Building Automated Trading Systems

Divided into two sections - programming techniques and automated trading system ( ATS ) technology - this book teaches financial system design and development from the absolute ground up using Microsoft Visual C++.NET 2005. It discusses advanced programming topics such as threading, sockets, as well as using C++.NET to connect to Excel.

Autorentext
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.

Klappentext
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.

Zusammenfassung
The proprietary trading and hedge fund industries can migrate largely to automated trade selection and execution systems. This book looks at several topics relating to managed/unmanaged/COM memory management and interoperability.

Inhalt

1. Introduction

   Section I: Introduction to Visual C++.NET 2005
   2. The .NET Framework

   3. Tracking References
   4. Classes and Objects
   5. Reference Types
   6. Value Types
   7. Unmanaged Objects
   8. Composition
   9. Properties
   10. Structures and Enumerations
   11. Inheritance
   12. Converting and Casting
   13. Operator Overloading
   14. Delegates and Events
   15. Arrays
   16. Generating Random Numbers
   17. Time and Timers
   18. Input and Output Streams
   19. Exception Handling
   20. Collections
   21. STL/STL.NET
   22. DataSets
   23. Connecting to Databases
   24. Structured Query Language
   25. XML
   26. Financial Information Exchange Protocol
   27. Serialization
       28 Windows Services
       29 Setup and Installation Packages

   Section II: Concurrency
   30 Threading
   31 Synchronization Classes
   32 Sockets

   Section III: Interoperability and Connectivity
   33 Marshaling
   34 Interior and Pinning Pointers
   35 Connecting to Managed DLLs
   36 Connecting to Componenet Object Model (COM) DLLs with COM Interop
   37 Connecting to C++DLLs with Platform Invocation Services
   38 Connecting to Excel
   39 Connecting to TraderAPI
   40 Connecting to XTAPIConnection_Example

   Section IV: Automated Trading Systems
   41 Building Trading Systems
   42 KV Trading System Development Methodology
   43 Automated Trading System Classes
   44 Single-Threaded, Technical Analysis System
   45 Producer/Consumer Design Pattern
   46 Multithreaded, Statistical Arbitrage System