of the 2017 4th International Conference on Machinery, Materials and Computer (MACMC 2017)
PB  - Atlantis Press
SP  - 54
EP  - 58
SN  - 2352-5401
UR  - https://doi.org/10.2991/macmc-17.2018.13
DO  - 10.2991/macmc-17.2018.13
ID  - Wang2018/01
ER  -