This book began as the class notes for a course I teach at the Illinois Institute of Technology
called Advanced Object Oriented Programming for Financial Markets. In this class we cover
automated trading system design and development using Microsoft Visual C++. When I started
teaching this course several years ago, I could not find a book that covered all the topics neces-sary to build real-time, automated trading systems and so, as a result, this book attempts to do
just that—it brings together programming and technology-related topics for the development
of trade selection, order routing, order management, and position management algorithms. I do
hope that more schools will offer courses on automated trading system design in the future and
that this book will be helpful in their instruction