Building Automated Trading Systems

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