- automatic algorithm trading system
- 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
- Hedged market-making strategy
- statistical arbitrage
- Moving-Average golden death crossing strategy
- turtle strategy (on-goinig by ShengRui zhao)
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.
- 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.
- 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.