CSPP 57100

Lab 1 Home Page 

Lab 1 Page
 

Laboratory in Object Oriented Technologies

Spring 2011

NB:  If you have not already signed up for the course list, do so here.

Lab Description: 

This first lab introduces the students to the central concepts of frameworks, and introduces the students to:

1.  the fundamentals of the .NET environment, including both Windows and Mono,  and

2.  the business domain within which we will be developing our framework:  .NET within the financial markets, and

3.  the fundamentals of Framework development.

The framework you are to design and code throughout this lab course will support an existing code base of a trading system which I will provide to you.  The code base for the trading system, written entirely in C#, is available to you under my home directory's pub 57100 directory on the cluster found at:

~mark/pub/57100/TradingSystemCode.zip

You can obtain this zip file (or a .tgz for Linux/OSX) by executing the following command from a shell as:

scp yourid@a_machine.cs.uchicago.edu:/home/mark/pub/57100/TradingSystemCode.zip .

where "yourid" is your userid and "a_machine" is a machine (for example, "ohare", listed via this page.  Just enter your user id, select Debian Unstable and for location choose the Ryerson 4th floor labs.

The course will be taught using the Microsoft .NET Framework utilizing C#.  The default platform will be either a platform-independent Mono environment on Linux or Mac OS X or Microsoft Windows and the .NET Framework--it's up to you.   No specific advanced Microsoft technologies will be required; however students may at their descretion utilize specific MS technologies, such as Windows Communication Foundation, etc.

Basically, the idea is this:  You are to design and code an object oriented framework in C# that provides certain foundational services that will support the code for the existing trading system presented in the code base.  The code presents the fundamentals of using .NET to create an equity trading system.  The framework you will design and develop will be integrated into the existing code base, and the code base will be modified to support the framework.  The code base will itself be extended as we go through the labs to enhance its core capabilities.  Once finished, you will have a functioning equities trading system which runs on the back of the framework you will be designing and creating throughout the quarter.  Each lab session will introduce new concepts of the framework, and your work throughout the labs (and of course outside the labs) will be to design and create the framework and integrate it within your modified trading system.

By working diligently throughout the course, the student will amass practical knowledge of:

1.  The fundamental features of equity trading systems, including
        An order matching engine
        Data conversion strategies
        A market feed engine
        An application engine
        Security and interoperability strategies
        Equity arbitrage strategies
2.  Fundamental architectural patterns which facilitate the above features and fundamental features of the framework
3.  Framework fundamentals and implementation
4.  C# & .NET if you don't already have it

Nonetheless, there are several fundamental subsystems that we will not be covering, including order management, risk management, limit monitoring, position management, exchange gateways, and settlement systems.

SETUP:

You have the choice (and there is no preference on my part which path you choose--it's completely up to you and your preferences and goals) of using a Windows .NET environment on a Windows computer or laptop, or using a linux or Mac OS X box (cluster or on your laptop) running the current Mono environment (1.9.1).  So your choice of operating system platform is completely up to you.  I would like you to inform me on which platform you plan to be working.  If you choose to run on Windows, download and install the current .NET 3.5 version along with Visual Studio 2008 (all of which you can download for a period of time free).  If you choose to run Mono either on Linux or Mac OS X, then simply download the current version of Mono 1.9.1 and go from there.  

You can get the current .NET 4.0 framework for Windows here.  Click on the Download button.

You can get the current Visual Studio 2010 for Windows student professional edition from dreamsparks here.  2010 Express C# edition is here.  Click on the "Install now..." button.

You can get the current Mono environment for multiple platforms (including Mac OS X and Linux) here:

If you're running on Windows, you can get Cygwin for Windows here.  Click on the "Install or update now" icon.

You can download the Visual Paradigm Community Edition here.

LAB 1 ASSIGNMENT (Read PNFM chapters 1 and 2).

You are to create use cases and an initial UML design for the framework.  You will find a "starter set" of use cases in my  pub/57100/Use Cases directory.  You can use these as a starting point for putting together your own set of use cases.  Note that some of the use cases are not currently used, such as archive and manage operation.  Nevertheless, these sample use cases should give you an idea of what yours might look like (although they are a bit light on detail).  The basic idea in each use case (for the framework capabilities listed below in bold) you are to detail your idea of what the requirements of the framework should be.  For example, in considering the Log Information capability, what information might the application(s) wish to log?  Should they be able to specify a log level (WARN, ERROR, INFO, etc.).  Should different actions be taken in response to each log level?  How might that be configured?  Are we only logging to a file (which is fine)?  How can we make the configuration of logging easy for the user?  You may use existing logging frameworks (such as log4net) as an example of what a robust logging framework might consist of.  You are of course not required to produce anything that would "compete" with the capabilities of log4net.  It's simply an example that you might wish to refer to in order to see what other designers have done.

For the UML design for the framework, I am not so much looking for a class diagram as architecture diagrams representing how you see the various components fitting together.  You may also find such diagrams in the PNFM text.  Any diagram that shows the fundamental services of the framework with the application layer on top is a good start.  You can also produce a "deployment" diagram sketching your ideas on how the various components of the system will fit together (matching engine, broadcast engine, data feed (which again is a text file for our purposes), application & framework, etc.).  Look in the pub/57100/whiteboard.pics directory for some starter ideas on the deployment aspects of the system.  You are welcome and encouraged to think up your own solutions for integration.

Requirements for the framework will be delivered during the labs on an ongoing basis.  After creating the initial UML design, you are to create the high-level classes (code) that support the framework's composition and integrate these initial main classes (with copious stubbed out functionality) into the trading system code base, so that it compiles and executes.  You can and should start off small, integrating your fledgling framework with just the order matching engine to start with.

In your class design for the framework, you will want to make significant use of inheritance and abstract classes.  Although the framework itself is linked to applications via composition, the internals of the framework should leverage abstraction and inheritance.

Specifically, you are responsible for designing and coding the following five framework capabilities (and use cases for each):

Log Information (allows application to log information based on severity)
Exception Framework (creates a hierarchy of exceptions for the framework with alerting)
Runtime Monitoring and Tracing Service (monitors the runtime execution of the application with alerting)
Messaging Service (allows for delivery of system messages between framework and connected applications)
Notification Service (notifies via email/paging/txt msg on events)

(Note that several key components of a "real-world" framework are missing, including persistence, security, state management, event management, configuration management, rule management, lifetime management, encryption service, etc.)



I can be reached at several email addresses, among them:

mark@cs.uchicago.edu
mshack@post.harvard.edu