For the extensive application and the stochastic transaction process of the continuous double auction (CDA) market,its trading strategy is the hot and the difficult problem that people concentrate all the time.The research of CDA trading strategy goes through a long progress,from simplicity to complexity,from far away from the real world to close to it.From the perspectives of game theory and economics,we divide the research into three schools.They are the school of game theory analysis,the school of experimental economics,and the school of agentbased computational economics.Research characters and main results of each school are studied.Finally,future opportunities are given.