Hello CTP (I) - basic knowledge of futures

One 、 Futures basis

1、 Futures contracts

A futures contract is a contract between Futures exchange Uniformly formulated 、 A standardized contract that provides for the delivery of goods of a certain quantity and quality at a specific time and place in the future .

A futures contract is when the buyer agrees to receive an asset at a specified price after a specified period of time , An agreement whereby the Seller agrees to deliver an asset at a specified price after a specified period of time . Both parties agree that the price used in future transactions is called futures price . The designated date on which both parties must conduct transactions in the future is called the settlement date or delivery date . The assets that both parties agree to exchange are called the subject matter .

Futures exchanges strictly distinguish between closed positions and closed positions , The position built on the same day can only be leveled with today's order . Zheng Shangsuo and Da Shangsuo do not make a distinction , The big business office doesn't charge a handling fee for this order , Encourage short-term .

2、 Open and close positions

Do up , That is, opening multiple orders , Fill in the form and open the warehouse 、 buy , When closing the position, fill in the closing position 、 sell .

Do fall , That is, open a short order , Fill in the form and open the warehouse 、 sell , When closing the position, fill in the closing position 、 buy .

Closing the position on the same day is closing the current position , Closing the position after the next night is closing the position .

3、 The main contract

The main contract is the one with the largest trading volume 、 Futures contracts with the largest positions , Each variety has a main contract .

The composition of futures contracts is variety + Delivery date , Like silver 1806 yes 2018 year 6 Silver futures contracts due in May . Each futures variety has 1-2 A contract with relatively active trading volume and positions , Call it the main contract .

Most of the main commodity futures contracts are produced in 1 month /5 month /9 Of the three-month contracts , for example 1901,1905,1909 Will take turns as the main contract over time ; Stock index futures is the main contract of the current month .

4、 Premium discount

The increase in futures prices as the contract matures is called futures premium . The closer the futures contract is to maturity , The smaller the difference between futures price and spot price , The reason is that the exchange makes the delivery of the underlying commodity very convenient , If the price difference is too large , Then arbitrage investors will enter the market , Get arbitrage profits .

Futures prices fall as the expiration date of the contract approaches, which is called futures discount . It usually appears on some commodity with high immediate demand . The buyer wants more goods than normal supply , This leads to a rise in spot prices .

5、 Basis

Basis is the same commodity due to geographical location 、 The price difference over time .

The basis generated by geographical location is usually based on the main origin , For example, Shanghai thread 3800, Hangzhou 3850. Hangzhou - Shanghai =50.

Time series basis is usually used to subtract the spot price from the futures price , For example, the spot price of rebar today 3850,10 Monthly futures price 3782. The industry generally uses spot - futures =68. At this time, the industry calls it premium 68 element . If the fruit is negative 68 , Call it a discount 68.

When the stock index futures price is higher than the spot index price , Stock index futures are at a premium , The basis is positive ; When the stock index futures price is lower than the spot index price , Stock index futures are at a discount , The basis is negative ; Basis is a dynamic indicator of the actual operating changes between futures prices and spot prices .

Two 、 Through regulation

1、 Introduction to penetrating regulation

Penetrating regulation is based on the CSRC 《 Announcement on Further Strengthening the information collection of customer trading terminals of futures operating institutions 》 And futures market monitoring center 《 Technical specification for information collection and access authentication of customer trading terminals of futures companies 》, Monitoring center to facilitate supervision , It is necessary to collect the local terminal information of all customers entering the market for trading through futures companies .  

2、 Introduction to collecting information

All counters reporting in the monitoring center （ Futures company trading platform ）API Terminal information collection function shall be provided , Such as CTP、 Kingstar 、 Flash strategy 、 Yi Sheng . Use the counter API Developed terminal , For example, it will collect relevant information about customers' use of computers .

The collected information includes IP、MAC、 Operating system version 、 Hard disk serial number 、 System partition, etc . The information collected is in API The bottom layer has been encrypted with the public key issued by the monitoring center , Only the monitoring center has private key decryption , Counter manufacturer 、 Futures companies 、 The exchange can't see the plaintext .

3、 Connection mode

（1） Direct Mode   

Direct connection mode means that customers are directly connected to the counters of futures companies for trading . Investors directly use CTP Of API Develop trading procedures , Connected to the futures company CTP System transactions . Most procedural trading investors in the market , Direct use of... Provided at the counter API transaction , It belongs to direct connection mode . The express terminal is also directly connected to CTP transaction , It belongs to direct connection mode .

（2） Relay mode   

The relay mode refers to the customer through third-party software , Through the third-party server to the futures company CTP System declaration transaction , Customers place orders on third-party software , The order first goes to the server of the third-party software manufacturer , Then the system on the server of the third-party software manufacturer calls CTP Systematic API, Send the order to CTP System .

（3） Many to many relay mode   

The third-party software vendor server calls... For each investor CTP API Create with CTP The single link between is the many to many relay mode . The function of Mandarin finance cloud condition sheet is to save investors' orders to Mandarin cloud server , Although investors withdraw from Mandarin terminal , But Mandarin servers and CTP Your link is still , When the conditions are met, the order can be sent to CTP.

（4） Many to one relay mode   

Third party software vendors only create one with CTP Links between , Report to all investors , It's the first mock exam . Third party software providers are required to log in as traders CTP System , And can only report to investors under the jurisdiction of traders , It is mostly used for internal software of futures companies and overseas intermediaries .

4、 Counter

According to domestic regulatory requirements , Customers cannot directly connect to the exchange system , The middle must pass through the futures company （Broker） Counter system . Futures companies usually have multiple counter systems , It is divided into chairman and deputy system .

The chairman system is fully functional , Support deposit and withdrawal 、 After hours settlement, etc , High throughput and high reliability , Ordinary customers trade on the chairman system .

The secondary system is generally only used for ordering and cancellation , Low delay penetration , It is usually prepared for customers with high delay requirements .

The counter system generally provides API Access counters for programmed customers .CTP API yes CTP Programming interface provided by the system , You can download it directly from the technical official website of the previous issue .

If the customer needs to call API Access the counter for programmed transactions , You need some basic information when logging in , as follows ：

BrokerID： Futures companies are CTP Coding on the system , It's four digits , For example, Haitong futures is 8000.

TradeFront：CTP System transaction front IP Address .

MarketFront： Market lead IP Address .

InvestorID： Investor code , Customers in CTP Unique on the system ID, After opening an account in a futures company, it is distributed by the futures company .

UserID： Operator code , Ordinary investors directly fill in InvestorID.

InvestUnitID： Investment unit code , Ordinary investors directly fill in InvestorID.

Password： The login password .

AppID： Client terminal software code .

AuthCode： Client terminal software authentication code .

3、 ... and 、 Introduction to futures exchange

1、 Last issue

Shanghai Futures Exchange （Shanghai Futures Exchange,SHFE） Founded on 1990 year 11 month 26 Japan , At present, gold is listed and traded 、 Silver 、 copper 、 aluminum 、 zinc 、 lead 、 Screw thread steel 、 Wire rod 、 fuel oil 、 Natural rubber, asphalt, etc 11 A futures contract .

Day call auction order time ：08：55—08：59
Day call auction matching time ：08：59—09：00
The normal opening trading hours of the day ：09：00－10：15 10：30—11：30 13：30－15：00

The time of night call auction order ：20：55—20：59
Night call auction matchmaking time ：20：59—21：00
Normal opening trading hours of night trading ：

21：00－02：30 （ gold 、 Silver ）
21：00－01：00 （ copper 、 aluminum 、 lead 、 zinc 、 nickel 、 tin 、 Stainless steel ）
21：00－23：00（ Screw thread steel 、 Hot rolled coil 、 Petroleum Asphalt 、 Natural rubber 、 fuel oil 、 Pulp ）

There is no night trading on the day before the legal holiday .

2、 Zhongjin Institute

China Financial Futures Exchange （China Financial Futures Exchange,CFFEX）, Shanghai Futures Exchange 、 Zhengzhou Commodity Exchange 、 Dalian Commodity Exchange 、 Shanghai Stock Exchange and Shenzhen Stock Exchange jointly initiated the establishment of the exchange , On 2006 year 9 month 8 Established in Shanghai on .

Call auction time of stock index futures ：9:25——9:30

Continuous trading time of stock index futures ：9:30——11:30 13:00——15:00

Time for call auction of treasury bond futures ：9:10——9:15

Continuous trading time of treasury bond futures ：9:15——11:30 13:00——15:15

Trading time of the last trading day of treasury bond futures ：9:15——11:30

3、 Big business

Dalian Commodity Exchange (Dalian Commodity Exchange,DCE) Founded on 1993 year 2 month 28 Japan , It is the largest agricultural futures exchange in China , The world's second largest soybean futures market , At present, corn is listed and traded 、 Yellow soybeans 1 Number 、 Yellow soybeans 2 Number 、 Soybean meal 、 Soybean oil 、 palm oil 、 Linear low density polyethylene 、 PVC 、 coke 、 Coking coal 10 A futures variety .

Day call auction order time ：08：55—08：59
Day call auction matching time ：08：59—09：00
The normal opening trading hours of the day ：09：00－10：15 10：30—11：30 13：30－15：00

The time of night call auction order ：20：55—20：59
Night call auction matchmaking time ：20：59—21：00
Normal opening trading hours of night trading ：21：00—23：30 （ Douyi 、 Douer 、 Soybean oil 、 Soybean meal 、 Coking coal 、 coke 、 palm oil 、 Iron ore 、 plastic 、PVC、 polypropylene 、 glycol 、 corn 、 Corn starch 、 Japonica rice 、 styrene ）

There is no night trading on the day before the legal holiday .

4、 Zheng Shangsuo

Zhengzhou Commodity Exchange （Zhengzhou Commodity Exchange,CZCE） Founded on 1990 year 10 month 12 Japan , The first pilot unit of futures market in China , After two years of successful operation of spot trading , On 1993 year 5 month 28 Futures trading was officially launched on the th . At present, it is one of the four futures exchanges in China , It is under the vertical management of China Securities Regulatory Commission .
Zheng Shangsuo has successively launched wheat 、 Mung bean 、 sesame 、 Cotton yarn 、 Peanut kernel and other futures trading varieties .
The varieties approved for trading are wheat 、 cotton 、 White sugar 、 Purified terephthalic acid （PTA）、 Rapeseed oil 、 Early indica rice and other futures varieties , Among them, wheat includes high-quality strong gluten wheat and hard winter wheat （ The new national standard is common ） Wheat . end 2005 end of the year , A total of futures contracts were traded by Zheng Shang exchange 44,081 Ten thousand hands , Clinch a deal amount 138,261 One hundred million yuan .

Day call auction order time ：08：55—08：59
Day call auction matching time ：08：59—09：00
The normal opening trading hours of the day ：09：00－10：15 10：30—11：30 13：30－15：00

The time of night call auction order ：20：55—20：59
Night call auction matchmaking time ：20：59—21：00
Normal opening trading hours of night trading ：21：00－23：30 （ White sugar 、 cotton 、 Cotton yarn 、 Rapeseed meal 、 methanol 、PTA、 Rapeseed oil 、 glass 、 Power coal 、 Soda ash ）

There is no night trading on the day before the legal holiday .

5、 Energy Center

Shanghai International Energy Trading Center Co., Ltd (Shanghai International Energy Exchange,INE) Approved by China Securities Regulatory Commission , from Shanghai Futures Exchange An international trading place for global investors .

Day call auction order time ：08：55—08：59
Day call auction matching time ：08：59—09：00
The normal opening trading hours of the day ：09：00－10：15 10：30—11：30 13：30－15：00

The time of night call auction order ：20：55—20：59
Night call auction matchmaking time ：20：59—21：00
Normal opening trading hours of night trading ： 21：00—23：30 （20 Glue No ）

21：00— The next day 2:30 （ Crude oil ）