Recommend a Book on Programming for Trading

C

CodeX

Do you recommend a book on Java / C++? I intend to learn both
I am interested in an application book; one that takes an indicator / Trading System and disects the code used to build the program.
 
No indicators, but if you are a noob, Joshi's book "C++ Design Patterns and Derivatives Pricing" is a good one to get started with.
 
Quote from Equalizer:

No indicators, but if you are a noob, Joshi's book "C++ Design Patterns and Derivatives Pricing" is a good one to get started with.
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Thanks for the recommendation, i might use this one to re-polish my C++ skills. Then what? Any recommendations? I am interested in any books that will help me not only master the C++ and java but also utilize them in programming systems for trading. I know one thing leads to the other, but if there's a book or a course that can cut the learning curve short by focusing on trading systems that would be the preferred way. If not, then so be it....
 
Eh this is an incredibly vague question and also Joshi's book is mostly on implementing specific design patterns for derivatives pricing which will not help whatsoever in building an ATS.

Barry Johnson -
http://www.amazon.com/Algorithmic-Trading-DMA-introduction-strategies/dp/0956399207

Narang -
http://www.amazon.com/Inside-Black-...82967647&sr=1-1&keywords=inside+the+black+box

Johnson is very good book from a practitioners point of view. I read the first edition of Narang's book and I'd say take it with an large grain of salt - there are a few good pieces in there about building infrastructure but everything else is not good at all.

I don't think there's a specific language to learn in order to build an ATS. It all really depends on what your trading requirements are. If you're trying to build an ultra low-latency trading system then you'd probably want to look in C and Assembly. If you're trying to build something that fires off VWAP orders at 3 PM and isn't latency sensitive, then you could code it anything?
 
Yes, Joshi's book doesn't have anything to do with trading systems, but it provides some properly coded, although elementary, finance examples in C++.

I'd rather the OP learns the basics well rather than read some useless bullshit C++/java book that has "trading systems" in its title.

PS. I would avoid any of Daniel Duffy's books. Seriously, don't even bother.
 
Thanks for the suggestions.

slickpick, the question couldnt be more clear. I wanna learn ATS and i wanna build a solid foundation and start from the basics as equalizer mentioned.
 
Quote from CodeX:

Thanks for the suggestions.

slickpick, the question couldnt be more clear. I wanna learn ATS and i wanna build a solid foundation and start from the basics as equalizer mentioned.
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ATS has different meanings to different people, do you plan on employing strategies where latency is constraint? Or are you just looking to get filled on VWAP on the last hour?

Systems will look quite different depending on your actual trading style. And what's basic for an automated low-frequency trading system is completely meaningless for HFT system.

You don't really want to overengineer, otherwise you're going to spend all of your time on infrastructure and no time on strategy development.
 
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