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 tech

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.

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<

Details

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

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.