CN110517148B - Control method, system and device for executing quantitative transaction strategy - Google Patents
Control method, system and device for executing quantitative transaction strategy Download PDFInfo
- Publication number
- CN110517148B CN110517148B CN201910801543.6A CN201910801543A CN110517148B CN 110517148 B CN110517148 B CN 110517148B CN 201910801543 A CN201910801543 A CN 201910801543A CN 110517148 B CN110517148 B CN 110517148B
- Authority
- CN
- China
- Prior art keywords
- transaction
- simulated
- real
- quantitative
- strategy
- Prior art date
- Legal status (The legal status is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the status listed.)
- Active
Links
Images
Classifications
-
- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
-
- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/06—Asset management; Financial planning or analysis
Abstract
The invention discloses a control method, a system and a device for executing a quantitative transaction strategy, wherein the method comprises the following steps: receiving configuration information of a quantitative trading strategy, wherein the configuration information at least comprises: measuring back parameters, simulated transaction conditions, simulated transaction parameters, real disk transaction conditions and real disk transaction parameters; controlling a quantitative transaction strategy to execute a retest operation according to the retest parameters to obtain a retest result; under the condition that the retest result meets the simulated transaction condition, controlling a quantitative transaction strategy to execute simulated transaction operation according to the simulated transaction parameters to obtain a simulated transaction result; and under the condition that the simulated transaction result meets the real-disk transaction condition, controlling a quantitative transaction strategy to execute real-disk transaction operation according to real-disk transaction parameters to obtain a real-disk transaction result. The invention realizes the aim of integrated automatic execution of strategy retest, simulated transaction and real disk transaction, reduces manual participation operation and improves the real disk transaction real-time performance.
Description
Technical Field
The invention relates to the technical field of computer software, in particular to a control method, a system and a device for executing a quantitative transaction strategy.
Background
This section is intended to provide a background or context to the embodiments of the invention that are recited in the claims. The description herein is not admitted to be prior art by inclusion in this section.
Quantitative trading refers to a method of conducting investment trading using a computing program. Because quantitative trading can avoid irrational investment decisions made due to human subjectivity, more and more investment users employ quantitative trading strategies to trade financial market products. However, the quality of a quantitative trading strategy directly relates to the loss of interest of an investment user, and therefore, before putting the quantitative trading strategy into real disk trading, the quantitative trading strategy is usually tested back or simulated trading test is carried out.
The existing quantitative transaction platform can provide functions of strategy writing, retest, transaction simulation and the like for a user, but after the user writes one transaction strategy, the retest or transaction simulation test of the strategy is often executed by multiple manual operations, test results are checked, and real disk transaction is carried out under the condition that the results are satisfactory. The whole process is time-consuming and labor-consuming, and due to the fact that market conditions change at any time, the timeliness of real disk transaction is affected by too long time consumed by strategy testing, so that investment users miss the best opportunity of putting strategies, and investment income is reduced.
Disclosure of Invention
The embodiment of the invention provides a control method for executing a quantitative transaction strategy, which is used for solving the technical problems that the prior quantitative transaction platform consumes too long time for backtesting and simulated transaction testing of the transaction strategy and influences the instantaneity of real disk transaction, and comprises the following steps: receiving configuration information of a quantitative trading strategy, wherein the configuration information at least comprises: measuring back parameters, simulated transaction conditions, simulated transaction parameters, real disk transaction conditions and real disk transaction parameters; controlling a quantitative transaction strategy to execute a retest operation according to the retest parameters to obtain a retest result; monitoring whether the retest result meets the simulated transaction condition, and controlling a quantitative transaction strategy to execute simulated transaction operation according to the simulated transaction parameters under the condition that the retest result meets the simulated transaction condition to obtain a simulated transaction result; and monitoring whether the simulated transaction result meets the real-disk transaction condition, and controlling a quantitative transaction strategy to execute the real-disk transaction operation according to the real-disk transaction parameters under the condition that the simulated transaction result meets the real-disk transaction condition to obtain the real-disk transaction result.
The embodiment of the invention also provides a control system for executing the quantitative transaction strategy, which is used for solving the technical problems that the prior quantitative transaction platform takes too long time for backtesting and simulated transaction testing of the transaction strategy and influences the instantaneity of real disk transaction, and comprises the following steps: the client is used for receiving configuration information of the quantitative trading strategy, wherein the configuration information at least comprises the following components: measuring back parameters, simulated transaction conditions, simulated transaction parameters, real disk transaction conditions and real disk transaction parameters; and the server is communicated with the client and is used for controlling the quantitative trading strategy to execute the backtesting operation according to the backtesting parameters to obtain a backtesting result, monitoring whether the backtesting result meets the simulated trading conditions, controlling the quantitative trading strategy to execute the simulated trading operation according to the simulated trading parameters under the condition that the backtesting result meets the simulated trading conditions to obtain a simulated trading result, monitoring whether the simulated trading result meets the real-disk trading conditions, and controlling the quantitative trading strategy to execute the real-disk trading operation according to the real-disk trading parameters under the condition that the simulated trading result meets the real-disk trading conditions to obtain the real-disk trading result.
The embodiment of the invention also provides a control device for executing the quantitative transaction strategy, which is used for solving the technical problems that the prior quantitative transaction platform takes too long time for backtesting and simulated transaction testing of the transaction strategy and influences the real disk transaction instantaneity, and comprises the following components: the configuration module is used for receiving configuration information of the quantitative transaction strategy, wherein the configuration information at least comprises the following components: measuring back parameters, simulated transaction conditions, simulated transaction parameters, real disk transaction conditions and real disk transaction parameters; the backtesting module is used for controlling the quantitative transaction strategy to execute the backtesting operation according to the backtesting parameters to obtain a backtesting result; the simulation transaction module is used for monitoring whether the retest result meets the simulation transaction condition and controlling the quantitative transaction strategy to execute the simulation transaction operation according to the simulation transaction parameters under the condition that the retest result meets the simulation transaction condition to obtain a simulation transaction result; and the real-disk transaction module is used for monitoring whether the simulated transaction result meets the real-disk transaction condition and controlling the quantitative transaction strategy to execute the real-disk transaction operation according to the real-disk transaction parameters under the condition that the simulated transaction result meets the real-disk transaction condition so as to obtain the real-disk transaction result.
The embodiment of the invention also provides computer equipment, which is used for solving the technical problems that the transaction strategy retest and the simulated transaction test of the existing quantitative transaction platform are too long in time consumption and the real disk transaction instantaneity is influenced.
The embodiment of the invention also provides a computer readable storage medium, which is used for solving the technical problems that the timeliness of real disk transaction is influenced by overlong time consumption of backtesting and simulated transaction testing of the transaction strategy of the existing quantitative transaction platform.
In the embodiment of the invention, the return test parameters, the simulated transaction conditions, the simulated transaction parameters, the real disk transaction conditions and the real disk transaction parameters of the quantitative transaction strategy are configured in advance, after the quantitative transaction strategy is controlled to execute the return test operation according to the preconfigured return test parameters, whether the return test result meets the preconfigured simulated transaction conditions is monitored, under the condition that the return test result meets the preconfigured simulated transaction conditions, the quantitative transaction strategy is controlled to execute the simulated transaction operation according to the preconfigured simulated transaction parameters, whether the simulated transaction result meets the preconfigured real disk transaction conditions is monitored, and under the condition that the simulated transaction result meets the real disk transaction conditions, the quantitative transaction strategy is controlled to execute the real disk transaction operation according to the real disk transaction parameters.
By the embodiment of the invention, the aim of integrated automatic execution of strategy retest, simulated transaction and real disk transaction is fulfilled, the strategy with the test result meeting the conditions can be put into the real disk transaction as soon as possible, the manual participation operation is reduced, and the real-time performance of the real disk transaction is improved. In the embodiment of the invention, the strategy that the retest result and the simulated transaction result both meet the conditions can be used for real-disk transaction, so that the investment risk of the real-disk transaction is greatly reduced.
Drawings
In order to more clearly illustrate the embodiments of the present invention or the technical solutions in the prior art, the drawings used in the description of the embodiments or the prior art will be briefly described below, it is obvious that the drawings in the following description are only some embodiments of the present invention, and for those skilled in the art, other drawings can be obtained according to the drawings without creative efforts. In the drawings:
FIG. 1 is a schematic diagram of a control system for quantifying transaction policy enforcement in accordance with an embodiment of the present invention;
FIG. 2 is a flowchart of a control method for quantifying transaction policy enforcement in accordance with an embodiment of the present invention;
FIG. 3 is a flow chart of an alternative business process for quantifying transaction policy enforcement provided in embodiments of the present invention;
FIG. 4 is a system architecture diagram of an alternative quantitative trading platform provided in embodiments of the present invention;
FIG. 5 is a schematic diagram of a client-side operation interface of an alternative policy producer provided in an embodiment of the present invention;
FIG. 6 is a schematic diagram of an optional client-side operation interface of a policy subscriber provided in an embodiment of the present invention;
FIG. 7 is a diagram illustrating a control apparatus for quantifying transaction policy execution according to an embodiment of the present invention.
Detailed Description
In order to make the objects, technical solutions and advantages of the embodiments of the present invention more apparent, the embodiments of the present invention are further described in detail below with reference to the accompanying drawings. The exemplary embodiments and descriptions of the present invention are provided to explain the present invention, but not to limit the present invention.
In the description of the present specification, the terms "comprising," "including," "having," "containing," and the like are used in an open-ended fashion, i.e., to mean including, but not limited to. Reference to the description of the terms "one embodiment," "a particular embodiment," "some embodiments," "for example," etc., means that a particular feature, structure, or characteristic described in connection with the embodiment or example is included in at least one embodiment or example of the application. In this specification, the schematic representations of the terms used above do not necessarily refer to the same embodiment or example. Furthermore, the particular features, structures, or characteristics described may be combined in any suitable manner in any one or more embodiments or examples. The sequence of steps involved in the embodiments is for illustrative purposes to illustrate the implementation of the present application, and the sequence of steps is not limited and can be adjusted as needed.
An embodiment of the present invention provides a control system for quantifying execution of a transaction policy, and fig. 1 is a schematic diagram of a control system for quantifying execution of a transaction policy provided in an embodiment of the present invention, as shown in fig. 1, the system includes: a client 101 and a server 102.
The client 101 is configured to receive configuration information of a quantitative transaction policy, where the configuration information at least includes: measuring back parameters, simulated transaction conditions, simulated transaction parameters, real disk transaction conditions and real disk transaction parameters;
and the server 102 is communicated with the client 101 and is used for controlling the quantitative trading strategy to execute the backtesting operation according to the backtesting parameters to obtain a backtesting result, monitoring whether the backtesting result meets the simulated trading conditions, controlling the quantitative trading strategy to execute the simulated trading operation according to the simulated trading parameters under the condition that the backtesting result meets the simulated trading conditions to obtain a simulated trading result, monitoring whether the simulated trading result meets the real trading conditions, and controlling the quantitative trading strategy to execute the real trading operation according to the real trading parameters under the condition that the simulated trading result meets the real trading conditions to obtain the real trading result.
It should be noted that the client 101 may be, but is not limited to, any terminal of a mobile phone, a tablet computer, a notebook computer, a computer, and the like; the server 102 can be used to implement functions of backtesting of quantitative transaction policies, simulated transactions, real disk transactions, and the like, and these functions may be implemented by one server or by cooperation of multiple servers.
As a preferred implementation manner, in the control system for implementing the quantitative trading strategy provided by the embodiment of the present invention, the client 101 is further configured to display a visual configuration interface, and receive configuration information of the quantitative trading strategy input by a user through the visual configuration interface.
Because the quantitative trading strategy is realized through a section of computer program, if the quantitative trading strategy is established through a code writing mode, the technical threshold is higher, so that many investment users cannot realize the establishment of the strategy. Therefore, in the control system for executing the quantitative transaction policy provided in the embodiment of the present invention, a policy visual configuration interface may also be provided by the client 101, so that, as an optional implementation manner, the client 101 is further configured to receive the transaction condition input by the user through the visual configuration interface, at least one policy index, and policy parameters such as an index value corresponding to each policy index, so as to generate the quantitative transaction policy according to the policy parameters configured by the user.
For a user who has configured or subscribed to the quantitative trading strategy, the quantitative trading strategy to be executed can be selected directly through a visual configuration interface provided by the client 101.
Because the data adopted by the strategy retest is historical market data and the data adopted by the strategy simulation transaction is real-time market data, in an optional embodiment, in the control system for executing the quantitative transaction strategy provided by the embodiment of the invention, the server 102 is also used for collecting the real-time market data; storing the real-time market quotation data in a Redis database; and storing the historical market quotation data in a time sequence database or a relational database in a partitioning mode.
Optionally, the above-mentioned back-measurement parameters may at least include: in the time period of the return measurement, in the control system for executing the quantitative transaction policy provided in the embodiment of the present invention, the server 102 is further configured to obtain market quotation data in the time period of the return measurement from the time series database or the relational database according to the time period of the return measurement; and inputting market quotation data in the return measurement time period to a quantitative transaction strategy one by one in a message queue mode to obtain a return measurement result.
It should be noted that, since the policy backtesting is performed on the historical market data in the accessed data backtesting time period, the policy backtesting is automatically stopped after the execution of one backtesting time period, and the simulated transaction test is performed on the real-time market data accessed by the simulated transaction, if the policy backtesting is not stopped. In order to implement automatic interruption of the simulated transaction test, the simulated transaction parameters configured in the embodiment of the present invention may at least include: if the simulation running time is long, the server 102 can input the real-time market quotation data stored in the Redis database into a quantitative trading strategy under the condition that the retest result meets the simulated trading condition; and recording the running time of the quantitative trading strategy, and stopping the quantitative trading strategy to obtain a simulated trading result under the condition that the running time of the quantitative trading strategy reaches the simulated running time.
As can be seen from the above, the control system for executing the quantitative transaction policy provided in the embodiment of the present invention receives configuration information, such as the backtesting parameter, the simulated transaction condition, the simulated transaction parameter, the real transaction condition, and the real transaction parameter, of the quantitative transaction policy configured by the user through the client 101, and sends the configuration information to the server 102, the server 102 controls the quantitative transaction policy to execute the backtesting operation according to the configured backtesting parameter, and monitors whether the backtesting result satisfies the preconfigured simulated transaction condition, and controls the quantitative transaction policy to execute the simulated transaction operation according to the preconfigured simulated transaction parameter under the condition that the backtesting result satisfies the preconfigured simulated transaction condition, and then monitors whether the simulated transaction result satisfies the preconfigured real transaction condition, and according to the real transaction parameter under the condition that the simulated transaction result satisfies the real transaction condition, and controlling the quantitative trading strategy to execute real-disk trading operation.
The control system for executing the quantitative transaction strategy provided by the embodiment of the invention realizes the aim of integrated automatic execution of strategy retest, simulated transaction and real disk transaction, can put the strategy with the test result meeting the conditions into the real disk transaction as soon as possible, reduces manual participation operation and improves the real-time performance of the real disk transaction. In the embodiment of the invention, the strategy that the retest result and the simulated transaction result both meet the conditions can be used for real-disk transaction, so that the investment risk of the real-disk transaction is greatly reduced.
Optionally, the configuration information further includes: risk control conditions and risk control parameters; therefore, in an optional embodiment, in the control system for executing the quantitative transaction policy provided in the embodiment of the present invention, the server 102 is further configured to monitor whether the real transaction result satisfies a risk control condition, and execute risk control on the quantitative transaction policy according to the risk control parameter when the real transaction result satisfies the risk control condition.
Based on the same inventive concept, the embodiment of the present invention further provides a control method for implementing a quantitative transaction policy, fig. 2 is a flowchart of the control method for implementing the quantitative transaction policy provided in the embodiment of the present invention, and as shown in fig. 2, the method includes the following steps:
s201, receiving configuration information of a quantitative transaction strategy, wherein the configuration information at least comprises: the method comprises the steps of backtesting parameters, simulated transaction conditions, simulated transaction parameters, real disk transaction conditions and real disk transaction parameters.
It should be noted that, in the embodiment of the present invention, the quantitative transaction policy may be, but is not limited to, a transaction policy of a financial market product, a policy written by computer program code, a policy configured by a visualization configuration tool, or a policy of subscription. The measure-back parameter may include, but is not limited to, a measure-back period; the simulated transaction parameters may include, but are not limited to, a policy simulated transaction run length; real disk trading parameters may include, but are not limited to, invested capital, strategic real disk trading operational hours; the simulated transaction condition may be a condition that needs to be met by the retest result when the simulated transaction operation is automatically performed (for example, the retest is performed for a preset number of times, and in the retest result, the retest probability that the profitability is higher than the first preset profitability threshold is greater than the first preset probability threshold); the real-disk transaction condition may be a condition that the simulated transaction result is required to be satisfied when the real-disk transaction operation is automatically executed (for example, a preset number of simulated transactions are executed, and in the simulated transaction result, the transaction probability that the profitability is higher than the second preset profitability threshold is greater than the second preset probability threshold).
Because the data adopted by the strategy retest is historical market quotation data and the data adopted by the strategy simulation transaction is real-time market quotation data, in an optional embodiment, the control method for quantifying the execution of the transaction strategy provided by the embodiment of the invention can further comprise the following steps: collecting real-time market quotation data; storing the real-time market quotation data in a Redis database; and storing the historical market quotation data in a time sequence database or a relational database in a partitioning mode.
And S202, controlling the quantitative transaction strategy to execute a retest operation according to the retest parameters to obtain a retest result.
Specifically, S202 described above is implemented by the following steps: according to the time period of the return test, market quotation data in the time period of the return test are obtained from a time sequence database or a relational database; and inputting market quotation data in the return measurement time period to a quantitative transaction strategy one by one in a message queue mode to obtain a return measurement result.
S203, monitoring whether the retest result meets the simulated transaction condition, and controlling the quantitative transaction strategy to execute the simulated transaction operation according to the simulated transaction parameters under the condition that the retest result meets the simulated transaction condition to obtain a simulated transaction result.
Specifically, S203 described above is implemented by the following steps: under the condition that the retest result meets the simulated trading condition, inputting the real-time market quotation data stored in the Redis database into a quantitative trading strategy; and recording the running time of the quantitative trading strategy, and stopping the quantitative trading strategy to obtain a simulated trading result under the condition that the running time of the quantitative trading strategy reaches the simulated running time.
And S204, monitoring whether the simulated transaction result meets the real-disk transaction condition, and controlling a quantitative transaction strategy to execute real-disk transaction operation according to real-disk transaction parameters under the condition that the simulated transaction result meets the real-disk transaction condition to obtain a real-disk transaction result.
Since market data is random, even if the return test and the simulation trading result both meet the conditions, there is a lot of uncertainty when executing the real-disk trading, so as to reduce the risk of automatically executing the strategic real-disk trading, after S204, it is also possible to monitor whether the real-disk trading result meets the risk control conditions (including but not limited to a stop-loss condition, a stop-filling condition, etc.), and execute the risk control on the quantitative trading strategy according to the risk control parameters (including but not limited to a withdrawal capital proportion) when the real-disk trading result meets the risk control conditions.
It should be noted that the solutions provided by the above S201 to 204 may be applied to, but not limited to, the control system for quantifying the execution of the transaction policy shown in fig. 1, and it should be noted that the solutions provided by the above S201 to 204 may be executed on the client (more secure) or the server (reduce the hardware requirement of the client); when running on the client, real-time market data will need to be obtained from the server.
As can be seen from the above, in the control method for executing the quantitative transaction policy provided in the embodiment of the present invention, the retest parameter, the simulated transaction condition, the simulated transaction parameter, the real transaction condition, and the real transaction parameter of the quantitative transaction policy are configured in advance, after the retest operation is executed according to the quantitative transaction policy controlled by the preconfigured retest parameter, whether the retest result satisfies the preconfigured simulated transaction condition is monitored, and in the case that the retest result satisfies the preconfigured simulated transaction condition, the quantitative transaction policy is controlled according to the preconfigured simulated transaction parameter to execute the simulated transaction operation, whether the simulated transaction result satisfies the preconfigured real transaction condition is monitored, and in the case that the simulated transaction result satisfies the real transaction condition, the quantitative transaction policy is controlled according to the real transaction parameter to execute the real transaction operation.
The control method for executing the quantitative transaction strategy provided by the embodiment of the invention realizes the aim of integrated automatic execution of strategy retest, simulated transaction and real disk transaction, can put the strategy with the test result meeting the conditions into the real disk transaction as soon as possible, reduces manual participation operation and improves the real-time performance of the real disk transaction. In the embodiment of the invention, the strategy that the retest result and the simulated transaction result both meet the conditions can be used for real-disk transaction, so that the investment risk of the real-disk transaction is greatly reduced.
For example, fig. 3 is a business flow diagram for optional execution of a quantitative transaction policy provided in an embodiment of the present invention, and as shown in fig. 3, for a policy producer, after the policy producer creates a transaction policy by way of code writing or visual configuration, by using the control method for executing the quantitative transaction policy provided in an embodiment of the present invention, corresponding historical market quotation data can be obtained according to a preconfigured retest parameter, policy retest is executed, and in a case that a retest result is monitored to satisfy a preconfigured simulated transaction condition, real-time market quotation data is obtained according to a preconfigured simulated transaction parameter, a policy simulated transaction test is executed, and in a case that a simulated transaction result is monitored to satisfy a real-disk transaction condition, a transaction policy is released to a real disk to perform real disk transaction. In order to further reduce the real disk transaction risk, when the transaction strategy is put on the real disk to perform the real disk transaction, the transaction strategy may also be subjected to risk control according to pre-configured risk control conditions (for example, various damage stop conditions or interference stop conditions are set).
Preferably, the strategy return test result, the simulation trading result, the real disk trading result and the risk control result can be fed back to the strategy producer, so that the strategy producer can analyze the strategy.
Fig. 4 is a system architecture diagram of an alternative quantitative transaction platform provided in an embodiment of the present invention, as shown in fig. 4, the quantitative transaction platform includes: the system comprises a front end, a test system and a production system, wherein the front end is used for configuring information such as strategy parameters, backtesting parameters, simulated transaction conditions, simulated transaction parameters, real disk transaction conditions, real disk transaction parameters, risk control conditions, risk control parameters and the like by a user. The test system part generates a to-be-executed transaction strategy according to strategy parameters configured by a user or directly acquires the to-be-executed transaction strategy selected by the user; acquiring corresponding historical market quotation data (stored in a time sequence database or a relational database in a partitioning mode) according to the retest parameters configured by a user, executing strategy retest, acquiring real-time market quotation data (stored in a Redis database) according to the simulated transaction parameters configured by the user under the condition that a retest result meets the preset simulated transaction conditions, executing strategy simulated transaction test, and putting the transaction strategy into a production system to carry out real-disk transaction under the condition that the simulated transaction result meets the real-disk transaction conditions. And when the transaction strategy executes the real disk transaction in the production system, performing risk control on the transaction strategy according to the risk control condition configured by the user. In addition, the test system displays the contents of the return test result, the simulated transaction result, the real disk transaction result, the risk control result and the like of the strategy through the front-end part in real time or at regular time.
In order to reduce the technical threshold, in the embodiment of the present invention, the configuration information of the quantitative trading strategy may be input in a visual configuration manner, so that, as an optional embodiment, before the step S201, the control method for executing the quantitative trading strategy provided in the embodiment of the present invention may further include: displaying a visual configuration interface; in S201, configuration information for quantifying the trading strategy, which is input by the user through the visual configuration interface, may be received.
Fig. 5 and fig. 6 are two client operation interfaces provided by an embodiment of the present invention, where the client operation interface shown in fig. 5 includes a policy visualization configuration area, and supports the whole process of policy configuration, retest, simulation transaction and real disk transaction; the client operation interface shown in fig. 6 does not need a user to configure a policy, supports the user to select an existing policy (configured or subscribed policy), and supports the whole process of policy backtesting, simulation transaction and real disk transaction.
As a first optional implementation manner, in a case that the visual configuration interface is a configuration interface of a policy producer, after the visual configuration interface is displayed, the control method for quantifying execution of a trading policy provided by the embodiment of the present invention may further include: receiving strategy parameters input by a user through a visual configuration interface, wherein the strategy parameters are used for generating a quantitative transaction strategy, and the strategy parameters comprise: the transaction condition, at least one strategy index and the index value corresponding to each strategy index.
As a second optional implementation manner, in a case that the visual configuration interface is a configuration interface of a policy subscriber, after the visual configuration interface is displayed, the control method for quantifying execution of a transaction policy provided by the embodiment of the present invention may further include: and receiving the quantitative transaction strategy selected by the user through the visual configuration interface.
Based on the same inventive concept, the embodiment of the present invention further provides a control device for quantifying the execution of the transaction policy, as described in the following embodiments. Because the principle of solving the problem of the embodiment of the device is similar to the control method for executing the quantitative trading strategy, the implementation of the embodiment of the device can refer to the implementation of the method, and repeated parts are not described again.
Fig. 7 is a schematic diagram of a control apparatus for quantifying transaction policy execution according to an embodiment of the present invention, as shown in fig. 7, the apparatus includes: a configuration module 71, a retest module 72, a simulated transaction module 73, and a real disk transaction module 74.
The configuration module 71 is configured to receive configuration information of a quantitative transaction policy, where the configuration information at least includes: measuring back parameters, simulated transaction conditions, simulated transaction parameters, real disk transaction conditions and real disk transaction parameters; the backtesting module 72 is used for controlling the quantitative transaction strategy to execute the backtesting operation according to the backtesting parameters to obtain a backtesting result; the simulated transaction module 73 is used for monitoring whether the return test result meets the simulated transaction condition, and controlling the quantitative transaction strategy to execute simulated transaction operation according to the simulated transaction parameters under the condition that the return test result meets the simulated transaction condition to obtain a simulated transaction result; and the real disk transaction module 74 is configured to monitor whether the simulated transaction result meets the real disk transaction condition, and control the quantitative transaction policy to execute the real disk transaction operation according to the real disk transaction parameters under the condition that the simulated transaction result meets the real disk transaction condition, so as to obtain the real disk transaction result.
As can be seen from the above, the control device for executing the quantitative transaction policy according to the embodiment of the present invention receives configuration information such as a backtesting parameter, a simulated transaction condition, a simulated transaction parameter, an actual transaction condition, and an actual transaction parameter of a pre-configured quantitative transaction policy through the configuration module 71, controls the quantitative transaction policy to execute a backtesting operation according to the pre-configured backtesting parameter through the backtesting module 72, monitors whether a backtesting result satisfies the pre-configured simulated transaction condition through the simulated transaction module 73, controls the quantitative transaction policy to execute the simulated transaction operation according to the pre-configured simulated transaction parameter when the backtesting result satisfies the pre-configured simulated transaction condition, monitors whether a simulated transaction result satisfies the pre-configured actual transaction condition through the actual transaction module 74, and when the simulated transaction result satisfies the actual transaction condition, and controlling a quantitative trading strategy to execute real-disk trading operation according to the real-disk trading parameters.
By the embodiment of the invention, the aim of integrated automatic execution of strategy retest, simulated transaction and real disk transaction is fulfilled, the strategy with the test result meeting the conditions can be put into the real disk transaction as soon as possible, the manual participation operation is reduced, and the real-time performance of the real disk transaction is improved. In the embodiment of the invention, the strategy that the retest result and the simulated transaction result both meet the conditions can be used for real-disk transaction, so that the investment risk of the real-disk transaction is greatly reduced.
Optionally, the configuration information further includes: risk control conditions and risk control parameters; therefore, in an alternative embodiment, the control device for quantifying execution of a transaction policy according to an embodiment of the present invention may further include: and the risk control module 75 is configured to monitor whether the real-disk transaction result meets a risk control condition, and execute risk control on the quantitative transaction policy according to the risk control parameter under the condition that the real-disk transaction result meets the risk control condition.
In an optional embodiment, the control device for quantifying execution of a transaction policy according to an embodiment of the present invention may further include: a data acquisition module 76 for acquiring real-time market data; and the data storage module 77 is configured to store the real-time market quotation data in a Redis database, and store the historical market quotation data in a time sequence database, or store the historical market quotation data in a relational database in a partition manner.
Optionally, the back-measurement parameters include: the time measuring period is measured again, and therefore, in an alternative embodiment, in the control device for implementing the quantitative trading strategy provided by the embodiment of the present invention, the measuring module 72 is further configured to obtain market data in the measuring period from the time sequence database or the relational database according to the measuring period; and inputting market quotation data in the return measurement time period to a quantitative transaction strategy one by one in a message queue mode to obtain a return measurement result.
Optionally, the simulated transaction parameters include: therefore, in an optional embodiment, in the control device for implementing the quantitative trading strategy provided in the embodiment of the present invention, the simulated trading module 73 is further configured to input the real-time market quotation data stored in the Redis database to the quantitative trading strategy when the retest result meets the simulated trading condition; and recording the running time of the quantitative trading strategy, and stopping the quantitative trading strategy to obtain a simulated trading result under the condition that the running time of the quantitative trading strategy reaches the simulated running time.
Based on any one of the above optional apparatus embodiments, as an optional embodiment, the control apparatus for quantifying transaction policy execution provided in the embodiment of the present invention may further include: a display module 78 for displaying a visual configuration interface; the configuration module 71 is further configured to receive configuration information of the quantified transaction policy, which is input by a user through the visual configuration interface.
Optionally, based on the foregoing embodiment, as an optional implementation manner, when the control device for implementing the quantitative transaction policy provided by the embodiment of the present invention is used for a policy producer, the configuration module 71 is further configured to receive a policy parameter input by a user through a visual configuration interface, where the policy parameter is used to generate the quantitative transaction policy, and the policy parameter includes: the transaction condition, at least one strategy index and the index value corresponding to each strategy index.
Optionally, based on the foregoing embodiment, as another optional implementation manner, when the control device for quantifying transaction policy execution provided in the embodiment of the present invention is used for a policy subscriber, the configuration module 71 is further configured to receive a quantified transaction policy selected by a user through a visual configuration interface.
The embodiment of the invention also provides computer equipment, which is used for solving the technical problems that the transaction strategy retest and the simulated transaction test of the existing quantitative transaction platform are too long in time consumption and the real disk transaction instantaneity is influenced.
The embodiment of the invention also provides a computer readable storage medium, which is used for solving the technical problems that the timeliness of real disk transaction is influenced by overlong time consumption of backtesting and simulated transaction testing of the transaction strategy of the existing quantitative transaction platform.
In summary, embodiments of the present invention provide a control method, a system, an apparatus, a computer device, and a computer storage medium for quantifying transaction policy execution, which can implement policy backtesting, simulation transaction, and automatic execution of real disk transaction by configuring parameters in advance, and can implement fast transaction, improve transaction efficiency, and reduce transaction risk. In order to prevent the risk caused by the automatic execution of the policy, the embodiment of the invention also provides risk control on real disk transaction. In addition, visual strategy configuration is provided, so that the strategy compiling, retesting, simulated transaction and automatic execution of real disk transaction are realized, the strategy compiling difficulty is reduced, and the user experience is greatly improved.
As will be appreciated by one skilled in the art, embodiments of the present invention may be provided as a method, system, or computer program product. Accordingly, the present invention may take the form of an entirely hardware embodiment, an entirely software embodiment or an embodiment combining software and hardware aspects. Furthermore, the present invention may take the form of a computer program product embodied on one or more computer-usable storage media (including, but not limited to, disk storage, CD-ROM, optical storage, and the like) having computer-usable program code embodied therein.
The present invention is described with reference to flowchart illustrations and/or block diagrams of methods, apparatus (systems), and computer program products according to embodiments of the invention. It will be understood that each flow and/or block of the flow diagrams and/or block diagrams, and combinations of flows and/or blocks in the flow diagrams and/or block diagrams, can be implemented by computer program instructions. These computer program instructions may be provided to a processor of a general purpose computer, special purpose computer, embedded processor, or other programmable data processing apparatus to produce a machine, such that the instructions, which execute via the processor of the computer or other programmable data processing apparatus, create means for implementing the functions specified in the flowchart flow or flows and/or block diagram block or blocks.
These computer program instructions may also be stored in a computer-readable memory that can direct a computer or other programmable data processing apparatus to function in a particular manner, such that the instructions stored in the computer-readable memory produce an article of manufacture including instruction means which implement the function specified in the flowchart flow or flows and/or block diagram block or blocks.
These computer program instructions may also be loaded onto a computer or other programmable data processing apparatus to cause a series of operational steps to be performed on the computer or other programmable apparatus to produce a computer implemented process such that the instructions which execute on the computer or other programmable apparatus provide steps for implementing the functions specified in the flowchart flow or flows and/or block diagram block or blocks.
The above-mentioned embodiments are intended to illustrate the objects, technical solutions and advantages of the present invention in further detail, and it should be understood that the above-mentioned embodiments are only exemplary embodiments of the present invention, and are not intended to limit the scope of the present invention, and any modifications, equivalent substitutions, improvements and the like made within the spirit and principle of the present invention should be included in the scope of the present invention.
Claims (11)
1. A control method for quantifying trading strategy execution, comprising:
receiving configuration information quantifying a trading strategy, wherein the configuration information at least comprises: measuring back parameters, simulated transaction conditions, simulated transaction parameters, real disk transaction conditions and real disk transaction parameters;
controlling the quantitative transaction strategy to execute a retest operation according to the retest parameter to obtain a retest result;
monitoring whether the retest result meets the simulated transaction condition, and controlling the quantitative transaction strategy to execute simulated transaction operation according to the simulated transaction parameter under the condition that the retest result meets the simulated transaction condition to obtain a simulated transaction result;
monitoring whether the simulated transaction result meets the real-disk transaction condition, and controlling the quantitative transaction strategy to execute real-disk transaction operation according to the real-disk transaction parameters under the condition that the simulated transaction result meets the real-disk transaction condition to obtain a real-disk transaction result;
the method further comprises the following steps: collecting real-time market quotation data; storing the real-time market quotation data in a Redis database; storing the historical market quotation data in a time sequence database or a relational database in a partitioning mode;
the back measurement parameters comprise: the time period of the test-back, wherein the quantitative transaction strategy is controlled to execute the test-back operation according to the test-back parameter, and a test-back result is obtained, which comprises: according to the time period of the time response, market quotation data in the time period of the time response are obtained from a time sequence database or the relational database; inputting market quotation data in the time measuring period into the quantitative trading strategy one by one in a message queue mode to obtain measuring results;
the simulated transaction parameters include: simulating the running time, wherein under the condition that the return test result meets the simulated transaction condition, controlling the quantitative transaction strategy to execute simulated transaction operation according to the simulated transaction parameters to obtain a simulated transaction result, and the simulating comprises the following steps: under the condition that the retest result meets the simulated trading condition, inputting real-time market quotation data stored in the Redis database into the quantitative trading strategy; and recording the running time of the quantitative trading strategy, and stopping the quantitative trading strategy to obtain a simulated trading result under the condition that the running time of the quantitative trading strategy reaches the simulated running time length.
2. The method of claim 1, wherein the configuration information further comprises: risk control conditions and risk control parameters; under the condition that the simulated transaction result meets the real disk transaction condition, the method controls the quantitative transaction strategy to execute real disk transaction operation according to the real disk transaction parameters, and after a real disk transaction result is obtained, the method further comprises the following steps:
and monitoring whether the real-disk transaction result meets a risk control condition, and executing risk control on the quantitative transaction strategy according to the risk control parameter under the condition that the real-disk transaction result meets the risk control condition.
3. The method of claim 1 or 2, wherein prior to receiving configuration information quantifying a trading strategy, the method further comprises:
displaying a visual configuration interface;
wherein, receiving configuration information of the quantitative transaction strategy comprises: and receiving configuration information of the quantitative transaction strategy input by a user through the visual configuration interface.
4. The method of claim 3, wherein the method further comprises:
receiving a policy parameter input by a user through the visual configuration interface, wherein the policy parameter is used for generating the quantitative transaction policy, and the policy parameter comprises: the transaction condition, at least one strategy index and the index value corresponding to each strategy index.
5. The method of claim 3, wherein the method further comprises:
and receiving a quantitative transaction strategy selected by a user through the visual configuration interface.
6. A control system for quantifying transactional policy enforcement, comprising:
the client is used for receiving configuration information of a quantitative trading strategy, wherein the configuration information at least comprises: measuring back parameters, simulated transaction conditions, simulated transaction parameters, real disk transaction conditions and real disk transaction parameters;
the server is communicated with the client and is used for controlling the quantitative trading strategy to execute the backtesting operation according to the backtesting parameters to obtain a backtesting result, monitoring whether the backtesting result meets the simulated trading conditions, controlling the quantitative trading strategy to execute the simulated trading operation according to the simulated trading parameters under the condition that the backtesting result meets the simulated trading conditions to obtain a simulated trading result, monitoring whether the simulated trading result meets the real disk trading conditions, and controlling the quantitative trading strategy to execute the real disk trading operation according to the real disk trading parameters under the condition that the simulated trading result meets the real disk trading conditions to obtain a real disk trading result; collecting real-time market quotation data; storing the real-time market quotation data in a Redis database; storing the historical market quotation data in a time sequence database or a relational database in a partitioning mode; the back measurement parameters comprise: the time period of the test-back, wherein the quantitative transaction strategy is controlled to execute the test-back operation according to the test-back parameter, and a test-back result is obtained, which comprises: according to the time period of the time response, market quotation data in the time period of the time response are obtained from a time sequence database or the relational database; inputting market quotation data in the time measuring period into the quantitative trading strategy one by one in a message queue mode to obtain measuring results; the simulated transaction parameters include: simulating the running time, wherein under the condition that the return test result meets the simulated transaction condition, controlling the quantitative transaction strategy to execute simulated transaction operation according to the simulated transaction parameters to obtain a simulated transaction result, and the simulating comprises the following steps: under the condition that the retest result meets the simulated trading condition, inputting real-time market quotation data stored in the Redis database into the quantitative trading strategy; and recording the running time of the quantitative trading strategy, and stopping the quantitative trading strategy to obtain a simulated trading result under the condition that the running time of the quantitative trading strategy reaches the simulated running time length.
7. A control apparatus for quantifying transactional policy enforcement, comprising:
a configuration module, configured to receive configuration information quantifying a trading strategy, wherein the configuration information at least comprises: measuring back parameters, simulated transaction conditions, simulated transaction parameters, real disk transaction conditions and real disk transaction parameters;
the backtesting module is used for controlling the quantitative transaction strategy to execute a backtesting operation according to the backtesting parameters to obtain a backtesting result;
the simulated transaction module is used for monitoring whether the retest result meets the simulated transaction condition and controlling the quantitative transaction strategy to execute simulated transaction operation according to the simulated transaction parameters under the condition that the retest result meets the simulated transaction condition so as to obtain a simulated transaction result;
the real-disk transaction module is used for monitoring whether the simulated transaction result meets the real-disk transaction condition and controlling the quantitative transaction strategy to execute real-disk transaction operation according to the real-disk transaction parameters under the condition that the simulated transaction result meets the real-disk transaction condition so as to obtain a real-disk transaction result;
the device further comprises: the data acquisition module is used for acquiring real-time market quotation data; the data storage module is used for storing the real-time market quotation data in a Redis database, and storing the historical market quotation data in a time sequence database or a relational database in a partitioning mode;
the back measurement parameters comprise: the backtesting module is also used for acquiring market quotation data in the backtesting time period from the time sequence database or the relational database according to the backtesting time period; inputting market quotation data in the return measurement time period to a quantitative transaction strategy one by one in a message queue mode to obtain a return measurement result;
the simulated transaction parameters include: the simulation operation duration is long, and the simulation trading module is further used for inputting the real-time market quotation data stored in the Redis database into a quantitative trading strategy under the condition that the retest result meets the simulation trading condition; and recording the running time of the quantitative trading strategy, and stopping the quantitative trading strategy to obtain a simulated trading result under the condition that the running time of the quantitative trading strategy reaches the simulated running time.
8. The apparatus of claim 7, wherein the configuration information further comprises: risk control conditions and risk control parameters; the device further comprises:
and the risk control module is used for monitoring whether the real-disk transaction result meets a risk control condition and executing risk control on the quantitative transaction strategy according to the risk control parameter under the condition that the real-disk transaction result meets the risk control condition.
9. The apparatus of claim 8, wherein the apparatus further comprises:
the display module is used for displaying a visual configuration interface;
the configuration module is further used for receiving configuration information of the quantitative transaction strategy input by a user through the visual configuration interface.
10. A computer device comprising a memory, a processor and a computer program stored on the memory and executable on the processor, wherein the processor implements a method of controlling execution of a quantitative transaction policy according to any one of claims 1 to 5 when executing the computer program.
11. A computer-readable storage medium storing a computer program for executing the method of controlling execution of a quantitative transaction policy according to any one of claims 1 to 5.
Priority Applications (1)
| Application Number | Priority Date | Filing Date | Title |
|---|---|---|---|
| CN201910801543.6A CN110517148B (en) | 2019-08-28 | 2019-08-28 | Control method, system and device for executing quantitative transaction strategy |
Applications Claiming Priority (1)
| Application Number | Priority Date | Filing Date | Title |
|---|---|---|---|
| CN201910801543.6A CN110517148B (en) | 2019-08-28 | 2019-08-28 | Control method, system and device for executing quantitative transaction strategy |
Publications (2)
| Publication Number | Publication Date |
|---|---|
| CN110517148A CN110517148A (en) | 2019-11-29 |
| CN110517148B true CN110517148B (en) | 2022-04-29 |
Family
ID=68628685
Family Applications (1)
| Application Number | Title | Priority Date | Filing Date |
|---|---|---|---|
| CN201910801543.6A Active CN110517148B (en) | 2019-08-28 | 2019-08-28 | Control method, system and device for executing quantitative transaction strategy |
Country Status (1)
| Country | Link |
|---|---|
| CN (1) | CN110517148B (en) |
Families Citing this family (6)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| TWI729661B (en) * | 2019-12-31 | 2021-06-01 | 元大證券股份有限公司 | Servo equipment that allows financial trading strategy sharing |
| CN112330446A (en) * | 2020-04-16 | 2021-02-05 | 上海泽巽资产管理有限公司 | Futures quantitative transaction platform |
| CN112184443A (en) * | 2020-09-29 | 2021-01-05 | 上海金纳信息科技有限公司 | Method, system, equipment and storage medium for retesting financial transaction information |
| CN113159773B (en) * | 2021-04-28 | 2024-03-22 | 中国工商银行股份有限公司 | Method and device for generating quantized transaction return data |
| CN114793456A (en) * | 2021-11-15 | 2022-07-26 | 富途网络科技(深圳)有限公司 | Method and device for operating quantitative transaction strategy |
| CN116362888A (en) * | 2023-05-31 | 2023-06-30 | 天云融创数据科技（北京）有限公司 | Data processing method and device and electronic equipment |
Family Cites Families (4)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| WO2018085756A1 (en) * | 2016-11-04 | 2018-05-11 | Fractal Industries, Inc. | Quantification for investment vehicle management and insurance process management |
| CN107316134A (en) * | 2017-06-16 | 2017-11-03 | 深圳乐信软件技术有限公司 | A kind of risk control method, device, server and storage medium |
| CN109933511A (en) * | 2017-12-15 | 2019-06-25 | 武汉楚鼎信息技术有限公司 | A kind of shifty method and system device of dynamic combined |
| CN109934708A (en) * | 2017-12-15 | 2019-06-25 | 武汉楚鼎信息技术有限公司 | A kind of more policy-simulative method of commerce in local and system and device |
-
2019
- 2019-08-28 CN CN201910801543.6A patent/CN110517148B/en active Active
Also Published As
| Publication number | Publication date |
|---|---|
| CN110517148A (en) | 2019-11-29 |
Similar Documents
| Publication | Publication Date | Title |
|---|---|---|
| CN110517148B (en) | Control method, system and device for executing quantitative transaction strategy | |
| CN110688106A (en) | Quantitative transaction strategy compiling method and device based on visual configuration | |
| US20160086121A1 (en) | Providing Gamification Analytics in an Enterprise Environment | |
| CN111143143B (en) | Performance test method and device | |
| CN110688107A (en) | Code generation method and device for quantifying transaction strategy | |
| US11221940B2 (en) | Performance engineering | |
| CN109582550B (en) | Method, device and server for acquiring full-service scene fault set | |
| CN108255707A (en) | Development roles creation method, device, equipment and the storage medium of test case | |
| CN111966585B (en) | Execution method, device, equipment and system of test task | |
| CN113419941A (en) | Evaluation method and apparatus, electronic device, and computer-readable storage medium | |
| CN105096104A (en) | Form operation authority control method, apparatus and office automation system | |
| CN111080235A (en) | Data processing method and device, electronic equipment and computer readable medium | |
| CN107092556B (en) | Test method, device and equipment | |
| CN110517142B (en) | Method and device for outputting policy evaluation information | |
| CN111949493A (en) | Inference application-based power consumption testing method and device for edge AI server | |
| CN116450483A (en) | Method, device, server and medium for determining load of software distribution | |
| CN112785418B (en) | Credit risk modeling method, apparatus, device and computer readable storage medium | |
| CN115509931A (en) | System-based performance test method and device, electronic equipment and storage medium | |
| CN114443767B (en) | Method, device, equipment and medium for determining consistency level of distributed system | |
| US20240004625A1 (en) | Systems, methods, and software for performance-based feature rollout | |
| CN112328446B (en) | Program progress monitoring method and device and computer equipment | |
| CN117785632A (en) | Capacity planning method, device, computer equipment, storage medium and program product | |
| CN111062816B (en) | Account asset supervision method and device | |
| US11210714B1 (en) | Systems and methods for experience-based development | |
| CN114116347A (en) | Simulation estimation method and device for resources required by performance test |
Legal Events
| Date | Code | Title | Description |
|---|---|---|---|
| PB01 | Publication | ||
| PB01 | Publication | ||
| SE01 | Entry into force of request for substantive examination | ||
| SE01 | Entry into force of request for substantive examination | ||
| GR01 | Patent grant | ||
| GR01 | Patent grant |