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Big data framework for quantitative trading system

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Abstract

Massive trading data are produced in securities market every day. Besides, the amount of relevant social media data is also growing fast. It is a vital problem of making use of these data. Facing on the growing amount of data, using big data framework is a necessary and reasonable method. Then, a big data framework for quantitative trading system is proposed in this paper. In the framework, Apache Spark is chosen as the distributed computing framework to process trading data, and Apache HBase as the distributed database is used to store data. After introducing the whole framework, we discussed data sources and the structure of quantitative trading layer in detail.

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Authors and Affiliations

  1. School of Computer Engineering and Science, Shanghai University, Shanghai, 200444, China

    Shuji Dai  (戴书吉), Xing Wu  (武 星), Mengqi Pei  (裴孟齐) & Zhikang Du  (杜智康)

  2. Shanghai Key Laboratory of Financial Information Technology, Shanghai University of Finance and Economics, Shanghai, 200433, China

    Xing Wu  (武 星)

Authors
  1. Shuji Dai  (戴书吉)
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  2. Xing Wu  (武 星)
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  3. Mengqi Pei  (裴孟齐)
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  4. Zhikang Du  (杜智康)
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Corresponding author

Correspondence to Xing Wu  (武 星).

Additional information

Foundation item: the National Natural Science Foundation of China (No. 61303094), the Program of Science and Technology Commission of Shanghai Municipality (No. 16511102400) and the Innovation Program of Shanghai Municipal Education Commission (No. 14YZ024)

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Dai, S., Wu, X., Pei, M. et al. Big data framework for quantitative trading system. J. Shanghai Jiaotong Univ. (Sci.) 22, 193–197 (2017). https://doi.org/10.1007/s12204-017-1821-9

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  • DOI: https://doi.org/10.1007/s12204-017-1821-9

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