We've covered some of the requirements in Chapter 8, Setting Up the Trading System Project, but let's review them again and see how the system will be defined. The main thing about the automated trading system is that it needs to be able to process market data and make decisions based on the data. The decisions will then be converted to FIX 4.2 messages and sent to a FIX simulator, a real broker, or the stock exchange. In this rather simple setup, the market data will be the daily data from Yahoo! Finance that will be downloaded and parsed daily.
The automated trading system should be able to:
Store log entries in a Microsoft SQL Server database
Store trading history in a Microsoft SQL Server database
Download quotes from Yahoo! Finance
Manage orders with an Order Management System (OMS)
Send orders using FIX 4.2
Connect the trading system to a FIX simulator via FIX 4.2
Execute a trading strategy written in F#
Control itself using a basic GUI with start/stop buttons...