基于C++11开发的量化交易平台，可实现CTP、飞马等平台的高频交易策略。.zip

# Thunder Trader [](http://www.huyifeng.net/HFT-start.html) [](http://www.huyifeng.net/HFT-start.html) [](LICENSE) ## Features <img src='https://github.com/solopointer/thunder-trader/blob/master/assets/thunder-trader.png' width=200><br> Based on C++ 11, this project implements a quantitative trading system supporting high-frequency transactions. The system supports the following characteristics: - **Flexibility** - Using plug-ins to support different quotations and trading interfaces, such as CTP, Femas, Dfitc and TWS in China. - Support multiple accounts and multiple strategies. Each strategy can use multiple quotes, and can place orders for multiple accounts. - **Easy to use** - Support both linux and windows - B/S architecture - Client with graphical interface - The real-time tracing of the variables in the strategy can be supported by "probe", and the display mode of the "probe" can be customized. - Supporting the "intervention" of the strategy, by predefining some intervention actions, to achieve a fixed operation in the transaction process. - **Efficiency** - C++ implementation - Asynchronous event driven ## Snapshot   ## User's guide Welcome to my [personal blog](http://www.huyifeng.net/). There are User's guide. > * [Launch thunder-trader](http://www.huyifeng.net/HFT-usage.html#start_thunder_trader) > * [Use WebMonitor](http://www.huyifeng.net/HFT-usage.html#use_monitor) > * [TradeServer](http://www.huyifeng.net/HFT-usage.html#TradeServer) > * [UIStyle](http://www.huyifeng.net/HFT-usage.html#UIStyle) > * [SymbolDefine](http://www.huyifeng.net/HFT-usage.html#SymbolDefine) ## Documentation Welcome to my [personal blog](http://www.huyifeng.net/). There are detailed introductory manuals. The data communication diagram.  > * [Introductory](http://www.huyifeng.net/HFT-start.html) > * [Prepare](http://www.huyifeng.net/HFT-prepare.html) > * Strategy > * [Strategy template](http://www.huyifeng.net/HFT-strategy.html) > * [An arbitrage strategy implementation](https://github.com/solopointer/thunder-trader/tree/master/strategies/arbitrage_future) > * Trade server > * Monitor > * Research platform ## Quit start This preject is tested in following environment: > * gcc 7.2 or 4.8.4 > * boost 1.58.0 > * centos7 Build: ``` >cmake . >make >make install >export LD_LIBRARY_PATH=/path/to/gcc/lib/:/path/to/boost/lib:$LD_LIBRARY_PATH ; /path/to/thunder-trader /path/to/thunder-trader.conf 1 Then will see output like: Run.SystemNumber=1 [20181021T062516.546639] ``` If you use a customed gcc path, you should specify the /path/to/gcc/lib/, such as /opt/gcc7/lib64. As the same, if you use a customed boost path, you should specify the /path/to/boost/lib, such as /opt/boost/lib. The usage of thunder-trader is `./thunder-trader config_file.conf system_number`, .e.g. `./thunder-trader thunder-trader.conf 1`, the system_number is a customed int that indicate the process by onlyself. You should make sure that different thunder-trader process has different system_number. The reason of use a system_number will be illustrated in the document. Then you can use the WebMonitor to connect to the thunder-trader. And if the cmake cannot find the boost, you should set the BOOST_ROOT to the custom boost install path.In the CMakeLists.txt,it should be like this: ``` set(BOOST_ROOT /usr/local/install/boost/install/path) ``` For WebMonitor, we should firstly prepare a nginx for it. But usually we use [openresty](http://openresty.org/cn/) because it has integrated the nginx-lua and lua-socket we need. Our thunder-trader listens the local port. WebMonitor communicates with thunder-trader through lua-socket. The following is the process of building WebMonitor. > * Downloads [openresty-1.13.6.2.tar.gz](https://openresty.org/download/openresty-1.13.6.2.tar.gz) from [Openresty.org](http://openresty.org/cn/download.html) > * tar zxvf openresty-1.13.6.2.tar.gz > * cd openresty-1.13.6.2 > * ./configure --prefix=/path/to/openresty/install --with-luajit > * make -j8 > * make install Then set the nginx conf file /path/to/openresty/install/nginx/conf/nginx.conf like [nginx.example.conf](./nginx.example.conf). The main point is: * thunder-trader interface Our browser uses jQuery to communicate with this interface. ``` location /thunder-trader { default_type application/json; content_by_lua ' local bit = require("bit") local thunder_trader_ip = "127.0.0.1" local thunder_trader_port = 8800 if "POST" ~= ngx.var.request_method then ngx.exit(ngx.HTTP_BAD_REQUEST) end ngx.req.read_body() local body = ngx.req.get_body_data() if body == nil then local file_name = ngx.req.get_body_file() if file_name then body= getFile(file_name) else ngx.exit(ngx.HTTP_INTERNAL_SERVER_ERROR) end end local sock = ngx.socket.tcp() local ok,err = sock:connect(thunder_trader_ip, thunder_trader_port) if not ok then ngx.log(ngx.ERR, err) ngx.exit(ngx.HTTP_BAD_REQUEST) end sock:settimeout(5000) len = string.len(body) + 4 h0 = bit.band(len, 0xff) h1 = bit.rshift(bit.band(len, 0xff00), 8) h2 = bit.rshift(bit.band(len, 0xff0000), 16) h3 = bit.rshift(bit.band(len, 0xff000000), 24) buffer_tobe_send = string.char(h0,h1,h2,h3)..body local ok, err = sock:send(buffer_tobe_send) if not ok then ngx.log(ngx.ERR, err) ngx.exit(ngx.HTTP_BAD_REQUEST) end local response_head, err, partial = sock:receive(4) if not response_head then ngx.log(ngx.ERR, err) ngx.exit(ngx.HTTP_INTERNAL_SERVER_ERROR) end h0 = string.byte(string.sub(response_head, 1,1)) h1 = string.byte(string.sub(response_head, 2,2)) h2 = string.byte(string.sub(response_head, 3,3)) h3 = string.byte(string.sub(response_head, 4,4)) ret_len = h0 + bit.lshift(h1, 8) + bit.lshift(h2, 16) + bit.lshift(h3, 24) if ret_len < 0 then ngx.log(ngx.ERR, "Response len > MAX_LEN") ngx.exit(ngx.HTTP_BAD_REQUEST) end local response_body, err, partial = sock:receive(ret_len - 4) if not err then ngx.say(response_body) else ngx.log(ngx.ERR, err) ngx.exit(ngx.HTTP_BAD_REQUEST) end sock:close() '; } ``` Note that the variable **thunder_trader_ip**, **thunder_trader_port** indicates the ip:port of thunder-trader, which is configured in thunder-trader.conf.default by default of 0.0.0.0:8800. * Specify a path for WebMonitor's web application. ``` location / { root /path/to/monitor; index index.html index.htm; } ``` The WebMonitor is a pure html/js web application, all HTML and JS files are in /path/to/monitor. * Set the listening port or nginx. ``` listen 8080; ``` Please distinguish thunder-trader's listening port 8800 from nginx's listening port 8080. Once you've done the above, you can access WebMonitor at http://127.0.0.1:8080/. ## Update log * 2018.11.20 : Support gcc 4.8.4 * 2018.12.04 : Update arbitrage_strategy & simple_strategy * 2018.12.20 : Commit the Monitor v0.1 * 2019.03.19 : WebMonitor v0.1 (Without graph, developping) ## Ask Questions E-mail:solopointer@qq.com or QQ Group:628409183 <img src='https://githu