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| BUILDING AUTOMATED TRADING SYSTEMS
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 With an Introduction to Visual C++.NET 2005
To order this title, and for more information, click here
By
Benjamin Van Vliet, Lecturer in and the Associate Director of the Masters in Financial Markets Program, Stuart School of Business, Illinois Institute of Technology, USA
Description
Over the next few years, the proprietary trading and hedge fund industries will migrate largely to automated trade selection and execution
systems. Indeed, this is already happening. While several finance books provide C++ code for pricing derivatives and performing numerical
calculations, none approaches the topic from a system design perspective. This book will be divided into two sections?programming techniques
and automated trading system ( ATS ) technology?and teach financial system design and development from the absolute ground up using Microsoft
Visual C++.NET 2005. MS Visual C++.NET 2005 has been chosen as the implementation language primarily because most trading firms and
large banks have developed and continue to develop their proprietary algorithms in ISO C++ and Visual C++.NET provides the greatest flexibility
for incorporating these legacy algorithms into working systems. Furthermore, the .NET Framework and development environment provide
the best libraries and tools for rapid development of trading systems.
The first section of the book explains Visual C++.NET 2005 in
detail and focuses on the required programming knowledge for automated trading system development, including object oriented design,
delegates and events, enumerations, random number generation, timing and timer objects, and data management with STL.NET and .NET collections.
Furthermore, since most legacy code and modeling code in the financial markets is done in ISO C++, this book looks in depth at several
advanced topics relating to managed/unmanaged/COM memory management and interoperability. Further, this book provides dozens of examples
illustrating the use of database connectivity with ADO.NET and an extensive treatment of SQL and FIX and XML/FIXML. Advanced programming
topics such as threading, sockets, as well as using C++.NET to connect to Excel are also discussed at length and supported by examples.
The second section of the book explains technological concerns and design concepts for automated trading systems. Specifically, chapters
are devoted to handling real-time data feeds, managing orders in the exchange order book, position selection, and risk management. A
.dll is included in the book that will emulate connection to a widely used industry API ( Trading Technologies, Inc.?s XTAPI ) and provide
ways to test position and order management algorithms. Design patterns are presented for market taking systems based upon technical
analysis as well as for market making systems using intermarket spreads.
As all of the chapters revolve around computer programming
for financial engineering and trading system development, this book will educate traders, financial engineers, quantitative analysts,
students of quantitative finance and even experienced programmers on technological issues that revolve around development of financial
applications in a Microsoft environment and the construction and implementation of real-time trading systems and tools.
Audience
Primary audience: financial engineers, quantitative analysts, programmers in trading companies; graduate students in financial engineering and financial markets courses and programs.
Contents
Chapter 1 Introduction
Section I: Introduction to Visual C++.NET 2005
Chapter 2 The .NET Framework
Chapter 3 Tracking References
Chapter 4 Classes and Objects
Chapter 5 Reference Types
Chapter 6 Value Types
Chapter 7 Unmanaged Objects
Chapter 8 Composition
Chapter 9 Properties
Chapter 10 Structures and Enumerations
Chapter 11 Inheritance
Chapter 12 Converting and Casting
Chapter 13 Operator
Overloading
Chapter 14 Delegates and Events
Chapter 15 Arrays
Chapter 16 Generating Random Numbers
Chapter 17 Time and Timers
Chapter
18 Input and Output Streams
Chapter 19 Exception Handling
Chapter 20 Collections
Chapter 21 STL/STL.NET
Chapter 22 DataSets
Chapter
23 Connecting to Databases
Chapter 24 Structured Query Language
Chapter 25 XML
Chapter 26 Financial Information Exchange Protocol
Chapter 27 Serialization
Chapter 28 Windows Services
Chapter 29 Setup and Installation Packages
Section II: Concurrency
Chapter
30 Threading
Chapter 31 Synchronization Classes
Chapter 32 Sockets
Section III: Interoperability and Connectivity
Chapter 33 Marshaling
Chapter 34 Interior and Pinning Pointers
Chapter 35 Connecting to Managed DLLs
Chapter 36 Connecting to Componenet Object Model (COM)
DLLs with COM Interop
Chapter 37 Connecting to C++DLLs with Platform Invocation Services
Chapter 38 Connecting to Excel
Chapter 39
Connecting to TraderAPI
Chapter 40 Connecting to XTAPIConnection_Example
Section IV: Automated Trading Systems
Chapter 41 Building
Trading Systems
Chapter 42 K? V Trading System Development Methodology
Chapter 43 Automated Trading System Classes
Chapter 44 Single-Threaded,
Technical Analysis System
Chapter 45 Producer/Consumer Design Pattern
Chapter 46 Multithreaded, Statistical Arbitrage System
| Bibliographic details |
Hardbound, 336 pages, publication date: MAR-2007
ISBN-13: 978-0-7506-8251-0
ISBN-10: 0-7506-8251-5
Imprint: ACADEMIC PRESS
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| Price and Ordering |
Price:
USD 79.95
EUR 66.95
GBP 45
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Books and book related electronic products are priced in US dollars (USD), euro (EUR), and Great Britain Pounds (GBP). USD prices apply to the Americas and Asia Pacific. EUR prices apply in Europe and the Middle East. GBP prices apply to the UK and all other countries.
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Last update: 27 Sep 2008
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