自动化交易系统构建：Visual C++.NET 2005入门

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"Building Automated Trading Systems with an Introduction to Visual C++.NET 2005" 是一本专注于金融市场技术系列的书籍，由Ben Van Vliet主编，旨在通过出版涵盖金融技术和市场的前沿书籍来促进对金融行业技术的理解和专业能力。这本书主要关注自动交易系统、交易和投资系统的构建、后台处理的运营问题、清算与结算以及与技术相关的合规和治理问题。书中深入探讨了自动化交易系统的构建，这是金融市场上一个至关重要的领域。自动化交易系统允许投资者或交易者通过预先编程的规则和算法进行快速、准确的买卖决策，减少了人为干预，提高了效率。这些系统通常基于复杂的数学模型，考虑市场数据如价格、成交量、时间序列分析以及其他市场指标，以预测市场走势并执行交易策略。在介绍Visual C++.NET 2005的部分，读者将学习如何利用这一强大的开发工具来设计和实现交易系统。Visual C++.NET是微软推出的面向对象的编程语言，具有高效、灵活和强大的特性，特别适合于开发高性能的应用程序，如实时交易系统。2005版本提供了改进的.NET Framework支持，简化了开发过程，并提供了丰富的类库和工具，便于创建复杂的金融应用程序。书中可能涵盖了以下几个关键知识点： 1. 自动化交易系统的基本概念：包括算法交易的定义、工作原理、优势和风险。 2. 编程基础：Visual C++.NET 2005的关键特性，如类、对象、异常处理、内存管理和多线程编程。 3. 数据处理和分析：如何从金融市场获取数据，如何处理和分析历史及实时数据。 4. 交易策略开发：设计和实施基于统计和机器学习的交易策略。 5. 交易系统架构：系统组件的分解，包括数据获取模块、策略执行模块、风险管理模块和回测框架。 6. 实时交易接口：与交易所或经纪商的API集成，实现订单的提交和管理。 7. 后台处理和清算：理解交易后的流程，包括清算、结算和报告。 8. 风险管理：实施有效的风险管理策略，如止损和头寸管理。 9. 法规遵从性：了解与自动化交易相关的合规性和监管要求。这本书不仅对有经验的程序员有帮助，也适合于希望进入金融技术领域的初学者，它提供了理论知识与实践应用的完美结合，使读者能够深入了解自动化交易系统的构建，并具备实际开发能力。通过本书的学习，读者将能够运用Visual C++.NET 2005开发出自己的交易系统，从而在金融市场中取得竞争优势。

CHAPTER

◆

Introduction

Automated (or algorithmic) trading systems consist of many parts, both hardware and

software—clients, servers, networks, databases, calculation engines, application program-

ming interfaces, real-time data feeds, and graphical user interfaces. However, the business

logic of trading systems, which consists of trade selection algorithms, order management,

and position management logic, is contained within software, and this book is concerned

with the encapsulation of trading system business logic in software that controls the flow

of market data. (There is no quant in this book.)

An automated trading system consists of the rules for entry into and exit from a position

or positions and the technology, both hardware and software, used to make them happen.

These rules are a set of logical or mathematical operations that can be based on qualitative,

technical, or quantitative research.

If we want to build an automated system that executes trades on electronic exchanges,

we need to learn how to work with data, both real-time market data and historical data, in

code. After all, “data is the lifeblood of electronic markets,” according to David Norman in

his book Professional Electronic Trading.

That’s just what this book is about, using Visual C++.NET to manage financial markets

data (and there is a lot of it) in trading system applications. Generally speaking, this book

covers three things:

1. Managing data in memory.

2. Storing data in and retrieving from databases.

3. Communicating data.

Front office programming in financial markets is largely concerned with connecting

to databases, real-time data feeds, order execution platforms, quant libraries, optimization

engines, charting software, report generation engines, legacy technologies, and Excel, just

to name a few. In order to successfully manage real-time and historical data, we will need

to understand:

1. Event-driven architecture.

2. Concurrency.

3. Connectivity and interoperability.

While this book addresses dozens of important technological issues that you will face

when building real-world automated trading systems in .NET, it does not show you how to

build a profitable trading system. (It is important nevertheless to recognize that technologi-

cal superiority can be a major competitive advantage.) There are four disciplines that go

into automated trading system development—computer science, quantitative finance, trad-

ing strategy, and quality management—and this is a computer science book. Development

and testing of trade selection and risk management methods are topics for other books.

This book covers the basics of what a financial engineer should know about program-

ming in .NET—objects, SQL, multithreading, interoperability, messaging, order selection

algorithms, and order management techniques.

In this text, I have tried to include market-driven, job-relevant information. Today’s

employers in the financial markets demand job readiness. If you want to get a job in the

trading and money management industry, which more and more every day is driven by

automated systems, you will have to have a competitive level of knowledge of program-

ming. You should realize that this book is an overview, however. It will not teach you every-

thing. Technology as a topic is obviously far too vast to cover in one book. Even narrowing

it down to VC++.NET for trading system development is still far too vast. Over the pages,

I will present several important ideas, try to point you in the right direction, and hopefully

in the end inspire you to do additional research on the topic of automated trading system

development. From there, the diligent financial engineer must investigate further on his or

her own.

1.1. ISO C++

This book covers the programming aspects of trading system development and assumes

that you are familiar with ISO C++ programming concepts, including pointers, functions,

objects, and the Standard Template Library.

1.2. Structure of This Book

Automated trading systems find their purest form in high-frequency strategies where speed

of calculation and execution are the competitive advantage. Other systems, where milli-

seconds are not necessarily of the essence, may be fully automated or partially automated.

This text will focus on introducing programming and design concepts for higher frequency

systems.

Discussion of all the alternative technological concepts of trading system design and

presentation of a complete trading system are beyond the scope of a book. The trading

systems presented in this book are drastically simplified in order to illustrate common

programming and design concepts.

This book is divided into four sections. The first section focuses purely on an introduc-

tion to Visual C++.NET types and programming techniques. The second section focuses

on multithreading. The third focuses on interoperability and connectivity and the fourth on

objects, design patterns, and architectural concepts for automated trading system develop-

ment.

In the end, simply reading this book will not make you an expert. To really learn the

material in this book, you should also work through the code samples presented. Only by

involving yourself in the process, and furthermore going beyond it, will you gain under-

standing and intuition. It’s hard work, but it will pay off.

2 CHAPTER

◆

1 Introduction

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