期货程序化环境下模型描述语言解释器的研究与设计  

RESEARCH AND DESIGN OF MODEL DESCRIPTION LANGUAGE INTERPRETER IN FUTURES PROGRAM ENVIRONMENT

作　　者：刘珂 蒋哲远[1] Liu Ke,Jiang Zheyuan(1.School of Computer and Information, Hefei University of Technology, Hefei 230009, Anhui, Chin)

机构地区：[1]合肥工业大学计算机与信息学院,安徽合肥230009

出　　处：《计算机应用与软件》2018年第8期107-112,147,共7页Computer Applications and Software

基　　金：国家自然科学基金项目(61403116)

摘　　要：在期货程序化交易环境下,对于交易者编写交易策略要求较高的情况下,以模型描述语言解释器为对象,提出了整体概念解释模型,并开发了基于标准C语言的解释器。一方面使用扩展的巴科斯范式进行文法描述,并构建相应的语法树,避免了语法树的二义性。另一方面增加了交易策略回溯测试以及优化阶段,使编写的交易策略更加适应市场,提高收益。实验结果表明,在期货程序化交易过程中,该解释器可实时地对交易策略进行解释,触发交易信号,完成交易。In the futures program trading,higher requirements are required for traders to write trading strategies.Taking the model description language interpreter as the object, the paper proposed the whole concept interpreter model and developed an interpreter based on C language. On the one hand, the interpreter used the extended Backus normal form to describe the grammar，and constructed the syntax tree to avoid the ambiguity. On the other hand，it increased the backtracking test and optimization phase of trading strategy, making the trading strategy more fit market and increasing revenue.The experimental results show that in the futures trading process, the interpreter can explain the trading strategy in real time, trigger the trading signal and complete the transaction.

关 键 词：程序化交易 模型描述语言 解释器 整体概念解释模型 

分 类 号：TP311.52[自动化与计算机技术—计算机软件与理论]