基于TradeBlazer语言的高频套利在股指期货中的应用

套利是股指期货投资方式常见的一种，由于其风险低、收益稳健，而受到很多机构投资者的青睐。但是套利交易频率高，时间短促，盈利机会稍纵即逝，所以亟需借助程序化交易。从实证角度，基于专业量化交易软件“交易开拓者”TradeBlazer，利用高频数据构建均值回复套利策略，为机构投资者跨期套利提供一个可行的框架。

Application of High-Frequency Arbitrage in Stock Index Futures Based on TradeBlazer Language

Arbitrage is a common kind of way to invest the stock index futures, due to its low risk and moderate incomes, is favored by many institu- tional investors. But it is such a way of trading requiring high frequency and speed that the profit opportunities are easily fleeting. Conse- quently, it should be operated with the help of the program trading. The following is based on professional quantitative trading software ＂TradeBlazer＂, from the empirical view of the point, uses the high-frequency data to construct the arbitrage strategy of the mean rever- sion. It provides the institutional investors with a feasible framework of the calendar spread arbitrage.