Hi everyone, I would like to ask if there is any book on building algorithms with C++. I built systems with PowerLanguage/Easylanguage, but I would like to implement other ideas and try to create an application that might help with the development process. I simply need some examples and a good C++ library. Let me know, thank you.
Here you can find many related sources (documents, links, lists, source code, libraries, etc.): https://www.quantstart.com/articles/Quantitative-Finance-Reading-List/ See also the links to the 3 books of the author (Michael Halls-Moore) there: https://www.quantstart.com/cpp-for-quantitative-finance-ebook/ https://www.quantstart.com/advanced-algorithmic-trading-ebook/ https://www.quantstart.com/successful-algorithmic-trading-ebook/
That looks great, thank you. I did not specify that I focus on Futures market mainly (momentum and mean-reverting systems), the website seems related to Options and arbitrage algorithms.
Take a look at NinjaTrader tons of trading features there already plus full power of c# to do what ever you need. We using it for fully automated trading.
It will be dependent on the broker you choose to trade. There are two main fields where you could start looking at: - TCP socket programming - Web APIs, REST Brokers that offer a local gateway for authentication will force you to use the fist option. That was the standard ages ago and it still used these days. They will provide a very specific format that you must follow in order to send commands to them. Other brokers, the most advanced ones, follow the standard for Oauth REST APIs. That should be your preferred way to go, eventually they all will follow this path one way or another. Their formats will be plain json or xmls files. So looking for libraries to parse these formats will be essential. Either way, you will have examples from their client libraries. They normally ship and SDK with examples for you to crack on.
Are you sure you want to learn C++? C# or Java are easier languages to learn and quite powerful. You might not need C++.
For finance you need C++ as most libraries and applications, incl. server applications (backoffice and internal as well external APIs), are usually written in C++ and C.