关键词: 套利,泛化,程序化交易,策略监控,SPTrader

Abstract: With the stock index futures as a representative of the financial derivatives coming into the market,more and more complex trading strategies such as hedging,arbitrage and statistical arbitrage are appearing in the domestic financial market.Therefore,this paper presented an arbitrage trading solution with procedures instead of human complex calculations and operations through the foreign market’s data interface SPTrader and the domestic market data interface CTP.They can obtain market data to achieve the method of any two contracts in global Mercantile Exchange.This paper firstly introduced and analyzed the advantage of generalized arbitrage trading system,and then systematically analyzed and summarized the system design,which is focused on the policy setting,policy monitoring management module and system logic structure.And finally the overall operation of the system was evaluated.

Key words: Arbitrage,Generalization,Program trading,Strategy monitoring,SPTrader