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 andan 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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