<> one , Stock quantitative trading system

Many people are on the computer client or mobile phone APP The experience of trading stocks above , Clients and mobile phones APP On the one hand, we can see the market , On the one hand, you can place an order , For example, with flush or great wisdom . Stock quantitative trading system is generally different from ordinary traders , Due to the large trading volume and other factors , We hope to reduce the influence of human factors as much as possible , In signal calculation and trigger , Algorithmic trading and trading speed are highly required . Use a picture of general manager kuanrui Liu to illustrate the exchange , The transmission process of securities companies and investors in the market and trading . If it's stock programmed access , Mainly related to the market , dealing desks ,PB system , Trusteeship room and network , Self built system and so on .

<>1, quotation

The exchange market is mainly divided into Level-1 With Level-2,
Level-1 Market is a snapshot , Shanghai Stock Exchange and Shenzhen Stock Exchange are both 3s/ pen ,Level-2 Generally, it is the real-time market information charging service launched by the exchange , Including ten prices , Sales queue , Deal by deal , A variety of new data, such as the total amount of entrustment and weighted price (
Level-2 There is also a very important one, which is the entrustment one by one , A lot of quantitative private equity and T0 Strategy to use , This data is not available in Shenzhen Stock Exchange and Shanghai Stock Exchange , Thanks to Peng Yuyan of new Hangzhou for reminding ). stay Level-2 before , Shanghai and Shenzhen stock exchanges provide market snapshot , You can see that the transaction is actually the accumulated volume and the last price during the two snapshots , Transaction by transaction is the real detailed data of each transaction price and volume. Transaction by transaction greatly improves the transparency of the market . Normally , If we only use market snapshot , And not particularly sensitive to speed ,Level-1 and Level-2 There's no big difference between the market of China and the United States ,
Shanghai's Level-1 Although upgraded to a new generation of market , But it is still through the file to transmit market data , The speed is still faster than the speed Level-2 slow . If you do ETF Arbitrage or something , Still need it Level-2.
Level-2 If the third-party system is connected, it will be charged ,
It's troublesome . If you want to use private placement, you can cooperate with securities companies , Put it in the computer room of the stock exchange , Access from securities companies , It saves money . Market forwarding , General counter system with quotation , There are also some market services authorized by the third party ( For example, the Qianlong market ).

<>2, dealing desks

The trading counter is simply an order system connected to the exchange . Send trading orders to the exchange through the counter , Then the exchange will give feedback to investors . Hang Seng is the main trading counter , Jinzheng , Mingchuang , vertex , Root net and Kingstar, etc , The functional modules of the counter system of these companies vary according to how much they pay , It can also be developed according to the needs of securities companies , For investors . Ordinary trading counter is also called brokerage counter , It is mainly for general investors . Now it's similar to Hang Seng UFT(Ultra
Trading, Fast trading platform ), Mainly for institutional customers .UFT Also called memory trading system , All the data is in memory , Transaction when the list is in memory to extract data validation , The speed is quite fast ; Traditional counter is database operation , Extracting and storing data is to the database on the hard disk , It will be slow . The above trading counters are also available before API(Application
Programming Interface, Application programming interface ) For program traders , Regulatory policy restrictions should also be suspended .

In addition to the above frequently heard trading counter , Before the stock market crash , Some securities companies have also developed trading counters for programmed customers , Such as Huabao securities LTS, Industrial Securities CTP Stock exchange system , China and Thailand XTP etc. , After the regulatory policy comes out , The counter system built by securities companies is also limited . The development of the stock market has been bumpy in the past two years , High frequency and intraday turn of stocks “T+0” Trading strategies are also popular , Some companies have developed specific counter systems for such customers , For example, kuanrui fast counter system is known as the main one with extremely low delay .

<>3,PB system

Brokerage), It's called principal broker in Chinese , In foreign countries, securities companies are mainly institutional customers ( Especially hedge funds ) Business platform for service and management , It is also an important part of the implementation of hedge fund investment strategy . therefore ,PB It is an important business department of Wall Street securities companies , by 70% International hedge funds provide financing and management services . Principal broker as the fund side of hedge fund , In a strong position ,PB On the one hand, we hope to expand the scale of financing , On the other hand, we have to face severe financing risks , This itself puts forward strong professional requirements for the main brokerage business .

And international PB Different industries are highly concentrated ( Several Wall Street investment banks dominate the market ), domestic PB Business started with the development of equity allocation ,2014 as well as 2015 The stock market is booming in , High demand for funding , Hang Seng HOMS As well as some folk sub warehouse software with a certain value PB function . Regulatory requirements , Funding software has basically disappeared from the market . After restricting programmed access , Hang Seng PB And the information investment software provides a basket of orders and simple algorithm trading function , Including the function of risk control , But with foreign PB Function is not the same . In recent years , Some securities companies are traditional in the market PB On the basis of , Some enhancements have been made , Provide some more flexible requirements to meet the procedural trading customers , For example, CITIC based on Apama Of Cats system ( Galaxy Securities also purchased very early Apama system ), Guoxin introduction tradestation etc. , All have classes PB Properties of . Securities companies also pay attention to some large procedural customers , Purchase customer's own PB System for reporting , Settled to the securities server , So there will be dozens of securities companies PB Systematic phenomenon , Of course, some PB The system is for exclusive customers only .

<>4, a dedicated line , computer room , trusteeship

For stock quantification , If the turnover rate is not high strategy , The requirement of network speed is not high , But now the trend is high frequency Alpha With T0 And so on put forward higher and higher requirements to the transaction speed . In addition to the counter system , The network and the physical distance from the exchange are also very relevant . There are two main channels for network private lines , They are physical dedicated channel and virtual dedicated channel , Now it's virtual private line , It's not really a line , It's just that you'll be able to use your bandwidth on this line alone , Not like the Internet, bandwidth is shared by all , So this line will be more stable . There is another concept , seat ( In fact, the guerrillas use it more ). Seat is the previous manual in the exchange when the era of a single position , It's now dashed to a number , Each broker can have multiple seats for various purposes in the exchange , When securities companies place orders at the counter, they should pass the seat number to the exchange . Each seat has a buffer queue , When your data arrives , If the data in the queue is not transmitted completely , You have to line up at the back of the line . Think of it as a toll gate on a highway , There's a car ahead ( data ) To transmit , We have to line up first , Wait for the car in front to leave , If there are too many cars , It will “ Traffic jam ”. Securities companies can give exclusive customers a special seat , This seat is not for other customers , It's a fast way to place an order .

For larger quantitative private equity companies , Servers are generally hosted in exclusive computer rooms , Including easy to do system backup and so on . Exclusive computer room is not necessarily Shanghai Zhengtong computer room or Shenzhen Binhai computer room , Now these machine rooms and cabinets are very tight , Shenzhen Stock Exchange's Dongguan Fenggang Telecom room is relatively abundant . Trusteeship room is mainly to ensure the stability of the transaction , reliable , Try to choose the place close to the two exchanges .

<> two , Futures quantitative trading system

Futures trading system is similar to stock trading system . The regulatory policy is not as strict as the stock , After all, the market has less influence than stocks , But for the stock index futures and other policy restrictions , It also limits the return of futures related quantitative strategy .

<>1, quotation

CICC , Last period , Dashangsuo , Zheng Shangsuo Level-1 Futures market 500 millisecond (0.5S) Send a snapshot , For the fifth price of cicfe (500ms) And Dalian , Zhengzhou Commodity Exchange Level-2 quotation (250 Millisecond stroke ), There is also a fee to be paid .( The last issue has not yet been launched Level-2, It is expected to be launched next month .)

<>2, dealing desks

All four exchanges have launched their own counter systems , Last period CTP, Cfso Pegasus , Big business is created by flying and Zheng business is created by Yisheng . Last period CTP The most compatible and mature counter system , Program customers can use the above interface API Docking . Comparison of interface performance of these futures exchanges , You can refer to this article of COFCO qidefeng general manager yuan, which futures exchange interface system is strong . In addition to the counter system launched by the exchange , Hang Seng, Hangzhou , Hangzhou Shengli and Nanjing aikelangke also have counter systems for futures trading , The details are as follows .

For procedural transactions , There are also some scripts on the market , For example, trading pioneers (TB), Wenhua finance and pyramids, etc , These bottom layers are connected to a certain counter system .

<>3, Computer room and Trusteeship

Futures procedural trading requires higher physical distance , It is generally hosted in the exclusive computer room ( Most of them are placed in the futures company's computer room ), Cabinet position and quantity are also one of the core resources of futures companies . Now Zhangjiang computer room of Shanghai last phase Institute , Dashangsuo F,G computer room , The machine rooms and cabinets in the technical center of Zhengzhou Institute of commerce are in high load operation state . According to the development progress of several exchanges , Reserve computer rooms have also been established one after another .

<>4, High frequency trading

Futures high frequency trading is a competition of hardware to some extent . Except for physical hosting , The network speed is very high , Forward the quotation , Trading counters are also demanding , In China, Shengli and aikelangke are commonly used for HF FPGA Hardware accelerates market , Trading counters also use these two methods FPGA Our system . about FPGA Specific introduction of , Please refer to this article why high frequency trading is used FPGA.

<>5, other

Due to limited knowledge , About precious metals T+D, Futures arbitrage and other platforms are not introduced .

<> three , Other platforms

The above two parts are mainly about the content of the stock and futures trading system , Mainly the market , Transaction and computer room trusteeship . For quantitative companies , Pre strategy back testing platform and post strategy evaluation platform are also important , Based on these needs in the market , There are also many related platforms ( See the figure below ). For large quantitative companies , Will establish a unified database , Unified back testing platform ,( Similar strategy ) Unified evaluation system , Unified code hosting and unified trading platform , Similar to industrial assembly line operation . But for relatively small companies or individual investors , With the help of some external platforms , It's also necessary . Some back testing platforms have also cooperated with securities companies , If the subsequent signal generation can be connected with the automatic trading of Securities Dealers' counters , It's also a good thing .

<>1, Back testing platform

Main domestic platforms : Rice basket Ricequant, Jukuan Joinquant, Nuggets Myquant, Excellent ore Uqer, Radium ore Raquant, Nutnet ,Factors,
Kuanbang Bigquant, Guotaian , Homeopathy quantification ,WIND quantification , The sky is soft ,FMZ( Support digital currency and Futures ) etc. ;

Foreign benchmarking platform :Quantopian,QuantConnect etc.

<>2, Performance attribution

Main domestic platforms : Rice basket , Beifa Technology , Kuangke technology, etc ;

Foreign benchmarking platform :Barra, Northfield, Axioma.

<>3,FOF Investment research

Main domestic platforms :FOF Niuniu , The rising sun will last forever , Private placement network , Tonglian Rubik's Cube , Kuangke technology, etc ;

Foreign benchmarking platform :Morningstar( part ).