References and Practical Guidance for Automated Trading Systems

# References for developing an automated trading system?


# References for developing an automated trading system?












I am looking for references on the architecture of automated trading systems and the trading algorithms behind them. I am more interested in system development than analysis. A couple of books I found are Building Automated Trading Systems by van Vliet and Quantitative Trading by Chan. Any other tips or references on this matter would be appreciated.

## Answer by Tal Fishman (score 7, accepted)

https://quant.stackexchange.com/a/1732

In addition to Chan's Quantitative Trading, I have also found the description of trading systems in Rishi Narang's Inside the Black Box to be informative and interesting. There are a few chapters there that give some details on system development, but they are very broad overviews.

## Answer by Andrey Taptunov (score 8)

https://quant.stackexchange.com/a/1730

DSpace@MIT - High frequency trading system design and process management (non-printable)

> This thesis provides a detailed study composed of high frequency trading system design, system modeling and principles, and processes management for system development. Particular emphasis is given to backtesting and optimization, which are considered the most important parts in building a trading system. This research builds system engineering models that guide the development process. It also uses experimental trading systems to verify and validate principles addressed in this thesis. Finally, this thesis concludes that systems engineering principles and frameworks can be the key to success for implementing high frequency trading or quantitative investment systems.

It's just a thesis and you should not consider this as a state of art which is used in a production environment on Wall street. However it's at least something to begin with and become familiar with some approaches which are conisdered in this work.

## Answer by vonjd (score 6)

https://quant.stackexchange.com/a/1734

Additionally I would recommend Evidence-based technical analysis by David Aronson

It explains the whole process (including the complete statistical background) of rigorously setting up the basis for your trading system.

See for a short summary of important points here: CXO Advisory

See for a review here (including some practical advice and programs how to use the recipes in the book): Automated trading system (This whole blog is btw a good starting point on its own for your endeavor!)

## Answer by John Carse (score 5)

https://quant.stackexchange.com/a/1738

I just finished "High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems" by Irene Aldridge -- I think it provides a very good overview of HFT, considerations of different aspects of trading systems, and good introductions to many formulas and research.

## Answer by Dan (score 5)

https://quant.stackexchange.com/a/2484

In terms of system design, I learned the most by reading the developer guides and exchange connectivity specs for various exchanges. You probably won't be connecting to these directly, but understanding how the sessions, book updates, snapshotting works, and what events can occur is very useful.

Also, google for the Max Dama automated trading PDF, which gives a brilliant and concise overview of what's involved in building a working automated trading system, including architecture, and a who you are vs what you need to build table.

## Answer by user6384 (score 1)

https://quant.stackexchange.com/a/9289

Check out the following link with videos: I believe Richard Olsen organised the first high-frequency trading conference: http://www.birs.ca/events/2013/5-day-workshops/13w5008/videos