By Benjamin Van Vliet
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
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