证券交易复杂事件处理策略管理服务模块的设计与实现

摘要

Complex event processing is an important implementation algorithm of quantitative trading of securities,and has been widely applied in financial markets.Aiming at the efficiency problem of complex event processing pattern in traditional securities trading,in this paper we present a new design scheme for strategy management services module.The scheme encapsulates the standard data transmission interface to facilitate the transmission of strategy and control module data,provides system management methods according to three different levels of strategy,customers and examples,and abstracts a part of the functional code of the strategy and the code in regard to periphery programs interaction to strategy management service module,in addition eliminates the coupling between the algorithm strategy module and the control module as well.Experimental results show that the scheme proposed in this paper and its practice can effectively reduce the bandwidth utilisation,improve system resource utilisation,and can effectively improve the concurrent processing speed.%复杂事件处理是证券量化交易的一种重要的实现算法，在金融市场应用广泛。针对传统证券交易中复杂事件处理模式的效率问题，提出一种新的策略管理服务模块的设计方案。该方案封装标准的数据传输接口便于策略与控制模块的数据传输，提供按照策略、客户和实例三个不同层次的系统管理方法，以及将策略的部分功能代码及与外围程序交互的代码抽象到策略管理服务模块中，去除了算法策略模块和控制模块的耦合。实验结果表明，所提出和实践的方案可以有效降低带宽的使用率、提高系统资源利用率，并能有效提高并发处理速度。