The Driving Engine of Quantitative Trading Strategy Based on Event Processing

Abstract

The event-based quantitative trading system can avoid human subjective judgment errors in the stock and futures trading markets, and the development of quantitative trading strategies based on "high probability" events in history can obtain ideal returns. It is essentially a discrete event processing system. It uses a computer to simulate and process random events with high probability. The core of the quantitative trading system is its engine part driven by transaction data. These transaction data can be regarded as a series of discrete events. This article summarizes and introduces the strategy-driven engine part of the quantitative trading system based on the open source quantitative trading framework VNPY as an example. It mainly includes a real trading operation engine module and a strategy backtesting module. The real trading engine links the trading market to obtain real-time data and uses quantitative strategies for trading; the backtest module runs to test trading strategies and optimizes the strategy parameters.