BENJAMIN VAN VLIET – BUILDING AUTOMATED TRADING SYSTEMS C .NET

The proprietary trading and hedge fund industries will migrate to automated trade selection and execution systems over the next few years. This is already happening. While several finance books provide C code for pricing derivatives and performing numerical calculations, no one approaches the topic from a system design perspective. Financial system design and development using Microsoft.NET 2005 will be taught in the book, as well as two sections-programming techniques and automated trading system technology. Most trading firms and large banks have developed and continue to develop their proprietary algorithms in ISO C and Visual C.NET, which provides the greatest flexibility for incorporating them into working systems. The.NET Framework and development environment give the best libraries and tools for rapid development of trading systems. 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 is explained in the first section of the book. This book looks in depth at several advanced topics relating to managed/unmanaged/COM memory management and interoperability, since most legacy code and modeling code in the financial markets is done in ISO C. There are dozens of examples in the book showing the use of database connectivity with ADO.NET. The topics of threading, sockets, and using C.NET to connect to excel are discussed at length and supported by examples. The design concepts for automated trading systems are explained in the second section of the book. Handling real-time data feeds, managing orders in the exchange order book, position selection, and risk management are all covered in the chapters. A.dll is included in the book that will emulate connection to a widely used industry API. Market taking systems are based on technical analysis while market making systems are based on intermarket spreads. This book will educate traders, financial engineers, quantitative analysts, students of quantitative finance and even experienced programmers on technological issues that are related to development of financial applications in a Microsoft environment and the construction and implementation of real-estate. Financial system design and development using Microsoft.NET 2005 is taught in this title. There are many examples of the programming approaches in the book. Screenshots, equations, sample spreadsheets, and programming code are supported by the chapters.

Benjamin Van Vliet is building automated trading systems.

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