Using Visual Basic NET Databases to Create Pricing Trading R_8 potx

If needed, the entire path to the .dtd file can be specified—for example, C:\ModelingFM\xml\fmml.dtd. If the DTD is public as in the FMML case, meaning that it is available on the Internet, the syntax will be: <!DOCTYPE Tradedoc SYSTEM ’http://yorkville.rice. _ iit.edu:8100/FMML.dtd’> When a DTD exists as a URI, it becomes especially powerful. Assuming that all partners who exchange XML messages can access the DTD, they all can use it to create and validate their XML documents anywhere in the world. Let’s take a look. CREATING XML DOCUMENTS Before we create an Internet application, let’s first develop a simple VB.NETapplication that will write an XML document and save it to the C:\drive. Step 1 In VB.NETcreate a new Windows application named XMLexample. Step 2 On your Form1, add controls to build the GUI shown in Figure 18.2. There should be two combo boxes on your form. Name them cboExchange and cboBuySell. In the Collection property o f cboExchange, add the elements CBOE, ISE, BOX, AMEX, and FMEX. In the Collection property of cboBuySell, add the elements Buy and Sell. Give the text boxes the appropriate names: txtTicker, txtQuantity, txtPrice, txtClearingFirm, and txtTrader. Step 3 To the Button1_Click event, add the following code: Imports System.IO Public Class Form1 Inherits System.Windows.Forms.Form [Windows Form Designer Generated Code] Private Sub Button1_Click(ByVal sender As ) Handles Button1.Click Dim strTradeDoc As String strXMLtrade = "<?xml version = ’1.0’?>" strXMLtrade &= "<Tradedoc>" strXMLtrade &="<Trade>" strXMLtrade &= "<Exchange Acronym = ’" & cboExchange.Text & "’/>" strXMLtrade &= "<Ticker>" & txtTicker.Text & "</Ticker>" XML 313 Team-LRN strXMLtrade &= "<BuySell Type = ’" & cboBuySell.Text & "’/>" strXMLtrade &= "<Quantity>" & txtQuantity.Text & "</Quantity>" strXMLtrade &= "<Price Type = ’" & txtPrice.Text & "’/>" strXMLtrade &= "<ClearingFirm>" & txtClearingFirm .Text & "</ClearingFirm>" strXMLtrade &= "<Trader>" & txtTrader.Text & "</Trader>" strXMLtrade &= "<Time>" & Now & "</Time>" strXMLtrade &= "</Trade>" strXMLtrade &= "</Tradedoc>" Dim objWriter As New StreamWriter("C:\ModelingFM\myFirstXMLdoc.xml") objWriter.Write(strXMLtrade) objWriter.Close() End Sub End Class Step 4 Run the program. Your results should look like the screen shown in Figure 18.3. Step 5 Now find the file named myFirstXMLdoc.xml in your C:\ModelingFM folder and double-click on it, which will cause it to open in MS Internet Explorer. F I G U R E 18.2 314 Advanced VB.NET Team-LRN If your XML document is well formed, it will successfully open. If it is not well formed, Internet Explorer (IE) will generate an error statement. SENDING XML MESSAGES Creating an XML message and saving it to a file is not really all that exciting. After all, XML was designed for communication. Let’s change our program so we can send our FMML trade over the Internet and receive a trade confirmation. We will be sending our pseudo trades to the Financial Markets Exchange, FMEX, which is a server that will receive FMML “trades,” post them in a database, and send back FMML trade confirmations. Once you have placed your trade, you can see whether the FMEX has received it at http:// yorkville.rice.iit.edu:8100/servlet/fmex.GetTrades. This website shows F I G U R E 18.3 XML 315 Team-LRN the contents of the FMEX database. So if your FMML document was successfully received, it will be viewable on this site. Step 6 To communicate with the FMEX over the Internet, we will need to create a few objects that are based upon classes found in the System.Net and System.XML namespaces. Add the Imports System.Net and Imports System.XML code at the very top of the Form1 code window. In the general declarations section of the Form1 code window, declare the following objects: Dim myUrl As Uri Dim myReq As WebRequest Dim myRes As WebResponse Dim myReader As XmlTextReader A URI is an object representation of a URL. A WebRequest object, found in the System.Net namespace, makes a request to a URI over the Internet. AWebResponse objects receives a message from a URI. An XmlTextReader object, found in the System.XML name- space, gives us fast, read-only access to an XML stream. So by using an XMLTextReader to read a stream, we will be implementing a form of SAX parser to make sure the XML message is well formed. However, an XmlTextReader object will not perform data validation against a DTD. To perform data validation, we could use an XmlValidatingReader object, but creating a full, validating parser is beyond the scope of this chapter. Step 7 Change the Button1_Click event to include the following code: Private Sub Button1_Click(ByVal sender As ) Handles Button1.Click Dim strCurrentTag, strStatus, strBuySell, strQty, strTicker, _ strPrice, strDate, strXMLtrade As String strXMLtrade = "<?xml version = ’1.0’?>" strXMLtrade += "<!DOCTYPE Tradedoc SYSTEM _ ’http://yorkville.rice.iit.edu:8100/FMML.dtd’ > " strXMLtrade += "<Tradedoc>" ’ This code is the same as before. strXMLtrade += "</Tradedoc>" myUrl = New _ Uri("http://yorkville.rice.iit.edu:8100/servlet/fmex.XMLTrade?xmlfile=" _ & strXMLtrade) myReq = WebRequest.Create(myUrl) 316 Advanced VB.NET Team-LRN Try myRes = myReq.GetResponse myReader = New XmlTextReader(myRes.GetResponseStream()) Do While (myReader.Read()) If myReader.NodeType = XmlNodeType.Element Then strCurrentTag = myReader.Name End If If myReader.NodeType = XmlNodeType.Text Then Select Case strCurrentTag Case "Status" strStatus = myReader.Value Case "BuySell" strBuySell = myReader.Value Case "Quantity" strQty = myReader.Value Case "Ticker" strTicker = myReader.Value Case "Price" strPrice = myReader.Value Case "Time" strDate = myReader.Value End Select End If Loop myReader.Close() Catch exc As Exception MsgBox(exc.Message) Exit Sub End Try lblConfirm.Text = strStatus &""&strBuySell &""&strQty&"_ " & strTicker & " at " & strPrice & " at " & strDate End Sub Step 8 One last thing: Add a label named lblConfirm to the bottom of your Form1. Step 9 Run the program (see Figure 18.4). You can view the FMEX server at http://yorkville.rice.ii- t.edu:8100/servlet/fmex.GetTrades. When the server receives your “trade,” it will be posted on this website. XML DATA SOURCES ADO.NET provides additional functionality that allows us to convert data in a database into XML. VB.NET DataSet objects provide methods that create XML documents from a data table and that also can convert XML data into a data source. This is accomplished through the use of the GetXML(), WriteXML, and ReadXML() member methods. Let’s look at a quick example: XML 317 Team-LRN Step 1 Open a new VB.NET Windows application named XMLdatasource. Step 2 To your Form1 add a text box with the multilane property turned to True and with a vertical scroll bar. Also add a button and a data grid. Leave these controls with their default names. Step 3 Add the following code to the Form1 code window: Imports System.Data.OleDb Public Class Form1 Inherits System.Windows.Forms.Form [Windows Form Designer generated code] F I G U R E 18.4 318 Advanced VB.NET Team-LRN F I G U R E 18.5 XML 319 Team-LRN Private Sub Button1_Click(ByVal sender As ) Handles Button1.Click Dim myConnect As New _ OleDbConnection("Provider=Microsoft.Jet.OLEDB.4.0;Data _ Source=C:\ModelingFM\Options.mdb") Dim myAdapter As New OleDbDataAdapter("Select * From OptionTrades, _ myConnect) Dim myDataSet As New DataSet() myConnect.Open() myAdapter.Fill(myDataSet, "myData") DataGrid1.DataSource = myDataSet DataGrid1.DataMember = "myData" myDataSet.WriteXml("OptionTrades.XML") TextBox1.Text = myDataSet.GetXml() myConnect.Close() End Sub End Class Step 4 Run the program. It should look like Figure 18.5. SUMMARY This chapter presented the basics of the XML language, which is really a metalanguage. We used XML to create our own messaging protocol, which we named FMML. All XML messages should be both well formed and valid according to some DTD. In the chapter we broke down the elements of the FMML.dtd file to gain an understanding of elements, tags, attributes, entities, CDATA, and PCDATA. Furthermore, we briefly discussed parsers, which are programs that read XML files. Finally, we used some of VB.NET’s System.Net and System.XML namespace objects to communicate over the Internet with a server using the FMML protocol. In the following chapter we will look at some real-world XML protocols used every day in the financial markets. 320 Advanced VB.NET Team-LRN PROBLEMS 1. What is a metalanguage? 2. What is the difference between a well-formed XML mess- age and a valid one? 3. What is FMML, and how is it different from XML? 4. What is a DTD? 5. What objects are contained in the System.Net a nd System.XML namespaces? XML 321 Team-LRN PROJECT 18.1 Trade confirmations received from FMEX should be posted in the OptionTrades table of the Options.mdb database. Create a VB.NET Windows application that inserts the necessary information into the appropriate columns in the table. PROJECT 18.2 As trades are made on FMEX, your portfolio will change. Create a VB.NETapplication that will hold call and put objects in a portfolio. Be sure to add the functionality necessary to keep track of your portfolio statistics in real time. 322 Advanced VB.NET Team-LRN [...]... programs, it will certainly not work for larger ones For example, what if you were asked to create a large value-at-risk system to monitor several automated trading systems A project of this magnitude is too big to immediately start programming Clearly, a good bit of planning would be required first In order to create larger applications, we should follow a detailed planning process for program design... able to not only read it but, based upon what we learned in the previous chapter, also understand the underlying structure and determine how it may be created in VB .NET and how it could be sent to a URL over the Internet Now let’s look in more depth at FIXML FIX AND FIXML The Financial Information Exchange (FIX) protocol is a public domain, non-XML messaging standard targeted toward institutional trading. .. created expressly for this purpose—the Unified Modeling Language UNIFIED MODELING LANGUAGE Although it’s also possible to describe a software system and its design in words, most developers prefer to use pictures to help visualize the system’s pieces and the relationships between them UML is a way to represent object-oriented applications using a standard set of graphical notations With UML we can create. .. 5.00 On the CD, the file sampleFIXML.xml contains the completed code above Try opening this file in Internet Explorer Since this FIXML message is both well formed and valid, the only thing left to do is to build a VB .NET application that creates FIXML messages... achieve the goal of automating end -to- end trade processing for all financial instruments, thereby streamlining back-office activities and lowering trading costs Thanks to the advent of web services technology and messaging protocols, the focus of attention with regard to STP is moving away from issues relating to connectivity between software applications and more toward the business content of the information... electronic trading systems (to select trades and manage portfolios) and electronic markets (to execute trades) The benefits of an entirely electronic platform will pave the way for straight-through processing (STP) STP will require the transmission of trade information across electronic networks using a common messaging protocol STP is a set of business processes that will one day achieve the goal of automating... UML diagrams The most well-known UML design tool is Rational Rose (www.rational.com) Using these tools, we can build new applications or analyze existing code to reverse-engineer the UML diagrams At the extreme end, some software will even go so far as to generate program code from UML diagrams, producing most of a production application Large automated trading systems must be structured in a way that... Unified Modeling Language As we hope you have been able to see over the last several chapters, object-oriented programming allows us to break down computer programs into separate objects in a very intuitive way If you were new to programming when you first opened this book, you may very well have started with Chapter 3, fired up VB .NET, and started to code While this approach might work for simple programs,... FIX was originally designed by Salomon Brothers and Fidelity to automate messages between themselves, but over the years it has become widely used by most major market participants Today FIX Team-LRN 328 Advanced VB .NET Protocol, Ltd (FPL), an industry consortium, oversees the ongoing development of FIX and FIXML, the XML version of the FIX protocol FPL has designed FIX for the express purpose of communicating... prior to programming This document should lay out all the objects along with all their functionalities that will be needed to construct the system Again, the process should include requirements analysis, to define the specifications of the software; object-oriented analysis, to provide a framework within which all the objects can cooperate to satisfy the requirements; and object-oriented design, to lay . Advanced VB .NET Team-LRN Try myRes = myReq.GetResponse myReader = New XmlTextReader(myRes.GetResponseStream()) Do While (myReader.Read()) If myReader.NodeType = XmlNodeType.Element Then strCurrentTag. Button1_Click(ByVal sender As ) Handles Button1.Click Dim strCurrentTag, strStatus, strBuySell, strQty, strTicker, _ strPrice, strDate, strXMLtrade As String strXMLtrade = "<?xml version = ’1.0’?>" strXMLtrade. "</Tradedoc>" Dim objWriter As New StreamWriter("C:ModelingFMmyFirstXMLdoc.xml") objWriter.Write(strXMLtrade) objWriter.Close() End Sub End Class Step 4 Run the program. Your results should