摘要
Abstract
Market data,especially high-frequency data,is the engine for quantitative trading and research.However,at present,high-frequency quantitative trading in China is in its early stages,and most of the business personnel of institutions lack IT professional skills,with only some Python language foundation.But the high-frequency market data SDK in the market is generally developed in C++ or Java language,and there is currently no Python-SDK that supports high-frequency market data.In response to the urgent need for a Python-SDK capable of processing high-frequency data in the market,this solution proposes a high-performance Python SDK that adopts a hybrid programming method of C++ and Python.It not only retains the characteristics of the Python language,making it easy for business personnel to obtain market data and engage in quantitative trading,but also takes into account the performance requirements of high-frequency market.It can achieve processing performance of 15w TPS,which is nearly 10 times better than the SDK performance implemented in pure Python,and improves 5 times compared to SDK performance implemented by Java and Python hybrid programming.It meets the processing needs of high-frequency market.关键词
Python-SDK/高性能/高频行情/混合编程Key words
Python SDK/high performance/high frequency market/hybrid programming分类
信息技术与安全科学
