Any good book for learning trading system programming?

Discussion in 'Programming' started by j2ee, Apr 12, 2013.

  1. j2ee

    j2ee

    My goal is using C# to build a trading system and use it with IB to trade future. Is there any good book out there to complain how to build a personal trading program? I did check it in Amazon but seem like there is only one pretty old one talking about .net. Any good idea?
     
  2. Just do it.

    I read books and followed all kinds of recipes over the years, but the best way to learn is to just fight the problems yourself and be fierce about it. Don't get discouraged, just build.

    Even if what you code is a piece of shit, make a note of the shittiness and try to avoid it when you inevitably rebuild something else. Also, pay attention to risk-management logic. Take twice as long on this if you must, but don't skimp on safety.

    Good luck. I hope you are successful.
     
  3. Yes and no. There are some good books about how to build trading systems that focus not on the trading system but on the build part. Issues to look for, how to analyse and optimize. Curve fitting, rating results etc. That is a lot of math that can be learned.
     
  4. j2ee

    j2ee

    Any good math/stats book?
     
  5. It’s absolutely true that the best way to learn to program is just by doing. Even the code isn’t great, a lot of times the best way to learn to code is just to code a lot. Make a note about what you think you could do better.

    Also, I’d advise learning more than one language. C# is a great language, but sometimes being able to work with more than one can help you spot similarities in both and better understand how everything works.

    As far as books go, not sure which would be good. I tend to think the tutorials right from MSDN are good: http://msdn.microsoft.com/en-us/library/aa288436(v=VS.71).aspx.
     
  6. Start with "Fooled by Randomness" - a must have. You will do backtesting, and that will bite you if you dont get an understanding to read the results.

    Then there are some nice books at amazon on system development.

    http://www.amazon.com/Trading-Syste...lio-Optimisation/dp/1905641796/ref=pd_sim_b_1

    is also decent. It has a sample system, but it focuses a lot on the development process.

    Then there is:

    http://www.amazon.com/dp/0470128011/ref=rdr_ext_sb_ti_hist_2

    The Evaluation and Optimization of Trading Strategies (Wiley Trading)

    It talks a lot about - well - the development process ;)
     
  7. j2ee

    j2ee

    I have read the first one and just scan the content of the second one. I believe both have mentioned any strategy detail and that should be what I need the most now, thanks anyway:)
     
  8. j2ee

    j2ee

    I almost forgot this post:D
     
  9. You probably have to read 10 books on programming, 10 on trading/investing and 10 on economics/finance. But if I was forced to pick one I'd go for Quantitative Trading by Ernie Chan.
     
    #10     May 9, 2013