Professional Automated Trading: Theory and Practice

by Eugene A. Durenard

An insider's view of how to develop and operate an automated proprietary trading network Reflecting author Eugene Durenard's extensive experience in this field, Professional Automated Trading offers valuable insights you won't find anywhere else. It reveals how a series of concepts and techniques coming from current research in artificial life and modern control theory can be applied to the design of effective trading systems that outperform the majority of published trading systems. It also skillfully provides you with essential information on the practical coding and implementation of a scalable systematic trading architecture. Based on years of practical experience in building successful research and infrastructure processes for purpose of trading at several frequencies, this book is designed to be a comprehensive guide for understanding the theory of design and the practice of implementation of an automated systematic trading process at an institutional scale. Engaging and informative, Proprietary Automated Trading covers the most important aspects of this endeavor and will put you in a better position to excel at it.

Genres: Finance

384 pages, Hardcover

First published January 1, 2013

Reviews

[Abhi Yerra · Rating 4 out of 5]

I read this book to understand how computation functions the the finance world especially as it pertains to HFT. In a lot of ways the book covers the same practices to designing systems that are used to create modern web apps and instead of users you have tick data from that market that you have to make sense of. What the author calls swarms and agents translates to micro services and monitoring in the DevOps world. I may reread to dive deeper into the actual strategies that are used but for the most part his design is spot on. Instead of using the Lisp language that he recommends I would say a language like Go which can call out to APIs for different strategies in other languages gives you the same level of parallelism with some of the added benefit of type safety. I do think lisp is a valid choice but if you are going to do it use something like Clojure. Overall a pretty solid book on building a basic trading engine though building the actual working strategies may be the hard part.