Customer Reviews

Building Automated Trading Systems: With an Introduction to Visual C++.NET 2005 (Financial Market Technology)

5 star:		(7)
4 star:		(1)
3 star:		(1)
2 star:		(1)
1 star:		(3)

 

 

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.

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.

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.

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.

I don't know why the writer chose VC++.NET for building financial application. When I take a look at job market, usually the job requirement is the skill of native C++ under UNIX or under win32. If the job requires .NET skill they will choose C# over VC++.NET.

This book shows a lot of how-to but gives so little explanation. Moreover, it does not give many information about trading system architecture. It seems the writer copied and pasted the MSDN and modified the code to show financial examples.

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.

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). Then he shows you how to get at the methods using a dynamic cast or static cast (with the advent of generics in VS 2005 there are now even better ways in some instances).

To give further evidence of his building block approach and the substance in the book, Van Vliet towards the end of the book develops a single-threaded algorithmic trading system and then uses a producer-consumer semaphore model to show you how to create a multi-threaded algorithmic trading system. Where else can you find this in the literature? He even created his own API, Trader API, that is very similar to that of Trading Technologies's XTAPI, so programmers can learn how to connect and use an API.

Finally, through my study with Van Vliet I have been able to write multi-threaded trading programs using XTAPI, write a stat arb program for equity trading that searches a large database of equities, write technical trading systems, and write factor model programs for equity trading. In large part because of what I learned from Professor Van Vliet at IIT I have been able to be employed by a local hedge fund. Whenever I program his books are with me for reference purposes.

J.S. Haworth
April 2007

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!

I read some of the other reviews and was moved to write my own evaluation as those reviews were mistreating this book.

This book is NOT fiction nor is it a comprehensive reference on C++.Net. so for someone trying to read this book from cover to cover will not feel like adding much value. Also the title says it clearly that the book includes an introduction to VC++.Net (just want to stress that the book is not meant to teach you the language in and out)

The value in this book is to understand the typical challenges that financial trading systems offer and some really insightful examples on how to solve them. This book deals with everyday problems that any programmer will face when building his/her own trading system (Automated/semi-automated). There is a lot of good advice on Building Automatic Trading Systems all compiled into one resource.

Like I mentioned before the book is not a comprehensive reference on C++.Net(Use MSDN for that) and neither is it verbose, but simply a bridge between building trading systems and programming. The introduction to VC++.Net is a quick read even if you have no or basic programming skills and only serves as an introduction to the language with a quick reference of the concepts.

I love this book and appreciate some of the issues that it addresses. It also better prepared me for the job that I got after taking Professor Van Vliet's class and using this book for the same.

I recommend this book for all those developers (or beginners) who are dealing with financial markets and have the need to build ATS.

If you want a very practical introduction on how to design and implement your first trading system, this book is for you.
The initial chapters cover all the C++/CLI concepts needed to understand the detailed case studies of two actual trading systems. The reader is assumed to have some general understanding of OO languages, preferably C++.

Be realistic. As the author points out in the book, the algorithms driving these trading systems are well known, so they probably will not make you a millionaire. But the software included with the book will give you a head start to try out your own ideas in a simulated environment.

People interested in running a hedge fund are advised to read the chapter on development methodology. It will help you get a handle on the software development side of the business.