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Building Automated Trading Systems With an Introduction to Visual C++ .NET 2005

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ISBN-10: 0750682515

ISBN-13: 9780750682510

Edition: 2007

Authors: Benjamin Van Vliet

List price: $101.00
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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 sectionsprogramming techniques and automated trading system ( ATS ) technologyand 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…    
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Book details

List price: $101.00
Copyright year: 2007
Publisher: Elsevier Science & Technology Books
Publication date: 5/23/2007
Binding: Hardcover
Pages: 336
Size: 7.25" wide x 10.25" long x 0.93" tall
Weight: 2.046
Language: English

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,…    

Acknowledgments
Introduction
ISO C++
Structure of This Book
Introduction to Visual C++.NET 2005
The .NET Framework
MS Visual Studio 2005 Project Structure
What is C++/CLI?
Why Visual C++.NET?
The VC++.NET Compiler
What About Speed?
The .NET Framework
Sample Code: MessageBox_Example
Sample Code: StringConcat_Example
Sample Code: Debug_Example
Versioning
Summary
Tracking References
Sample Code: TrackingReference_Example
Sample Code: TemplateFunction_Example
^Managed Handle
Sample Code: RefType_Example
Summary
Classes and Objects
Abstraction
Encapsulation
Inheritance
Polymorphism
Memory Management in .NET
.NET Types
Unmanaged Types
Mixed Assemblies
Summary
Reference Types
Sample Code: RefType_Example
Delete and Dispose
Finalize
Sample Code: Finalize_Example
Stack Semantics for Ref Types
Nullptr Reference
This is Important
Summary
Value Types
Sample Code: ValueTypes_Example
Sample Code: PassingValueTypes_Example
Summary
Unmanaged Objects
Sample Code: UnmanagedObject_Example
Summary
Composition
Sample Code: Composition_Example
Sample Code: UnmanagedComposition_Example
Sample Code: ManagedComposition_Example
Summary
Properties
Sample Code: Properties_Example
Summary
Structures and Enumerations
Sample Code: ValueStructure_Example
Sample Code: ReferenceStructure_Example
Sample Code: Enums_Example
Summary
Inheritance
Access Modifiers
Object Class
Abstract and Sealed Classes
Sample Code: Inheritance_Example
Interfaces
Sample Code: Interface_Example
Runtime Callable Wrapper
Summary
Converting and Casting
Converting
Sample Code: Convert_Example
Static Casting
Sample Code: StaticCast_Example
Dynamic Casting
Sample Code: DynamicCast_Example
Safe Casting
Sample Code: SafeCast_Example
Summary
Operator Overloading
Sample Code: OpOverload_Example
Summary
Delegates and Events
Delegates
Sample Code: Delegates_Example
Multicasting
Sample Code: Multicast_Example
Events
Sample Code: Event_Example
Wrappers
Sample Code: Wrapper_Example
Asynchronous Method Calls
Sample Code: AsynchEvent_Example
Summary
Arrays
Sample Code: ManagedArray_Example
Sample Code: PassingArrays_Example
Summary
Generating Random Numbers
Sample Code: Random_Example
Sample Code: StdNormRandom_Example
Summary
Time and Timers
Sample Code: Milliseconds_Example
Stopwatch
Sample Code: Stopwatch_Example
Timers
Sample Code: FormsTimer_Example
Sample Code: ThreadingTimer_Example
Sample Code: TimersTimer_Example
Summary
Input and Output Streams
FileStream Class
StreamWriter Class
File and Directory Classes
Application Class
FileMode Enumeration
Sample Code: StreamWriter_Example
Sample Code: StreamReader_Example
Summary
Exception Handling
Sample Code: Exceptions_Example
Catching Unmanaged C++ Types
Summary
Collections
Sample Code: Hashtable_Example
Sorted List Class
Sample Code: SortedList_Example
Thread Safety
Generics
Sample Code: LinkedList_Example
Sample Code: Generics_Example
Summary
STL/STL.NET
Sample Code: STL.NET_Example
Sample Code: STL_Example
Summary
DataSets
Sample Code: DataSet_Example
Rows, DataRowCollections, and DataRows
Summary
Connecting to Databases
Database Connection
DataAdapter
Sample Code: ADO.NET_Example
Enumerating Through All the Data in a DataSet
Using Excel as a Data Source
Writing XML from a DataSet
Updating a Database with Changes in a Dataset
Retrieving Data with a DataReader
Summary
Structured Query Language
Data Manipulation Language
Updating a Database with Changes in a DataSet
Data Definition Language
Summary
XML
Well-Formed XML Documents
Valid XML Documents
XML Schema Documents
Parsers
Sample Code: Traders.xsd
Sample Code: XmlWriter_Example
Sample Code: XmlReader_Example
Summary
Financial Information Exchange Protocol
XML Protocols in Financial Markets
Overview of FIX
Summary
Serialization
Serialization_Example
Summary
Windows Services
Sample Code: WindowsService_Example
Summary
Setup and Installation Packages
Sample Code: Installation_Example
Summary
Concurrency
Threading
Threading Namespace
Sample Code: Thread_Example
Sample Code: ThreadAbort_Example
Thread Priority
Sample Code: ThreadPriority_Example
ThreadState Enumeration
ThreadPool Class
Sample Code: ThreadPool_Example
Updating Forms from Other Threads
Sample Code: FormUpdate_Example
Thread Safety
Summary
Synchronization Classes
Sample Code: Synchronize_Example
Mutex Class
Example Code: Mutex_Example
Semaphore Class
Sample Code: Spmaphore_Example
Monitor Class
Sample Code: Monitor
Summary
Sockets
Sample Code: SynchronousServer_Example
Sample Code: SynchronousClient_Example
Summary
Interoperability and Connectivity
Marshaling
Marshal Class
Sample Code: StringToCharArray_Example
Summary
Interior and Pinning Pointers
Sample Code: InteriorPointer_Example
Pinning Pointers
Sample Code: Pinning_Example
Summary
Connecting to Managed DLLs
Example Code: DLL_Example
Summary
Connecting to Component Object Model (COM) DLLs with COM Interop
Sample Code: MyCOMLibrary
Sample Code: UsingCOMDLL_Example
Summary
Connecting to C++ DLLs with Platform Invocation Services
Calling C-Style Functions
Sample Code: MyWin32Library
Sample Code: UsingWin32DLL_Example
Creating Objects
Sample Code: MyWin32ClassLibrary
Sample Code: UsingWin32Class_Example
CallingConventionEnumeration
Summary
Connecting to Excel
Sample Code: ControllingExcel_Example
Sample Code: ExcelChart_Example
Summary
Connecting to TraderAPI
TraderAPI Overview
FillObj
InstrObjClass
InstrNotifyClass
OrderObj
OrderProfileClass
OrderSetClass
Sample Code: TraderAPIConnection_Example
Summary
Connecting to XTAPI
Sample Code: XTAPIConnection_Example
Summary
Automated Trading Systems
Building Trading Systems
Buy vs. Build
Data Mapping
Speed of Development
Ten Things that Affect the Speed of a Trading System
Getting It Right
Logic Leaks
Ten Things that Affect the Profitability of a Trading System
Summary
KV Trading System Development Methodology
The Money Document
Research and Document Calculations
Back Test
Implement
Manage Portfolio and Risk
Summary
Automated Trading System Classes
Instrument Class
Order Class
Order Book
Bracket
Tick
Tick or Bar Collection
Bar
System Manager
Graphical User Interface
Summary
Single-Threaded, Technical Analysis System
Sample Code: TechincalSystem_Example
Summary
Producer/Consumer Design Pattern
Sample Code: ProducerConsumer_Example
Summary
Multithreaded, Statistical Arbitrage System
Sample Code: Spreader_Example
Summary
Conclusion