Transaction cost, bid-ask spread, ordering method and transaction speed. Among these factors, the pursuit of trading speed may be one of the core competitiveness of high-frequency trading strategy. Two core elements of high-frequency trading, one is the trading strategy of generating high-frequency trading signals; The second is the algorithm to optimize the transaction execution process. These two core elements put forward extremely high requirements for the operation speed of high-frequency trading platform. The trading speed of high-frequency trading strategy includes two parts: one part refers to the speed at which the high-frequency trading system receives real-time market information, analyzes data and sends trading instructions; The other part refers to the speed at which trading orders reach the exchange. The former requires excellent algorithm programs and powerful computer hardware; The latter requires a fast and stable network connection. The development process of high frequency trading strategy. The main development process includes the system part in the transaction process and the system part after the transaction. This paper divides it into six modules.

The trading system includes: market acceptance system, signal calculation system, income recording system and risk control system; Post-transaction system includes: strategic evaluation system and cost estimation system. CITIC Futures Shanghai Pudian Road Sales Department can provide server hosting for investors in high-frequency futures trading. The custody room includes Zhangjiang computer room and digital information room, with transaction speed. The firm offer is CFFE: delay 1: 770 US, Delay2:3025 us, and SHFE: delay 1: 808 US, and Delay2:2576 us. 65438+ is 0 to 2 milliseconds faster than its peers. There are several reasons to ensure fast trading: first, apply for a dedicated channel, where there are fewer traders, thus ensuring faster trading speed. Second: the geographical location is superior, the server is 3 meters away from the Pioneer/Pyramid Market Server, 3 meters away from the CTP transaction pre-server and 50 meters away from the exchange matching machine.