Building Automated Trading Systems: With an Introduction to Visual C++.NET 2005

by Benjamin Van Vliet

Overview

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, and programming code.

Product Details

ISBN-13:	9780080476254
Publisher:	Elsevier Science
Publication date:	03/07/2007
Series:	Financial Market Technology
Sold by:	Barnes & Noble
Format:	eBook
Pages:	336
File size:	7 MB

About the Author

Ben Van Vliet is a Lecturer at the Illinois Institute of Technology (IIT), where he also serves as the Associate Director of the M.S. Financial Markets program. At IIT he teaches courses in quantitative finance, C++ and .NET programming, and automated trading system design and development. He is vice chairman of the Institute for Market Technology, where he chairs the advisory board for the Certified Trading System Developer (CTSD) program. He also serves as series editor of the Financial Markets Technology series for Elsevier/Academic Press and consults extensively in the financial markets industry.

Mr. Van Vliet is also the author of "Modeling Financial Markets" with Robert Hendry (2003, McGraw Hill) and "Building Automated Trading Systems"(2007, Academic Press. Additionally, he has published several articles in the areas of finance and technology, and presented his research at several academic and professional conferences.

Table of Contents

Acknowledgments     xiii
Introduction     1
ISO C++     2
Structure of This Book     2
Introduction to Visual C++.NET 2005
The .NET Framework     5
MS Visual Studio 2005 Project Structure     5
What is C++/CLI?     5
Why Visual C++.NET?     6
The VC++.NET Compiler     7
What About Speed?     7
The .NET Framework     7
Sample Code: MessageBox_Example     9
Sample Code: StringConcat_Example     11
Sample Code: Debug_Example     12
Versioning     14
Summary     14
Tracking References     15
Sample Code: TrackingReference_Example     15
Sample Code: TemplateFunction_Example     16
^Managed Handle     16
Sample Code: RefType_Example     17
Summary     17
Classes and Objects     19
Abstraction     19
Encapsulation     21
Inheritance     21
Polymorphism     21
Memory Management in .NET     21
.NET Types     22
Unmanaged Types     23
Mixed Assemblies     23
Summary     23
Reference Types     25
Sample Code: RefType_Example     26
Delete and Dispose     27
Finalize     28
Sample Code: Finalize_Example     29
Stack Semantics for Ref Types     30
Nullptr Reference     30
This is Important     31
Summary     31
Value Types     33
Sample Code: ValueTypes_Example     34
Sample Code: PassingValueTypes_Example     35
Summary     36
Unmanaged Objects     37
Sample Code: UnmanagedObject_Example     37
Summary     39
Composition     41
Sample Code: Composition_Example     41
Sample Code: UnmanagedComposition_Example     44
Sample Code: ManagedComposition_Example     46
Summary     48
Properties     49
Sample Code: Properties_Example     49
Summary     50
Structures and Enumerations     51
Sample Code: ValueStructure_Example     51
Sample Code: ReferenceStructure_Example     52
Sample Code: Enums_Example     53
Summary      53
Inheritance     55
Access Modifiers     55
Object Class     56
Abstract and Sealed Classes     56
Sample Code: Inheritance_Example     56
Interfaces     58
Sample Code: Interface_Example     59
Runtime Callable Wrapper     60
Summary     60
Converting and Casting     61
Converting     61
Sample Code: Convert_Example     61
Static Casting     62
Sample Code: StaticCast_Example     62
Dynamic Casting     62
Sample Code: DynamicCast_Example     62
Safe Casting     64
Sample Code: SafeCast_Example     64
Summary     65
Operator Overloading     67
Sample Code: OpOverload_Example     67
Summary     69
Delegates and Events     71
Delegates     71
Sample Code: Delegates_Example     72
Multicasting     73
Sample Code: Multicast_Example     73
Events     75
Sample Code: Event_Example     76
Wrappers     78
Sample Code: Wrapper_Example      78
Asynchronous Method Calls     80
Sample Code: AsynchEvent_Example     80
Summary     82
Arrays     83
Sample Code: ManagedArray_Example     83
Sample Code: PassingArrays_Example     84
Summary     85
Generating Random Numbers     87
Sample Code: Random_Example     87
Sample Code: StdNormRandom_Example     87
Summary     89
Time and Timers     91
Sample Code: Milliseconds_Example     91
Stopwatch     92
Sample Code: Stopwatch_Example     93
Timers     93
Sample Code: FormsTimer_Example     93
Sample Code: ThreadingTimer_Example     95
Sample Code: TimersTimer_Example     96
Summary     98
Input and Output Streams     99
FileStream Class     99
StreamWriter Class     99
File and Directory Classes     99
Application Class     100
FileMode Enumeration     100
Sample Code: StreamWriter_Example     100
Sample Code: StreamReader_Example     101
Summary     101
Exception Handling      103
Sample Code: Exceptions_Example     103
Catching Unmanaged C++ Types     104
Summary     105
Collections     107
Sample Code: Hashtable_Example     107
Sorted List Class     109
Sample Code: SortedList_Example     109
Thread Safety     110
Generics     110
Sample Code: LinkedList_Example     110
Sample Code: Generics_Example     111
Summary     112
STL/STL.NET     113
Sample Code: STL.NET_Example     113
Sample Code: STL_Example     114
Summary     114
DataSets     115
Sample Code: DataSet_Example     116
Rows, DataRowCollections, and DataRows     116
Summary     117
Connecting to Databases     119
Database Connection     119
DataAdapter     120
Sample Code: ADO.NET_Example     120
Enumerating Through All the Data in a DataSet     122
Using Excel as a Data Source     123
Writing XML from a DataSet     123
Updating a Database with Changes in a Dataset     123
Retrieving Data with a DataReader      124
Summary     124
Structured Query Language     125
Data Manipulation Language     125
Updating a Database with Changes in a DataSet     138
Data Definition Language     138
Summary     140
XML     141
Well-Formed XML Documents     141
Valid XML Documents     141
XML Schema Documents     142
Parsers     142
Sample Code: Traders.xsd     142
Sample Code: XmlWriter_Example     144
Sample Code: XmlReader_Example     144
Summary     146
Financial Information Exchange Protocol     147
XML Protocols in Financial Markets     147
Overview of FIX     148
Summary     151
Serialization     153
Serialization_Example     153
Summary     154
Windows Services     155
Sample Code: WindowsService_Example     155
Summary     159
Setup and Installation Packages     161
Sample Code: Installation_Example     161
Summary     162
Concurrency
Threading     165
Threading Namespace      166
Sample Code: Thread_Example     166
Sample Code: ThreadAbort_Example     167
Thread Priority     169
Sample Code: ThreadPriority_Example     170
ThreadState Enumeration     170
ThreadPool Class     171
Sample Code: ThreadPool_Example     171
Updating Forms from Other Threads     172
Sample Code: FormUpdate_Example     172
Thread Safety     174
Summary     175
Synchronization Classes     177
Sample Code: Synchronize_Example     177
Mutex Class     178
Example Code: Mutex_Example     178
Semaphore Class     180
Sample Code: Spmaphore_Example     180
Monitor Class     182
Sample Code: Monitor     182
Summary     182
Sockets     183
Sample Code: SynchronousServer_Example     184
Sample Code: SynchronousClient_Example     187
Summary     189
Interoperability and Connectivity
Marshaling     193
Marshal Class     193
Sample Code: StringToCharArray_Example     194
Summary     194
Interior and Pinning Pointers      195
Sample Code: InteriorPointer_Example     195
Pinning Pointers     196
Sample Code: Pinning_Example     196
Summary     198
Connecting to Managed DLLs     199
Example Code: DLL_Example     199
Summary     201
Connecting to Component Object Model (COM) DLLs with COM Interop     203
Sample Code: MyCOMLibrary     203
Sample Code: UsingCOMDLL_Example     207
Summary     207
Connecting to C++ DLLs with Platform Invocation Services     209
Calling C-Style Functions     209
Sample Code: MyWin32Library     209
Sample Code: UsingWin32DLL_Example     211
Creating Objects     212
Sample Code: MyWin32ClassLibrary     212
Sample Code: UsingWin32Class_Example     214
CallingConventionEnumeration     215
Summary     216
Connecting to Excel     217
Sample Code: ControllingExcel_Example     217
Sample Code: ExcelChart_Example     220
Summary     221
Connecting to TraderAPI     223
TraderAPI Overview     223
FillObj     224
InstrObjClass      224
InstrNotifyClass     225
OrderObj     225
OrderProfileClass     225
OrderSetClass     226
Sample Code: TraderAPIConnection_Example     227
Summary     230
Connecting to XTAPI     231
Sample Code: XTAPIConnection_Example     231
Summary     233
Automated Trading Systems
Building Trading Systems     237
Buy vs. Build     237
Data Mapping     239
Speed of Development     240
Ten Things that Affect the Speed of a Trading System     241
Getting It Right     242
Logic Leaks     243
Ten Things that Affect the Profitability of a Trading System     244
Summary     245
K|V Trading System Development Methodology     247
The Money Document     249
Research and Document Calculations     249
Back Test     252
Implement     253
Manage Portfolio and Risk     255
Summary     257
Automated Trading System Classes     259
Instrument Class     259
Order Class     263
Order Book     264
Bracket      264
Tick     264
Tick or Bar Collection     264
Bar     264
System Manager     265
Graphical User Interface     265
Summary     265
Single-Threaded, Technical Analysis System     267
Sample Code: TechincalSystem_Example     268
Summary     277
Producer/Consumer Design Pattern     279
Sample Code: ProducerConsumer_Example     279
Summary     287
Multithreaded, Statistical Arbitrage System     289
Sample Code: Spreader_Example     291
Summary     304
Conclusion     304

What People are Saying About This

From the Publisher

Illustrates how to take quantitative finance methods and implement them in the real-world, real-time, electronic markets using Microsoft’s .NET platform

Editorial Reviews

"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 Publisher