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

Book 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 sectionsprogramming techniques and automated trading system ( ATS ) technologyand 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

Customer Reviews:

great book for wall street developers.......2007-06-29

Unlike some other comments about this book, the intended readers are serious developers who have not started or just begining to use .Net 2005 framework. That is why some readers do not like this book.

A pure programmer do not need to read this book.
A pure quant strategist do not need this book.
A network specialist do not need this book.

It is only good for the intended readers.

Excellent resource to build Automatic Trading Systems.......2007-04-22

I read some of the other reviews and was moved to write my own evaluation as those reviews were mistreating this book.

This book is NOT fiction nor is it a comprehensive reference on C++.Net. so for someone trying to read this book from cover to cover will not feel like adding much value. Also the title says it clearly that the book includes an introduction to VC++.Net (just want to stress that the book is not meant to teach you the language in and out)

The value in this book is to understand the typical challenges that financial trading systems offer and some really insightful examples on how to solve them. This book deals with everyday problems that any programmer will face when building his/her own trading system (Automated/semi-automated). There is a lot of good advice on Building Automatic Trading Systems all compiled into one resource.

Like I mentioned before the book is not a comprehensive reference on C++.Net(Use MSDN for that) and neither is it verbose, but simply a bridge between building trading systems and programming. The introduction to VC++.Net is a quick read even if you have no or basic programming skills and only serves as an introduction to the language with a quick reference of the concepts.

I love this book and appreciate some of the issues that it addresses. It also better prepared me for the job that I got after taking Professor Van Vliet's class and using this book for the same.

I recommend this book for all those developers (or beginners) who are dealing with financial markets and have the need to build ATS.

Excellent CONCISE Treatment of C++.Net.......2007-04-13

I feel I am qualified to review this book as I have been a student of Professor Van Vliet's at IIT-Chicago. I have taken his courses in ANSI C++,VB.Net,and developing automated trading systems using C++.Net. I took the course in C++.Net/Automated Trading Systems using the notes that were the basis for this book.

A few of the previous reviews were way off the mark in my opinion. One of Professor Van Vliet's strengths and approach to programming is to develop concepts through simple examples. In this book, as in all his classes, he gives small but complete programs to learn concepts. Most books, e.g. Deitel, introduce concepts with 2-3 page programs where you get lost in what you are trying to learn. Van Vliet emphasizes that programming is learned by doing, not just by reading. If you just plan to read the book and not actually implement the programs then maybe it's value is limited. But this is not how most people REALLY learn programming. You have to get your hands dirty.

Previous reviews are way off the mark in terms of substance as well. You just have to go to MSDN's documentation on C++.Net to see that Van Vliet includes a lot of helpful information that is hard to find in other books and on the NET. For example, for those who care to pay attention, he does an excellent treatment on how to get to methods in objects stored in hashtables and sorted lists. Almost all other discussions of hashtables use very primitive hashtables where you only store a key and a simple value (like an integer or string) . Van Vliet actually shows ways, for example, to create a Stock Class with all the attributes of a stock and then store the stock objects in a hashtable that would represent a portfolio. (this is not the example in the book but he clearly shows you how to do this). Then he shows you how to get at the methods using a dynamic cast or static cast (with the advent of generics in VS 2005 there are now even better ways in some instances).

To give further evidence of his building block approach and the substance in the book, Van Vliet towards the end of the book develops a single-threaded algorithmic trading system and then uses a producer-consumer semaphore model to show you how to create a multi-threaded algorithmic trading system. Where else can you find this in the literature? He even created his own API, Trader API, that is very similar to that of Trading Technologies's XTAPI, so programmers can learn how to connect and use an API.

Finally, through my study with Van Vliet I have been able to write multi-threaded trading programs using XTAPI, write a stat arb program for equity trading that searches a large database of equities, write technical trading systems, and write factor model programs for equity trading. In large part because of what I learned from Professor Van Vliet at IIT I have been able to be employed by a local hedge fund. Whenever I program his books are with me for reference purposes.

J.S. Haworth
April 2007

Unreadable...........2007-04-02

Strong regret that I spent 80$ on this book. The backcover said this book was suitable for people who wanted to learn c++.net with a focus on trading systems, however the intro to the language itself is very very light.

It starts directly with pages of code (that you can find on the cd...) explaining how to manage threads, processes, time etc etc.

I had the feeling that this book has no real beginning nor real ending and that chapters can be all mixed up, it won't change anything.
On the other side, I am maybe too beginner for it. Maybe this suitable for people who want to transfer their system from one language to c++.net.

Excellent book for beginners to intermediate develepers.......2007-03-23

I thought this was an excellent book for beginner and intermediate developers. It takes you through the building blocks necessary to create a fully functioning automated trading system. Especially useful for programmers in other languages that are looking to transfer their code to C++.net. I've have 7 years of experience in financial programming and many of the problems addressed in this book, I deal with on a daily basis.

Introduction to MFC Programming with Visual C++

Average customer rating:

good seller, definitely recommend
Excellent Intro Book!!! Best Programming book ever read
Not the best, but not too shabby
great book for a beginner
programmingglitch

Introduction to MFC Programming with Visual C++
Richard M. Jones
Manufacturer: Prentice Hall PTR
ProductGroup: Book
Binding: Paperback

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ASIN: 0130166294

Customer Reviews:

good seller, definitely recommend.......2005-09-04

Shipping is prompt, and the item is in good condition as described.

Excellent Intro Book!!! Best Programming book ever read.......2005-08-17

This is the best programming book that I read from page 1 to the last page. I hope Jones can write more books on MFC or Visual C#. Not only did I learn MFC concepts and programming skills, but also I found Chapter 1 and 2 are very useful because they are basic and fundamental to C++ that I sometimes forgot. I love the pace and layout of this book. User-defined messaging and modeless are explained in a very nice way. The Appendice are very useful too.

I give this book a full 5 stars.

Not the best, but not too shabby.......2005-03-19

MFC programming is a bear, especially in VC++ 6.0 (not .NET). This book does a decent job of introducing key concepts, and comes with a mountain of sample code on CD. If MFC/VC++ were my first programming language, I would look for a book geared more towards total complete novices; otherwise, it does the trick.

great book for a beginner.......2004-12-11

This is an excellent book for a beginner--a beginner to MFC. It teaches you the basics( classes, pointer, ....) if you happen to have forgot them and it teaches you an undestanding of HOW MCF works and HOW to use it.

Most books seem to teach you how to use it, leaving how it works for the unknown, but this book does both. The layout of the book is excellent. 1/2 a page is code and the other 1/2 explains the code, very useful so you do not have to switch pages trying to see what they are talking about.

I really do not have anything to negatively say about this book. I am happy that I found a book that teaches the how and why. Great book for the beginner, and probably a decent book for the intermediate.

Note: It would be a good help, almost a must to have some understanding of function, arrary, memory, containers, classes work before you get this book.

programmingglitch.......2004-04-26

If you want to do some professional programming this book is almost a waste. It is very basic. VERY BASIC. Doesnt answer any of the basic questions. Okay. With MFC and SDI and MDI and all the supposedly cool and hyper smart stuff we at least hope to go beyond writing codes in SDI and MDI for saying "Hello World", and typing three stings as a document file. If that is supposed to be smartness....god save the world. No Help. With anything. Wont help you write a windows application. Unless ofcourse, you are the hello world kid. And get an ego boost once your hello world works!

Embedded Control Systems in C/C++: An Introduction for Software Developers Using MATLAB

Average customer rating:

Title is a complete misrepresentation
A totally misrepresented useless book
Good overview of control systems, not too much C/C++

Embedded Control Systems in C/C++: An Introduction for Software Developers Using MATLAB
Jim Ledin
Manufacturer: CMP Books
ProductGroup: Book
Binding: Paperback

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ASIN: 1578201276

Book Description

Implement proven design techniques for control systems without having to master any advanced mathematics. Using an effective step-by-step approach, this book presents a number of control system design techniques geared toward readers of all experience le

Using the techniques and reusable code in Embedded Control Systems in C/C++, embedded systems developers can design control systems without the advanced calculus skills that are typically required.

Customer Reviews:

Title is a complete misrepresentation.......2006-09-27

This book is a complete joke, the title is a complete misrepresentation of the book's contents. I've read journal articles that have more information on embedded control than this 200+ page book.

Everything in this book can be gotten from more complete references on control systems, such as Dorf and Bishop's "Modern Control Systems" for starters. Even Phillips and Nagle's "Digital Control System Analysis and Design" has more information on embedded control when it isn't even the primary focus of their book.

Instead of explaining how to program control systems in C/C++ the author provides a brief overview of control techniques and MatLab code.

The author never actually discusses embedded control which is the title of the book. The point of the book, and even the title, is supposedly to explain how to control embedded systems with C/C++, yet the author never discusses anything remotely close to this, the closest he ever gets are programs that convert MatLab files to C. This is completely useless if the author doesn't explain how to use a converted MatLab file on an embedded microcontroller. The author doesn't even have examples on choosing processors for embedded systems.

Save $70 and put it towards a real controls book.

A totally misrepresented useless book.......2005-09-10

The author undertakes to teach you control systems w/o underlying mathematics. Well, I thought, that's nice (and, needless to say, it makes a good selling point), but... there's one but here: it may not be possible. And indeed the author has not succeeded at his stated goal. Not only that, he hasn't even tried: without any preliminaries (other than the declaration of intent to make it simple) the author starts bashing you over the head with s-notation (Laplace), poles and zeros, state space, swiped sines, linear/non-linear DEs, root locuses, eigenvalues, covariant matrices. etc. If using complicated things (after promising not to) w/o explaining or even defining them first in any way means making it simple, then this book is a success. I however, don't see it this way.

Here's the missing reality check: in order to understand what's going on there you need to be comfortable with: complex, vector, and matrix analyses, integral transforms (Laplace and Fourier), and signal processing. In other words, you need to have studied control (and that, of course, implies a solid mathematical background). You also need to know Matlab, or at least understand how one works with it in general.

The C++ aspect of the book is a joke: there's two and a half primitive snippets of code that any idiot could write if he knew what is to be achieved -- and for that you need the things I've mentioned above. Why it's in the book I can't fathom... maybe to have a pretext, no matter how thin, for putting the "in C/C++" on the cover.

Well, OK, the first few chapters (like, three) do present a few useful things (PID controllers and tuning) in an understandable way (how's your calculus, btw?). The bibliography is decent too: small, but pointed and of good quality (though no surprises here: for integral transforms, go for Churchill; for system identifications, Ljung; for signals, Oppenheim... but we already knew that, didn't we). In fact, why stop here: there are very good control textbooks as well -- Astrom, Ogata, etc., etc. Full of math, yes, but not promising anything their authors have no intention of fulfilling. Once you're through the texts like that, you'll be able to digest Mr Ledin's book (of course the question then becomes, what the hell you'll need if for?)

Another question: what's the deal with the word "embedded" in the title? There's zilch in this book about anything specifically embedded. Another sales-enhancing magic word?

Bottom line: being smart enough to understand this book implies that you don't need it; not being smart enough... well, then it seems like you don't need it either. I have no doubts that Mr Ledin is a very smart engineer -- and god bless, more power to him here -- but as to bookwriting... What good is this book? Who's it for? No simple mortal fits the bill: everyone will be either too smart to need it, or too stupid to understand it.

Regrettably, "Embedded Control Systems in C/C++" is yet another typical CMP book -- expensive, misrepresented, and useless. Oh yeah, and it's poorly written too (but that's the least of this book's flaws).

Absolutely not recommended.

Good overview of control systems, not too much C/C++.......2005-07-19

I'm still finishing the book, so this review may be a little unfair. There are two unfortunate things about this book. The title indicates C/C++. There's not that much code in the book, especially for the analysis of the control systems. More implementation of the controller, which is OK. Keep in mind that's not the main goal of the book. The overview of control systems is pretty good with just enough of the theory and math. I was seeking an introduction so I could better understand what the control systems experts are battling with servo development and tuning. The second issue I have is I think the dependency on Matlab is a little too much. It would have been great if the publisher could have included a stripped down version of Matlab on the CD. Many of the 'solutions' are pretty magical as we just plug into Matlab and have our answer with somewhat incomplete explanations of what Matlab is doing to figure it out. I have yet to see an example of motor control and/or the plant model for a motor, which is what I'm particularly interested in. An example, with hardware, would have been great. Overall, I'm happy I bought the book and feel I better understand the basic theory and challenges of control system development and modeling.

Starting Out with Alice: A Visual Introduction to Programming

Average customer rating:

Starting Out with Alice: A Visual Introduction to Programming
Tony Gaddis
Manufacturer: Addison Wesley
ProductGroup: Book
Binding: Paperback

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ASIN: 0321475151

Book Description

Starting Out with Alice: A Visual Introduction to Programming presents a fun and motivational way for novice programmers to learn the basic tenets of programming. Using Alice, an innovative and increasingly popular teaching tool, readers from a variety of backgrounds create virtual programming worlds of animations and computer games.

Introduction to Alice and Objects; Programming in Alice; Variables, Functions, Math, and Strings; Decision and Repetition Structures; Methods, Functions, and More about Variables; Events; Lists and Arrays; Recursion.

For all readers interested in programming using Alice.

Average customer rating:

Zeroxed Book?
Did they photocopy this book?
Waaaaay too basic
A Good Introductory Book
Well worth it!

Introduction to C# Using .NET
Robert J. Oberg
Manufacturer: Prentice Hall PTR
ProductGroup: Book
Binding: Paperback

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ASIN: 0130418013

Customer Reviews:

Zeroxed Book?.......2006-09-14

I didn't like this book. It does not go into the individual concepts enough. I found it to be really unhelpful. And sorry, but my desk already has a paperweight. And I have issues about spending any amount of money for what amounts to a bound version of copied paper. The entire book was a very poor zerox copy.

Did they photocopy this book?.......2006-04-27

I just opened up the OOP section and noticed that the diagrams that are in the book appear to be photocopied. One diagram shows an inheritance relationship between some banking objects. There are nine objects in the diagram and you CAN NOT see the lines bordering each object, nor the lines between the objects. Most of the other line diagrams are fuzzy and not solid (imagine taking a faint line drawing and photocopying it). Two big thumbs down on printing quality. As for the material, I have read about 3-4 paragraphs, so I can't comment on it. I am seriously considering returning it since some of the diagrams are unreadable.

Waaaaay too basic.......2006-02-14

OK. I am an experienced C/C++ programmer, so you have to keep in mind that this review will be based on my background. The book is OK. That's why I gave it a 3, but it's nothing more. It is very basic. It has good explanation of the basics, but nothing more. And my opinion is that if you are a C/C++ programmer you really don't need the C# basics. They are just so similar. The thing I hate the most about this book is that it doesn't go into depth at all. Some concepts are not explained very well either. I actually wish that I hadn't bought this book. I am yet to see a good C# book.

A Good Introductory Book.......2005-01-25

A good introductory book - if you already have a good background in C/C++. Otherwise, you'd be struggling and may need some other really basic books to complement your reading.

Most books have erratas and this book is no exception. However, it is minimal and acceptable.

Well worth it!.......2004-12-12

Very well written book that will help anyone at any level learn C#. I've read many books on C# and this one is the best - hands down.

Descriptive Metadata for Television: An End-to-End Introduction

Average customer rating:

Clear, precise introduction to media asset management
Good information on an obscure issue

Descriptive Metadata for Television: An End-to-End Introduction
Mike Cox , Ellen Mulder , and Linda Tadic
Manufacturer: Focal Press
ProductGroup: Book
Binding: Paperback

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ASIN: 0240807308

Book Description

Descriptive Metadata for Television is a comprehensive introduction for television professionals that need to understand metadata's purpose and technology. This easy-to-read book translates obscure technical to hands-on language understandable by real people.

* Must-have information for video production in an IT world
* Introduces metadata to people who have only heard of the word
* Short and introductory-no technical knowledge necessary

Customer Reviews:

Clear, precise introduction to media asset management.......2007-02-20

At first glance, this book resembles a survey course on how to use descriptive metadata to manage digital television assets. Touching on all the basics of metadata from identifiers to schemas to preservation, this comprehensive overview is a must for anyone tasked with implementing a digital asset management project. It offers an introduction to all the emerging standards from the library sciences to industry organizations along with sample metadata sets from several repositories (CNN, UCLA Film and Television Archive to name two).

The real value of this book, however, is in the collaborative efforts of the authors which created this unified whole. This collaboration mirrors the future business partnerships that must solidify in order to realize the promise and potential of metadata: the partnership between engineers, library science/information architects and archivists. As represented by Mike Cox, Linda Tadic and Ellen Mulder, this clearly articulated book itemizes each component necessary to manage the digital representation of a fundamentally collaborative medium.

Good information on an obscure issue.......2006-11-10

If you are trying to justify a digital asset management system to your boss, you will need all the help you can get. If you are trying to rationalize the new system to your coworkers, you will need this book (and much more). If you don't know anything about metadata in the creative arts, this book is a decent place to start. It is practical education and the information is generally accessible. the topic gets esoteric quickly, though; DAM is a narrow field of database development and using DAM for television systems adds another level of specialization.
The authors present valuable lessons in the fundamentals of DAM usage, benefits from real world applications of DAM, metadata creation and entry, and descriptions of existing controlled vocabulary systems and taxonomy structures. However, this is only one piece of the metadata and digital asset management puzzle. You will need much more information and research to design, purchase and build a system that works in your facility or company.
What's missing? In-dpeth product evaluations and suggestions on how to select a decent solution. However, this really is not a not a fault of the work; the marketplace for DAM is not standing still so it's impossible to include timely information.

Check out Peter Krogh's "The DAM Bok" and Jens Jacobsen (et al) "Implementing a Digital Asset Management System for animation computer graphics and Web development." There are thousands of white papaers on the Web.

david boise ID

Introduction to Graphics Programming for Windows 95: Vector Graphics Using C++

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Introduction to Graphics Programming for Windows 95: Vector Graphics Using C++
Michael J. Young
Manufacturer: Morgan Kaufmann Pub
ProductGroup: Book
Binding: Paperback

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ASIN: 0127733507

From C to C: An Introduction to ANSI Standard C with Reference Manual

Average customer rating:

C for the High school Graduate

From C to C: An Introduction to ANSI Standard C with Reference Manual
James Gardner , and Software Development Group
Manufacturer: Oxford University Press, USA
ProductGroup: Book
Binding: Paperback

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ASIN: 0155291726

Book Description

This text is appropriate for any C programming language course. Part I comprises a complete tutorial for learning C language, plus programming strategies on correct programming style and hints on maximizing portability. Part II is a complete and in-depth reference manual of the language, which the student will need as a serious programmer and later as a professional. An appendix compares ANSI C with older versions of C. Twelve chapter summaries provide quick review of material, and ten tables summarize the most significant features of the language. Functions are introduced in the very first chapter.

Customer Reviews:

C for the High school Graduate.......2000-02-24

The book teaches C and programming without insulting the reader's intelligence. Every important construct and nuance of the language is clearly explained. The sample problems are no more complex then necessary to reinforce the lesson. The chapter quizzes include a cumulative project to give a practical perspective.

Customer Reviews:

Great Book.......2001-02-11

This is a very good book for intro. in programming. There are lots of very examples and explainations of different terms.

Buy it and you'll enjoy it.

Customer Reviews:

It is too old!.......2000-06-17

The content of this book (1988) is no more valid. The world of c++ has changed a lots. The book doesn't mention iostream, standard template library, such as linked list, string, vector, etc. Even the syntax is sort of old fashion. If you are a beginner, the book is not for you. If you are a librarian, buy it to prove that your library has history.

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