c++建立自动化交易系统经典教程Vliet B.V. Building automated trading systems (AP,

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Building Automated
Trading Systems
With an Introduction to
Visual C++.NET 2005
Benjamin Van Vliet

Acknowledgments xiii
CHAPTER 1 Introduction 1
1.1. ISO C++ 2
1.2. Structure of This Book 2
Section I: Introduction to Visual C++.NET 2005
CHAPTER 2 The .NET Framework 5
2.1. MS Visual Studio 2005 Project Structure 5
2.2. What is C++/CLI? 5
2.3. Why Visual C++.NET? 6
2.4. The VC++.NET Compiler 7
2.5. What About Speed? 7
2.6. The .NET Framework 7
2.7. Sample Code: MessageBox_Example 9
2.8. Sample Code: StringConcat_Example 11
2.9. Sample Code: Debug_Example 12
2.10. Versioning 14
2.11. Summary 14
CHAPTER 3 Tracking References 15
3.1. Sample Code: TrackingReference_Example 15
3.2. Sample Code: TemplateFunction_Example 16
3.3. ^Managed Handle 16
3.4. Sample Code: Ref Type_Example 17
3.5. Summary 17
CHAPTER 4 Classes and Objects 19
4.1. Abstraction 19
4.2. Encapsulation 21
4.3. Inheritance 21
4.4. Polymorphism 21
4.5. Memory Management in .NET 21
4.6. .NET Types 22
4.7. Unmanaged Types 23
4.8. Mixed Assemblies 23
4.9. Summary 23
CHAPTER 5 Reference Types 25
5.1. Sample Code: Ref Type_Example 26
5.2. Delete and Dispose 27
5.3. Finalize 28
5.4. Sample Code: Finalize_Example 29
5.5. Stack Semantics for Ref Types 30
5.6. Nullptr Reference 30
5.7. This is Important 31
5.8. Summary 31
CHAPTER 6 Value Types 33
6.1. Sample Code: ValueTypes_Example 34
6.2. Sample Code: PassingValueTypes_Example 35
6.3. Summary 36
CHAPTER 7 Unmanaged Objects 37
7.1. Sample Code: UnmanagedObject_Example 37
7.2. Summary 39
CHAPTER 8 Composition 41
8.1. Sample Code: Composition_Example 41
8.2. Sample Code: UnmanagedComposition_Example 44
8.3. Sample Code: ManagedComposition_Example 46
8.4. Summary 48
CHAPTER 9 Properties 49
9.1. Sample Code: Properties_Example 49
9.2. Summary 50
CHAPTER 10 Structures and Enumerations 51
10.1. Sample Code: ValueStructure_Example 51
10.2. Sample Code: ReferenceStructure_Example 52
10.3. Sample Code: Enums_Example 53
10.4. Summary 53

CHAPTER 11 Inheritance 55
11.1. Access Modifi ers 55
11.2. Object Class 56
11.3. Abstract and Sealed Classes 56
11.4. Sample Code: Inheritance_Example 56
11.5. Interfaces 58
11.6. Sample Code: Interface_Example 59
11.7. Runtime Callable Wrapper 60
11.8. Summary 60
CHAPTER 12 Converting and Casting 61
12.1. Converting 61
12.2. Sample Code: Convert_Example 61
12.3. Static Casting 62
12.4. Sample Code: StaticCast_Example 62
12.5. Dynamic Casting 62
12.6. Sample Code: DynamicCast_Example 62
12.7. Safe Casting 64
12.8. Sample Code: SafeCast_Example 64
12.9. Summary 65
CHAPTER 13 Operator Overloading 67
13.1. Sample Code: OpOverload_Example 67
13.2. Summary 69
CHAPTER 14 Delegates and Events 71
14.1. Delegates 71
14.2. Sample Code: Delegates_Example 72
14.3. Multicasting 73
14.4. Sample Code: Multicast_Example 73
14.5. Events 75
14.6. Sample Code: Event_Example 76
14.7. Wrappers 78
14.8. Sample Code: Wrapper_Example 78
14.9. Asynchronous Method Calls 80
14.10. Sample Code: AsynchEvent_Example 80
14.11. Summary 82
CHAPTER 15 Arrays 83
15.1. Sample Code: ManagedArray_Example 83
15.2. Sample Code: PassingArrays_Example 84
15.3. Summary 85

CHAPTER 16 Generating Random Numbers 87
16.1. Sample Code: Random_Example 87
16.2. Sample Code: StdNormRandom_Example 87
16.3. Summary 89
CHAPTER 17 Time and Timers 91
17.1. Sample Code: Milliseconds_Example 91
17.2. Stopwatch 92
17.3. Sample Code: Stopwatch_Example 93
17.4. Timers 93
17.5. Sample Code: FormsTimer_Example 93
17.6. Sample Code: ThreadingTimer_Example 95
17.7. Sample Code: TimersTimer_Example 96
17.8. Summary 98
CHAPTER 18 Input and Output Streams 99
18.1. FileStream Class 99
18.2. StreamWriter Class 99
18.3. File and Directory Classes 99
18.4. Application Class 100
18.5. FileMode Enumeration 100
18.6. Sample Code: StreamWriter_Example 100
18.7. Sample Code: StreamReader_Example 101
18.8. Summary 101
CHAPTER 19 Exception Handling 103
19.1. Sample Code: Exceptions_Example 103
19.2. Catching Unmanaged C++ Types 104
19.3. Summary 105
CHAPTER 20 Collections 107
20.1. Sample Code: Hashtable_Example 107
20.2. Sorted List Class 109
20.3. Sample Code: SortedList_Example 109
20.4. Thread Safety 110
20.5. Generics 110
20.6. Sample Code: LinkedList_Example 110
20.7. Sample Code: Generics_Example 111
20.8. Summary 112
CHAPTER 21 STL/STL.NET 113
21.1. Sample Code: STL.NET_Example 113
21.2. Sample Code: STL_Example 114
21.3. Summary 114

CHAPTER 22 DataSets 115
22.1. Sample Code: DataSet_Example 116
22.2. Rows, DataRowCollections, and DataRows 116
22.3. Summary 117
CHAPTER 23 Connecting to Databases 119
23.1. Database Connection 119
23.2. DataAdapter 120
23.3. Sample Code: ADO.NET_Example 120
23.4. Enumerating Through All the Data in a DataSet 122
23.5. Using Excel as a Data Source 123
23.6. Writing XML from a DataSet 123
23.7. Updating a Database with Changes in a Dataset 123
23.8. Retrieving Data with a DataReader 124
23.9. Summary 124
CHAPTER 24 Structured Query Language 125
24.1. Data Manipulation Language 125
24.2. Updating a Database with Changes in a DataSet 138
24.3. Data Defi nition Language 138
24.4. Summary 140
CHAPTER 25 XML 141
25.1. Well-Formed XML Documents 141
25.2. Valid XML Documents 141
25.3. XML Schema Documents 142
25.4. Parsers 142
25.5. Sample Code: Traders.xsd 142
25.6. Sample Code: XmlWriter_Example 144
25.7. Sample Code: XmlReader_Example 144
25.8. Summary 146
CHAPTER 26 Financial Information Exchange Protocol 147
26.1. XML Protocols in Financial Markets 147
26.2. Overview of FIX 148
26.3. Summary 151
CHAPTER 27 Serialization 153
27.1. Serialization_Example 153
27.2. Summary 154
CHAPTER 28 Windows Services 155
28.1. Sample Code: WindowsService_Example 155
28.2. Summary 159

CHAPTER 29 Setup and Installation Packages 161
29.1. Sample Code: Installation_Example 161
29.2. Summary 162
Section II: Concurrency
CHAPTER 30 Threading 165
30.1. Threading Namespace 166
30.2. Sample Code: Thread_Example 166
30.3. Sample Code: ThreadAbort_Example 167
30.4. Thread Priority 169
30.5. Sample Code: ThreadPriority_Example 170
30.6. ThreadState Enumeration 170
30.7. ThreadPool Class 171
30.8. Sample Code: ThreadPool_Example 171
30.9. Updating Forms from Other Threads 172
30.10. Sample Code: FormUpdate_Example 172
30.11. Thread Safety 174
30.12. Summary 175
CHAPTER 31 Synchronization Classes 177
31.1. Sample Code: Synchronize_Example 177
31.2. Mutex Class 178
31.3. Example Code: Mutex_Example 178
31.4. Semaphore Class 180
31.5. Sample Code: Semaphore_Example 180
31.6. Monitor Class 182
31.7. Sample Code: Monitor 182
31.8. Summary 182
CHAPTER 32 Sockets 183
32.1. Sample Code: SynchronousServer_Example 184
32.2. Sample Code: SynchronousClient_Example 187
32.3. Summary 189
Section III: Interoperability and Connectivity
CHAPTER 33 Marshaling 193
33.1. Marshal Class 193
33.2. Sample Code: StringToCharArray_Example 194
33.3. Summary 194
CHAPTER 34 Interior and Pinning Pointers 195
34.1. Sample Code: InteriorPointer_Example 195
34.2. Pinning Pointers 196
34.3. Sample Code: Pinning_Example 196
34.4. Summary 198

CHAPTER 35 Connecting to Managed DLLs 199
35.1. Example Code: DLL_Example 199
35.2. Summary 201
CHAPTER 36 Connecting to Component Object Model (COM) DLLs
with COM Interop 203
36.1. Sample Code: MyCOMLibrary 203
36.2. Sample Code: UsingCOMDLL_Example 207
36.3. Summary 207
CHAPTER 37 Connecting to C++ DLLs with Platform Invocation Services 209
37.1. Calling C-Style Functions 209
37.2 Sample Code: MyWin32Library 209
37.3. Sample Code: UsingWin32DLL_Example 211
37.4. Creating Objects 212
37.5. Sample Code: MyWin32ClassLibrary 212
37.6. Sample Code: UsingWin32Class_Example 214
37.7. CallingConventionEnumeration 215
37.8. Summary 216
CHAPTER 38 Connecting to Excel 217
38.1. Sample Code: ControllingExcel_Example 217
38.2. Sample Code: ExcelChart_Example 220
38.3. Summary 221
CHAPTER 39 Connecting to TraderAPI 223
39.1. TraderAPI Overview 223
39.2. FillObj 224
39.3. InstrObjClass 224
39.4. InstrNotifyClass 225
39.5. OrderObj 225
39.6. OrderProfi leClass 225
39.7. OrderSetClass 226
39.8. Sample Code: TraderAPIConnection_Example 227
39.9. Summary 230
CHAPTER 40 Connecting to XTAPI 231
40.1. Sample Code: XTAPIConnection_Example 231
40.2. Summary 233

Section IV: Automated Trading Systems
CHAPTER 41 Building Trading Systems 237
41.1. Buy vs. Build 237
41.2. Data Mapping 239
41.3. Speed of Development 240
41.4. Ten Things that Affect the Speed of a Trading System 241
41.5. Getting It Right 242
41.6. Logic Leaks 243
41.7. Ten Things that Affect the Profi tability of a Trading System 244
41.8. Summary 245
CHAPTER 42 K|V Trading System Development Methodology 247
42.1. The Money Document 249
42.2. Research and Document Calculations 249
42.3. Back Test 252
42.4. Implement 253
42.5. Manage Portfolio and Risk 255
42.6. Summary 257
CHAPTER 43 Automated Trading System Classes 259
43.1. Instrument Class 259
43.2. Order Class 263
43.3. Order Book 264
43.4. Bracket 264
43.5. Tick 264
43.6. Tick or Bar Collection 264
43.7. Bar 264
43.8. System Manager 265
43.9. Graphical User Interface 265
43.10. Summary 265
CHAPTER 44 Single-Threaded, Technical Analysis System 267
44.1. Sample Code: TechincalSystem_Example 268
44.2. Summary 277
CHAPTER 45 Producer/Consumer Design Pattern 279
45.1. Sample Code: ProducerConsumer_Example 279
45.2. Summary 287
CHAPTER 46 Multithreaded, Statistical Arbitrage System 289
46.1. Sample Code: Spreader_Example 291
46.2. Summary 304
46.3. Conclusion 304











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