High Frequency Trading Solution

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
• complie command: in the path of yourhomepath/hft, run "make", you will get binary file in build/bin
• How to run it just run it, as a start, you can run 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.
• Deployment instructions

Exsited strategy:

1. Hedged market-making strategy
2. statistical arbitrage
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. For the base part of strategy, I just make it as a dynamic library in external, ok to use, but code is not included here, the reason is that something i am now still debugging, reconstructing, and thinking. if you have any questions on this part, contract me.

Author:

• XinYu Huang

any questions or suggestions are welcome, please contract me with:huangxy17@fudan.edu.cn, i will list your name here to thanks for your contribution.

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.