Visual C++.NET 2005：金融自动交易系统构建入门指南（2007）

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《使用Visual C++.NET 2005构建自动化交易系统：入门教程》（2007年）是Financial Market Technology Series的一部分，该系列由Elsevier公司与InstituteforMarketTechnology（i4mt）合作推出，旨在发布一系列尖端书籍，探讨技术与金融市场相结合的主题。该系列关注的关键领域包括： 1. 自动化交易：本书深入介绍了如何利用Visual C++.NET 2005这样的编程语言和工具开发自动化交易策略。自动化交易是金融市场的核心组成部分，它通过算法和高级编程实现快速、高效的交易决策，减少了人为错误和提高执行效率。 2. 建立交易和投资系统：作者指导读者如何构建能够执行策略、管理风险并实时响应市场变化的交易和投资平台。这包括设计交易平台的架构、数据处理、以及与交易所的接口等。 3. 后台操作的运营问题：书中也讨论了自动化交易系统的背后运作，如数据获取、存储、分析以及执行流程的优化，确保交易系统的稳定性和可靠性。 4. 清算与结算：涉及自动化交易的结算过程，如何确保交易的正确性、及时性和合规性，以及在复杂金融产品中的处理方法。 5. 法规遵从与治理：在科技驱动的金融环境中，作者还强调了如何应对法规要求，比如AML（反洗钱）和KYC（了解客户）规定，以及如何确保系统的合规性。 Series Editor Ben Van Vliet 是一位讲师和研究生课程的联合主任，他在伊利诺伊理工学院斯图尔特商学院的金融市场硕士项目中教授量化金融和自动化交易系统课程。他为金融市场的专业人士提供了最新研究和实践知识，帮助他们提升对技术在金融领域的理解和专业能力。《使用Visual C++.NET 2005构建自动化交易系统》是一本实用的指南，不仅涵盖了理论知识，还提供了实际操作的技术示例，为希望在这个领域发展的读者提供了宝贵的资源。对于寻求利用现代技术改进交易策略或进一步提升职业生涯的专业人士来说，这本书是不可或缺的学习资料。

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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