Earticle

In this paper, we develope a LOB(Limit Order Book) analyzing tool for an automated trading system, which features real-time and offline analysis of LOB data in conjunction with execution data. The 10-tier LOB data analyzer developed in this paper, which contains ask/bid prices and the execution data, receivs transaction requests in real-time from the Kiwoom Open API+ server. In the OnReceiveTrData event, the transaction data from the server is received and processed. The real-time data, triggered by the transaction, is received and processed in the OnReceiveRealData event. These two types of data are stored in a database and replayed in the same way as if it were a real-time situation in simulation mode. The LOB data are selectively read and analyzed in a necessary time points. The tool provides various features such as bar chart analysis and pattern analysis of the total shares on the bid side and ask side, which are used to develop a tool to accurately determine the timing of stock trading.

In this paper, we develope a stock trading system that automatically buy and sell stocks in Kiwoom Securities’ HTS system. The system is made by using Kiwoom Open API+ with the Python programming language. A trading strategy is based on an enhanced system query method called a Condition-Search. The Condition- Search script is edited in Kiwoom Hero 4 HTS and the script is stored in the Kiwoom server. The Condition- Search script has the advantage of being easy to change the trading strategy because it can be modified and changed as needed. In the HTS system, up to ten Condition-Search scripts are supported, so it is possible to apply various trading methods. But there are some restrictions on transactions and Condition-Search in Kiwoom Open API+. To avoid one problem that has transaction number and frequency are restricted, a method of adjusting the time interval between transactions is applied and the other problem that do not support a threading technique is solved by an IPC(Inter-Process Communication) with multiple login IDs.