Broker Stock Programmatic Trading Interface (RPM)

Since I have been thinking, why no one used automatic interactive software to conduct stock trading, who had known that my idea is the current frontier of finance. Fortunately I am a programmer, proficient in various programming languages such as C++,python ..... In Europe and the United States and other developed financial markets, more than half of the volume is issued by quantitative transactions, quantitative trading has become the mainstream trend of financial markets. People engaged in quantitative trading are known as the wide-ranging, most of whom have rigorous scientific training, proficient in mathematical, statistical and other quantitative methods. The company has become a favorite of Wall Street, as investment banks and fund companies must adopt increasingly sophisticated quantitative trading strategies and derivative products. However, quantitative trading has just arisen in China, and the high-end talents such as the wide-passenger are still extremely scarce. For the securities CTP most investors are not familiar with, however this is a very cutting-edge tool for quantitative trading, mastering the CTP, will make quantitative investors to the duck.
CTP + c++= Write your own trading software
Integrated trading platform CTP, open up the trading and market interface, the user can be based on the open interface of their own implementation of automated trading client software. At present, the majority of futures companies have used and opened the CTP system to customers, and for large-volume customers to provide free hosting in the LAN. At present, in China A-share market has a securities company for professional institutions and individual investors to provide mature securities CTP quantitative trading platform, and for customers to provide free LEVEL2 market. For end customers, the use of CTP trading interface and market interface is free of charge, but requires a C + + or at least C # environment software development capabilities.
With the introduction of stock options, I believe that the future of China A-share securities market quantitative trading development prospects are very broad. Turn from: http://xueqiu.com/1578976770/28008951 recently many friends asked me about programmatic trading, but I found that the realization of programmatic trading tools, understanding is not enough, as the saying goes good its prerequisite, even if there are good strategic thinking, Unable to find the most suitable for their own programmatic trading solution, and can not be well implemented and implemented. I will take some time to share some of the things I know, I hope to help you understand.

Here is a discussion of the stock market and the stock index of the programmatic transaction, because this belongs to the most asked by friends, such as stock index analysis, through the stock index analysis to do stocks, or both hedging or arbitrage and so on.

Let's talk about the programmatic trading of stocks.

Now the brokerage system is related to the Exchange Ngts (Next Generation trading system), and the broker system is based on the Step Protocol (equivalent to the Inland Fix protocol). by Bdoi,broker Direct Open Interface (Broker development Interface) or BAP (Broker access point) two ways, through the Miss (Member Integration System server) with the step engine, access to Ngts for trading, The difference between bdoi and BAP is that the deployment location of the miss is not the same. Therefore, to achieve programmatic trading on the exchange, a system that must be passed is the brokerage system.

The current mainstream brokerage system has a gold card, Hang Seng, Kim Shi da, he is the broker built in the broker system structure is similar, roughly divided into the offer system, interface database, counter system three blocks. The interface of programmatic trading is usually the counter system that layer provides the broker private interface API and broker interface API two kinds.

Broker private Interface API is provided to third party financial software companies, through these interfaces, third-party software companies to develop the market software or trading software, for individual investors to use, such as access letter, flush, etc., some brokers will also provide this interface directly to the close relationship, relative professional individual programmatic investors use.

The Broker Interface API refers to the broker to encapsulate its interface, directly to the individual programmatic investors to use. In this way the add-in to the broker through the Access gateway, relatively secure a lot. It is also a way for brokers to provide programmatic trading services in a more mainstream manner. I am also ready to learn more about the interface services of several brokers, compare their pros and cons.

As for the offer interface API, it is generally impossible for individual users to use, it is possible only by the broker system provider and its third-party partners to develop jointly, such as Acer, Root network, soft days and other professional software companies, which is mainly for security reasons. Of course, as far as I know, there are also brokers to offer their offer to individual users, although this is illegal. As the theoretical closer to the exchange of the interface speed, more conducive to the operation of the programmatic trading system, so the broker may provide this interface to his close cooperation with large customers.

Then talk about the programmatic trading of stock index futures, link China Four Futures Exchange futures trading system mainly has the previous period technology CTP (integrated trading platform), Jin Shi da, esunny (main link zce) and so on. One of the easiest way to achieve programmatic trading is CTP. Since the CTP provides a fully open API interface, both individuals and third-party software companies can develop programmatic trading systems based on their API interfaces. But the trading seats still have to go through the futures brokerage company. As long as investors choose a CTP-based trading system of the futures Company, the use of CTP full open API interface, you can develop their own programmatic trading system. If the investor's trading ideas belong to high-frequency trading, the speed requirement is very high, it is necessary to choose the CTP trading system operation and maintenance of excellent, preferably provide server hosting services futures brokerage company.

In general, for the current programmatic trading of stocks and stock indices, the best choice for individual investors is to find a securities company that can provide the broker interface, get its trading interface API, and then find a CTP-based trading system of the futures Brokerage company, the full-open CTP market trading API, Can be programmed to implement their own strategic thinking. In addition, there are some literacy articles on the Internet that can be seen. The article about what the CTP is.
http://wenku.baidu.com/browse/downloadrec?doc_id=2ec50760a45177232f60a2f2&   heard that Warburg and Societe Generale have to start supporting the CTP, The bottom looks like some sort of related code. I have not seen it, and are interested in studying it together. There are. dll and. lib Windows libraries, as well as. So Linux dynamic libraries. Http://vdisk.weibo.com/s/GueBu?archive_ref=F0pzge50hOj2T&archive_path=%2FCTP Updated api20130304&category_id =0 also has a CTP source, it seems to be a good look. Have time to study under. Http://www.pudn.com/downloads569/sourcecode/app/detail2338149.html below this seems to be Societe Generale's official CTP page. Click on the "Quick trade" below to see the CTP related things.  //this seems to be more official Http://www.xyzq.com.cn/xyzq/jy/download/download.html industrial CTP JAVA API,    //did not download, nor see, Pure First collection. http://download.csdn.net/detail/zhugf000/8260579