Building Automated Trading Systems: With an Introduction to Visual C++.NET 2005 (Financial Market Technology) | 
| Author: Benjamin Van Vliet
Publisher: Academic Press
Category: Book
List Price: $79.95
Buy New: $63.96
You Save: $15.99 (20%)
New (21) Used (10) from $56.99
Rating:  11 reviews
Sales Rank: 237547
Media: Hardcover
Pages: 336
Number Of Items: 1
Shipping Weight (lbs): 2
Dimensions (in): 10.2 x 7.4 x 1
ISBN: 0750682515
Dewey Decimal Number: 332.6420285513
EAN: 9780750682510
ASIN: 0750682515
Publication Date: March 21, 2007
Availability: Usually ships in 24 hours
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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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| Customer Reviews: Read 6 more reviews...
 Pretty much a to guide to .NET C++ October 21, 2008
A. Lavrynenko (Summit, NJ)
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.
 MSDN? January 19, 2008
Valdimar Kristjansson (Iceland)
5 out of 5 found this review helpful
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.
 Unparalleled Financial-Programming Guide November 22, 2007
Andrew W. Robinson
3 out of 8 found this review helpful
Hands down this is the most useful financial-programming guide on the market. I would question the capabilities or intellectual capacity of any person who thinks anything less.
Step-by-step, it shows the user how to take the concepts of object-oriented programming and apply it directly to the financial markets, ultimately yielding an automated-trading system designed to trade futures through Trading Technologies' XT_API.
The book is thorough, yet simple to follow, descriptive, but not drawn out.
How to write your first trading system November 9, 2007
Leon J. Peeters (Naperville, Illinois United States)
1 out of 3 found this review helpful
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.
 probably good for someone else. November 8, 2007
Jax Jaxson (NYC)
3 out of 3 found this review helpful
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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