Building Automated Trading Systems - 1st Edition - ISBN: 9780750682510, 9780080476254

Building Automated Trading Systems

1st Edition

With an Introduction to Visual C++.NET 2005

Authors: Benjamin Van Vliet
eBook ISBN: 9780080476254
Hardcover ISBN: 9780750682510
Imprint: Academic Press
Published Date: 7th March 2007
Page Count: 336
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Table of 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


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.

Key Features

  • Teaches financial system design and development from the ground up using Microsoft Visual C++.NET 2005.
    Provides dozens of examples illustrating the programming approaches in the book
    Chapters are supported by screenshots, equations, sample Excel spreadsheets, and programming code

Readership

Primary audience: financial engineers, quantitative analysts, programmers in trading companies; graduate students in financial engineering and financial markets courses and programs.


Details

No. of pages:
336
Language:
English
Copyright:
© Academic Press 2007
Published:
Imprint:
Academic Press
eBook ISBN:
9780080476254
Hardcover ISBN:
9780750682510

Reviews

"Building Automated Trading Systems is a must read for anyone developing professional algorithmic trading systems. It brings all aspects of design, functionality and real-time system implementation into clear step-by-step focus. This book will be a first choice reference manual for the serious professional .NET programmer in trading system development." -- Russell Wojcik, Member of CME and CBOT, Head of Trading Strategy Concentration, Illinois Institute of Technology "This book is an excellent primer for anyone interested in developing automated or semi-automated trading applications. Ben covers the programming knowledge needed to develop successful trading applications. A must have for traders getting into programming and programmers getting into trading. It will also serve as a useful reference for developing more sophisticated trading tools." -- Sagy P. Mintz, Vice President, Trading Technologies, Inc.


About the Authors

Benjamin Van Vliet Author

Ben Van Vliet is a Lecturer at the Illinois Institute of Technology (IIT), where he also serves as the Associate Director of the M.S. Financial Markets program. At IIT he teaches courses in quantitative finance, C++ and .NET programming, and automated trading system design and development. He is vice chairman of the Institute for Market Technology, where he chairs the advisory board for the Certified Trading System Developer (CTSD) program. He also serves as series editor of the Financial Markets Technology series for Elsevier/Academic Press and consults extensively in the financial markets industry.

Mr. Van Vliet is also the author of "Modeling Financial Markets" with Robert Hendry (2003, McGraw Hill) and "Building Automated Trading Systems"(2007, Academic Press. Additionally, he has published several articles in the areas of finance and technology, and presented his research at several academic and professional conferences.

Affiliations and Expertise

Lecturer in and the Associate Director of the Masters in Financial Markets Program, Stuart School of Business, Illinois Institute of Technology, USA