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

by Benjamin Van Vliet (Author)
Key Phrases: chunky call, unmanaged object, unmanaged heap, Visual Studio, Windows Service, Trading System Development Methodology (more...)

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.


Product 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 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.

* 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

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Product Details

• Hardcover: 336 pages
• Publisher: Academic Press (March 21, 2007)
• Language: English
• ISBN-10: 0750682515
• ISBN-13: 978-0750682510
• Product Dimensions: 10.2 x 7.4 x 1 inches
• Shipping Weight: 2 pounds (View shipping rates and policies)
• Average Customer Review: 3.5 out of 5 stars See all reviews (12 customer reviews)
• Amazon.com Sales Rank: #397,627 in Books (See Bestsellers in Books)

Customer Reviews

Most Helpful Customer Reviews

36 of 44 people found the following review helpful:

1.0 out of 5 stars Not recommended - zero stars, March 19, 2007

By	B. Radtke "code slinger" (cyber space) - See all my reviews (REAL NAME)

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.

9 of 10 people found the following review helpful:

1.0 out of 5 stars MSDN?, January 19, 2008

By	Valdimar Kristjansson (Iceland) - See all my reviews (REAL NAME)

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.

2 of 2 people found the following review helpful:

4.0 out of 5 stars Pretty much a to guide to .NET C++, October 20, 2008

By	A. Lavrynenko (Summit, NJ) - See all my reviews (REAL NAME)

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.