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

Name: Building Automated Trading Systems With an Introduction to Visual C++. NET 2005
Price: 13.26 USD
Availability: InStock
ISBN: 9780750682510

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… 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. * 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, programming code and interactive CDROM

Book details

List price: $101.00
Copyright year: 2007
Publisher: Elsevier Science & Technology
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