There are 3 major players in this arena, not including c/c++. C/C++ i did not include because they are almost always used at the institutional level for infrastructure or HFT/UHFT strategies anyway. But for the strategy development, modeling, and prototyping I think these are the 3 major languages out there. All of them are high level languages with time series, linear / matrix computation, and trading system development packages. I will list a few pros and cons of each and then let the voting start.
R
PROS:
End To End development to execution (some brokers packages allows execution, IB)
Rapid development speed (60% less lines vs python, ~500% less than C)
Large number of Open Source Packages
Mature quantitative trading packages( quantstrat, quantmod, performanceanalyitics, xts)
Largest Community
Can integrate into C++/C with rcpp
Cons:
Slow vs Python especially in iterative loops and non vectorized funtions
Worse plotting than matlab and difficult to implement interactive charts
Limited capabilities in creating stand alone applications
Python
PROS:
End To End development to execution (some brokers packages allows execution, IB)
Open source packages( Pandas, Numpy, scipy)
Trading Packages(zipline, pybacktest, pyalgotrade)
best for general programming and application development
can be a "glue" language to connect R, C++ and others (cython, Rpy etc)
Fastest general speed especially in iterative loops
CONS:
immature packages especially trading packages
some packages are not compatible with others or contain overlap
smaller community than R in finance
More code required for same operations vs R or Matlab
Silent errors that can take a very long time to track down (even with visual debuggers / IDE)
MATLAB
PROS:
Fastest mathematical and computational platform especially vectorized operations/ linear matrix algebra
Commercial level packages for all fields of mathematics and trading
Very short scripts considering high integration of all packages
Best visualization of plots and interactive charts
Well tested and supported due to it being a commercial product
Easy to manage multithreaded support and garbage collection
Best debugger
CONS:
Can not execute - must be translated into another language
Expensive ~1000 per license and 50+ per additional individual package
Can not integrate well with other langauages
Hard to detect biases in trading systems (it was built for math and engineering simulations) so extensive testing may be required. EG. look ahead bias
Worst performance for iterative loops
Can not develop stand alone applications at all.