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real high-frequency-trading system based on c++

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pnl

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 (### deprecated ###) 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:

pnl

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

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  • Python 74.9%
  • C++ 16.0%
  • Makefile 5.2%
  • CMake 2.2%
  • C 1.2%
  • QMake 0.5%