Automated E-Trading Systems in .NET

My thought today is on developing C++ and C# applications for an electronic trading environment. Therefore, this week I am looking at VC++/BOOST/ STL, templates, real-time trading, messaging (Tibco Rv, sockets, FIX) and multithreading as well as exchange links, connectivity, data feeds, gateways and TCP/IP for a trading system to cover options, futures and equities. I would use the .NET 3.5 framework with a SQL Server 2005 backend to communicate with (CBOT, CME, NYSE, NASDAQ) and other market data using live feeds from Bloomberg, Reuters and other systems.

In addition, this research is on the use of Smart Order Routing/Matching Engine and the architecture of Order Management Systems and review fixed income derivatives and exotics. Thus, the posts this week will use this as a basic motif.

Monday

Smart Order Routing/Matching Engine

1. http://www.thetradenews.com/791
2. http://streambase.typepad.com/streambase_stream_process/2008/09/smart-order-routing-and-cep.html
3. http://complexevents.com/wp-content/uploads/2008/09/streambase_whitepaper_smart_order_routing.pdf
4. http://www.futuresindustry.org/downloads/Jul-Aug-Algo.pdf
5. http://www.pipelinetrading.com/resources/wst7371_final.pdf
6. http://www.tradingtechnologies.com/news/TT_FA05.pdf

FIX

1. http://www.tradingtechnologies.com/news/TT_FA05.pdf

Tuesday

Visual C++ and Trading Systems

1. http://www.amazon.com/Building-Automated-Trading-Systems-Introduction/dp/0750682515