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Building Automated Trading Systems: With an Introduction to Visual C++.NET 2005 (Financial Market Technology) Hardcover – March 21, 2007

ISBN-13: 978-0750682510 ISBN-10: 0750682515 Edition: 1st

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Building Automated Trading Systems: With an Introduction to Visual C++.NET 2005 (Financial Market Technology) + Algorithmic Trading and DMA: An introduction to direct access trading strategies + Quantitative Trading: How to Build Your Own Algorithmic Trading Business
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Product Details

  • Hardcover: 336 pages
  • Publisher: Academic Press; 1 edition (March 21, 2007)
  • Language: English
  • ISBN-10: 0750682515
  • ISBN-13: 978-0750682510
  • Product Dimensions: 10.6 x 7.5 x 0.8 inches
  • Shipping Weight: 2 pounds (View shipping rates and policies)
  • Average Customer Review: 3.4 out of 5 stars  See all reviews (14 customer reviews)
  • Amazon Best Sellers Rank: #1,181,859 in Books (See Top 100 in Books)

Editorial Reviews

Review

"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.

From the Back Cover

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

Benjamin Van Vliet

"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.

Right now and continuing over the next few years, the proprietary trading and hedge fund industries will migrate largely to automated trade selection and execution systems. While several finance books provide C++ code for pricing derivatives and performing numerical calculations, none approaches the topic from a system design perspective.

Building Automated Trading Systems is divided into two sections-programming techniques and automated trading system ( ATS ) technology-and teaching financial system design and development from the absolute ground up using Microsoft Visual C++.NET 2005. 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. 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.

Building Automated Trading Systems also provides dozens of examples illustrating the use of database connectivity with ADO.NET and an extensive treatment of SQL, and an overview of XML and FIX. 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. 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.
Benjamin Van Vliet is Lecturer in and the Associate Director of the M.Sc. in Financial Markets at the Illinois Institute of Technology's Stuart Graduate School of Business (www.stuart.iit.edu). He is also the Certified Trading System Developer (CTSD) program director at i4mt (www.i4mt.org).

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Customer Reviews

The book is approx 300 pages and probably 240 of those pages are code.
B. Radtke
This book deals with everyday problems that any programmer will face when building his/her own trading system (Automated/semi-automated).
Sandeep Arora
I've started reading this book a few times but find myself paging through it trying to find something worth reading.
Valdimar Kristjansson

Most Helpful Customer Reviews

59 of 68 people found the following review helpful By B. Radtke on March 19, 2007
Format: Hardcover
I regret purchasing this book. Since I didn't have a chance to look at it before puchasing it, I bought it on a chance that it may provide some insight into trading system. Not a chance.

The book is approx 300 pages and probably 240 of those pages are code.

I can't emphasize enought that there is so little in the way of explaination here. The author gives a brief 1 paragraph description of an object and then it is followed by 5 or 6 pages of code. There is very little explaination of the design or implementation.

The book comes with a CD of the code. Why duplicate printing the code in the book?

More than 2/3 of the book is devoted to .NET using C++. If you have this experience, this is another reason not to buy the book. It is not until Chapter 43 that a discussion about automated trading systems starts.

I highly do not recommend this book. Unfortuntely, you can't rate a book with no stars.
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21 of 23 people found the following review helpful By Valdimar Kristjansson on January 19, 2008
Format: Hardcover
Waste of paper.
I've started reading this book a few times but find myself paging through it trying to find something worth reading.
As an introduction to Visual C++ .NET it might be useful but most chapters cover the matters in about two pages and I have a sneaking suspicion this is just a copy of MSDN with new code examples.
As for Automated Trading systems it has about 10-15 pages on the subject and of that probably 8 are just code (could have been omitted and just put on the CD).
If you don't have access to the internet this book will come in handy. Otherwise go for Practical .NET for the financial markets instead.
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7 of 8 people found the following review helpful By A. Lavrynenko on October 20, 2008
Format: Hardcover Verified Purchase
Book goes over .NET C++. It touches on automated trading development but not in depth. Has examples of using 3rd party trading apis.
I wish this book covered scalability, performance and latency issues as well as historical data management.
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24 of 33 people found the following review helpful By John S. Haworth on April 13, 2007
Format: Hardcover
I feel I am qualified to review this book as I have been a student of Professor Van Vliet's at IIT-Chicago. I have taken his courses in ANSI C++,VB.Net,and developing automated trading systems using C++.Net. I took the course in C++.Net/Automated Trading Systems using the notes that were the basis for this book.

A few of the previous reviews were way off the mark in my opinion. One of Professor Van Vliet's strengths and approach to programming is to develop concepts through simple examples. In this book, as in all his classes, he gives small but complete programs to learn concepts. Most books, e.g. Deitel, introduce concepts with 2-3 page programs where you get lost in what you are trying to learn. Van Vliet emphasizes that programming is learned by doing, not just by reading. If you just plan to read the book and not actually implement the programs then maybe it's value is limited. But this is not how most people REALLY learn programming. You have to get your hands dirty.

Previous reviews are way off the mark in terms of substance as well. You just have to go to MSDN's documentation on C++.Net to see that Van Vliet includes a lot of helpful information that is hard to find in other books and on the NET. For example, for those who care to pay attention, he does an excellent treatment on how to get to methods in objects stored in hashtables and sorted lists. Almost all other discussions of hashtables use very primitive hashtables where you only store a key and a simple value (like an integer or string) . Van Vliet actually shows ways, for example, to create a Stock Class with all the attributes of a stock and then store the stock objects in a hashtable that would represent a portfolio. (this is not the example in the book but he clearly shows you how to do this).
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6 of 8 people found the following review helpful By Jax Jaxson on November 8, 2007
Format: Hardcover Verified Purchase
I wish there was slightly more explanation of the code. 1 small paragraph doesnt cut it for me. I have ran the code merely as a puppet of the author and really dont 100% get a grasp on it. I dont think this book is for beginners, you should have a decent knowlege of c++ (pointers especially) already before getting into this book. The ony intro involved in this book is a slight .net informational. Title should be "Building Automated Trading Systems with Visual C++ .NET 2005, featuring slight intro to .NET framework". Probably an awesome book for people w/ good working knowledge of c++ and want to tie in with .net and financial systems programming. I have put the book down for now and am going to hit the programming gym before I pick it back up. Maybe I will make a follow up post at that point.
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12 of 18 people found the following review helpful By Nicolas Roth on April 2, 2007
Format: Hardcover
Strong regret that I spent 80$ on this book. The backcover said this book was suitable for people who wanted to learn c++.net with a focus on trading systems, however the intro to the language itself is very very light.

It starts directly with pages of code (that you can find on the cd...) explaining how to manage threads, processes, time etc etc.

I had the feeling that this book has no real beginning nor real ending and that chapters can be all mixed up, it won't change anything.

On the other side, I am maybe too beginner for it. Maybe this suitable for people who want to transfer their system from one language to c++.net.
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2 of 3 people found the following review helpful By halko on February 20, 2011
Format: Hardcover Verified Purchase
This book is a fantastic introduction to how trading systems are developed professionally. In order to follow what is going on in the book you will need to have previous programming knowledge. However, if you consider yourself an intermediate level programmer and have a solid understanding of the fundamentals, this book will provide you with the basics of C++ and how these methods are used in designing algos. Great book!
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