Rename StrategyAt.* -> Strategy.*Response.

Addendum to 64feeee.
Merge pull request #429 from benma/atResponse

Rename StrategyAt.* -> Strategy.*Response.
Removed commented out stuff and unnecessary comments.
Reordered members for clarity.
Cleanup of init of Client and passing arguments.
Removed is-running-as-script for client.
Moved member variables last.
Moved ctor and dtor first.
Hold socket in smart pointer.