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What language to use for Algo / Automated Low Latency Strat
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What language to use for Algo / Automated Low Latency Strat

  #1 (permalink)
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What language to use for Algo / Automated Low Latency Strat

Hey guys,

I quickly searched through some recommended threads related to my question, but couldn't seem to find answers that applied to me.

I am looking for educated/experienced answers regarding which language to focus primarily on in regards to algorithmic/automated strategy programming. The strategy will focus primarily on equities, also, the strategy will be extremely low latency / co-located.

From what I have read so far, it seems like C++ is mostly used by the low latency trading world.

I have an intermediate background as far as programming/coding, so I am not a complete novice with zero knowledge. I would like to choose my direction for focus as soon as possible.

Thanks everyone

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If you're comfortable and competent with C++ then go ahead. Java and C# are good too.

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shodson View Post
If you're comfortable and competent with C++ then go ahead. Java and C# are good too.

Thanks for the advice. Most of my coding was learned through Java, but my research continues to point to C/C++. The move from Java --> C++ shouldn't be too bad.

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C++ for execution, Python/R/Matlab etc for analysis.

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C++ vs. Java vs. C#

Although C++ may look like Java (or vice versa), they are quite different, especially in terms of how C++ handles objects and memory management. As one of my CompSci professors explained, there's a lot in Java that helps to keep bad programmers from blowing themselves up. C++ doesn't offer such benefits, but it is also very fast.

Step #1 for a Java programmer looking to learn C++ should be "Don't use the 'New' keyword unless that is specifically what you want!" I have gotten into so many problems with that!

It should also be noted that, as an alternative to C++, Microsoft recently announced that C# will be compilable to machine language (no use of intermediate bytecode), so in terms of speed, it should be much closer to C++. I think it would be a lot easier to migrate from Java to C# then it would be to C++.

As others have mentioned, figure out what it is you want to do first, and then identify the best tools to do that.
Good luck!

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Big Mike View Post
C++ for execution, Python/R/Matlab etc for analysis.

Mike

Thanks Mike


furytrader View Post
Although C++ may look like Java (or vice versa), they are quite different, especially in terms of how C++ handles objects and memory management. As one of my CompSci professors explained, there's a lot in Java that helps to keep bad programmers from blowing themselves up. C++ doesn't offer such benefits, but it is also very fast.

Step #1 for a Java programmer looking to learn C++ should be "Don't use the 'New' keyword unless that is specifically what you want!" I have gotten into so many problems with that!

It should also be noted that, as an alternative to C++, Microsoft recently announced that C# will be compilable to machine language (no use of intermediate bytecode), so in terms of speed, it should be much closer to C++. I think it would be a lot easier to migrate from Java to C# then it would be to C++.

As others have mentioned, figure out what it is you want to do first, and then identify the best tools to do that.
Good luck!

Yes I see that C++ doesn't have much protecting the programmer from exploding.

I have been researching the C# but continue hearing that C++ is dominant. Fortunately, I am a fast learner when it comes to things like this, so I have faith in myself moving to C++ and will enjoy to challenge.

Thanks for your advice!

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Limitless100 View Post
Yes I see that C++ doesn't have much protecting the programmer from exploding.

I have been researching the C# but continue hearing that C++ is dominant.

We used to say 'C' was an axe, but C++ was a chainsaw. Unless you want HFT type execution performance or massive backtesting runs then I don't think you have much to worry about by using C#.

I have two main factors:

C++) Fugly.

C#) Lovely.

40yrs of using and watching umpteen language fads. End of.

Travel Well

Last edited by ratfink; May 29th, 2014 at 04:56 PM. Reason: my maths is still no better....
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ratfink View Post
We used to say 'C' was an axe, but C++ was a chainsaw. Unless you want HFT type execution performance or massive backtesting runs then I don't think you have much to worry about by using C#.

I have two main factors:

C++) Fugly.

C#) Lovely.

30yrs of using and watching umpteen language fads. End of.

Agree, plus well written code in C# is likely faster than poorly written code in C++. So based on your (in)abilities, C# will often win out.

That said, as you can see from my custom platform thread, I really like R but at the same time it can be painfully slow with extremely large datasets. That is why I run it on a server with 128GB of memory, but still it is slow when dealing with billions of rows.

Mike

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ratfink View Post
We used to say 'C' was an axe, but C++ was a chainsaw. Unless you want HFT type execution performance or massive backtesting runs then I don't think you have much to worry about by using C#.

I have two main factors:

C++) Fugly.

C#) Lovely.

30yrs of using and watching umpteen language fads. End of.

It's good to get experienced advice thank you! You make a good point, yet, what you said brings up another unmentioned perspective. C# may be easier now, or java, but would serve to be a bottleneck for future expansion. Assuming C# isn't 50X easier than C++, maybe focusing on C++ would be more advantageous for ones future due to not bottle necking a strategy.

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