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data member Cells represents a function that is executed to generate the result of a particular
cell that is assigned to the data member State。 Both data members store and manipulate Objects；
which makes the spreadsheet flexible。 However； a gain in one aspect means a reduction in
another aspect； in this case； the loss is in performance。 But performance is what algorithmic
trading software cannot sacrifice； and native types would be best。
To make the spreadsheet perform as fast as it can； we need to use fixed…dimension arrays。
However； with fixed…dimension arrays； we are moving away from a traditional object…oriented
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approach。 You could argue that spreadsheets are not object…oriented at all and are a problem
with respect to programmability。 I would agree with that ment； but spreadsheets solve one
class of problems very elegantly。 In the case of financial trading software； they solve the problem of
managing very large amounts of data efficiently。
■Note Object…oriented code is maintainable and extendable。 However； object…oriented code can be slow。 I
have done tests where I found fixed…dimension arrays perform two to three times faster than the equivalent
object…oriented application。 But performance is not always the primary consideration。 Also； fixed…dimension
arrays will not always give you the desired performance boost； because other parts of your code might be
much slower。 Therefore； generally； you should not use fixed…dimension arrays。
The Cells data member is a delegate； or lambda expression； that is defined using code similar
to the following。 When we want to fill a cell； we call the appropriate function on CellFactories；
which in turn returns the lambda expression that represents the new value stored in the cell：
Module CellFactories
Public Function DoAdd（ByVal cell1 As Func（Of Object）； _
ByVal cell2 As Func（Of Object）） As Func（Of Object）
Return Function（） CType（cell1（）； Double） ＋ CType（cell2（）； Double）
End Function
Public Function DoMultiply（ByVal cell1 As Func（Of Object）； _
ByVal cell2 As Func（Of Object）） As Func（Of Object）
Return Function（） CType（cell1（）； Double） * CType（cell2（）； Double）
End Function
Public Function FixedValue（ByVal value As Object） As Func（Of Object）
Return Function（） value
End Function
End Module
The lambda expressions can be used to add two cells together； multiply two cells together；
or store a fixed value。 With the lambda expressions and the spreadsheet； you have two pieces
of source code that； when bined； have the ability to solve plicated problems。 The key
idea that you need to take away is that the Spreadsheet class and the lambda expressions defined in
CellFactories do not know about each other。 The lambda expressions could be used in a context
other than a spreadsheet。 The only requirement is that the function types and signatures match。
The sample spreadsheet that would be used to add and multiply some cells together would
be as follows：
Dim spreadsheet As Spreadsheet = New Spreadsheet（）
spreadsheet。Cells（1； 0） = CellFactories。FixedValue（10。0）
spreadsheet。Cells（0； 1） = CellFactories。FixedValue（10。0）
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spreadsheet。Cells（1； 2） = _
CellFactories。DoAdd（spreadsheet。Cells（1； 0）； spreadsheet。Cells（0； 1））
spreadsheet。Cells（2； 2） = CellFactories。DoMultiply（spreadsheet。Cells（1； 2）； _
CellFactories。FixedValue（2。0））
spreadsheet。Execute（）
Console。WriteLine（〃Contents of （1； 2）： 〃 & spreadsheet。State（1； 2）。ToString（））
Console。WriteLine（〃Contents of （2； 2）： 〃 & spreadsheet。State（2； 2）。ToString（））
The sample code illustrates a rudimentary example of a spreadsheet and how lambda
expressions can be used。 In this chapter； the focus will be on how to create a spreadsheet
implementation that is effective； mostly object…oriented； and maintainable。
Architecting a Server…Side Spreadsheet
To architect a server spreadsheet； the following requirements must be met：
o Performance： Wherever possible； the design should not sacrifice performance。
o Usability： The server…side spreadsheet must be easy to program from a Visual Basic
perspective。 If the server…side spreadsheet is too plex or difficult to understand； it
will not be used properly； potentially incurring errors。
o Maintainability： The server…side spreadsheet implementation should be somewhat
maintainable。 Otherwise； bugs could creep into the code； impeding the spreadsheet’s
effective use。
Not listed is the requirement for extensibility。 A spreadsheet by itself is not extensible
because it implements a certain paradigm； which is a two…dimensional document of numbers
and calculations。
And if you are wondering where the spreadsheet code es from； it is a subset of the
actual code that I use in my own security trading system。
■Note To code the spreadsheet to do more than it is originally designed for might be an interesting goal；
but not one that is worth pursuing。 Sometimes it is best to solve a problem； and leave paradigm thinking for
another time。 I have seen developers think about paradigms； not finish their code； and then have the code
made obsolete by a paradigm that they did not consider。
Three projects are defined for this example：
o Devspace。Trader。mon： A class library that is a distilled form of my trading library。 I
decided to include such a library to give you a taste of how a production class library
looks and feels。
o ServerSideSpreadsheet： A class library that represents the implementation of a server
side spreadsheet。
o TestServerSideSpreadsheet： A console application that tests the ServerSideSpreadsheet
project。
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Designing the Architecture
The original implementation of the spreadsheet code provides a great starting point。 Using
lambda expressions to calculate the state of a cell makes it easy to create a worksheet of numbers。
What is not so great is the fact that the class SpreadSheet is a single worksheet。 Most spreadsheets
applications （like Microsoft Excel） offer the ability to create multiple worksheets。
The server…side spreadsheet that we will create will consist of two concepts： workbook and
worksheet； as illustrated in Figure 11…1。
Figure 11…1。 Spreadsheet design based on workbook and worksheet types
The workbook is a type that acts like a collection class of the worksheet type。 The work
sheet type is an individual spreadsheet of fixed dimension that is responsible for storing the
state； and the cell calculations reference the individual lambda expressions。
The workbook and worksheet could be defined as interfaces or as classes。 Which would be
better？ Let’s assume that workbook will be defined as an interface and then implemented by a
class。 The approach is a mitment to a ponent architecture； allowing you to implement
multiple types of workbooks。 However； the likelihood of implementing multiple workbook
types is rather remote； so why use interfaces？ Because interfaces fit better into a bigger context。
Let’s say that you have pleted your super…duper server…side application and want
to programmatically share the code with multiple machines。 Having one puter call
functionality on another machine is almost trivial； but to attain the best performance and
resource usage； you should use interfaces。
Defining the Server Spreadsheet Interfaces
Defining the interfaces for the server spreadsheets is actually rather plicated because of
the requirements。 The requirements state performance and usability are important； which； in
this case； is asking quite a bit； as you will see as we work through the example。 Let’s start with a
bottom…up development approach and outline the interfaces。
Defining the Debug Interface
Because the spreadsheet is from a production coding example； included in the discussion will
be pieces of code that demonstrate good programming practices。 The following is the base
interface for all of my interfaces； which is defined in the Devspace。Trader。mon project。
Public Interface IDebug
Property Debug（） As Boolean
End Interface
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The IDebug interface has a single Boolean property called Debug； which can be assigned and
retrieved。 The idea behind th
