Any advancement on compiled vector oriented languages

rickyvic · Post by **rickyvic** » Tue Nov 20, 2018 10:16 am

Was curious if julia or similar langs have been effectively used for production trading systems.

Stuck on MATLAB r and python for research then c++ is a pain to port to, especially if there is no ultra low latency requirement

TonyC · Post by **TonyC** » Tue Nov 20, 2018 12:02 pm

kx.com (k/kdb/q) is used at a number of hft shops. and a number of exchanges. and a couple of phone companies andmore than one intelligence agency.

kdb's predecessor (APL) is the core language upon which simcorp and fiserv are built.

bullero · Post by **bullero** » Tue Nov 20, 2018 1:56 pm

My first and only encounter of Julia was on University campus where it was used (for unknown reason) for nonlinear optimization. In the particular cases that I studied using it the performance was more or less the same as what you would see using python or Matlab. From pure user experience perspective it was really painful (even more so than C++) to use and the total time (dev + debug + run) was many times longer than with the more mature languages. Now, would I replace C/C++ or even C# or Java with Julia for systems programming - no, not right now.

jslade · Post by **jslade** » Tue Nov 20, 2018 10:38 pm

A friend of mine who is a fellow language polyglot pointed out (bug number 45 or so) that Julia doesn't automatically recompile and link new function definitions. Meaning it doesn't act like a normal repl. They fixed it a year or two ago, but 'amateur hour.' Their 'benchmarks' are nonsense.

Art's latest creation, K7, is reputedly really cool and allegedly solves some problems I always wanted solved with array languages. Meanwhile I still use J and think it's just fine for what I do.

TonyC · Post by **TonyC** » Wed Nov 21, 2018 3:36 am

if you squint and look at it sideways, k7 has features that make it look a lot like it's own OS

EspressoLover · Post by **EspressoLover** » Wed Nov 21, 2018 4:25 am

If you're not latency constrained, why not just run python in production? Google, Facebook, Spotify and a lot of other major tech firms run python servers. With PyPy performance is reasonably good, probably better than whatever network latency you're dealing with. Containers and/or virtualenv make it nearly easy to deploy as pushing a compiled binary.

Alternatively if you already have low-level code (market data parsing, order routing, account management, etc.) in C++, is there any reason you can't just split into multiple services communicating over IPC. Something like protocol buffers, avro or even just JSON depending how rich you need the interchange to be. If latency's not an issue, then this shouldn't be a problem. Especially if the services all run on the same host.

Jurassic · Post by **Jurassic** » Wed Nov 21, 2018 10:42 am

@EspressoLover what do you mean by Python in production exactly?

FDAXHunter · Post by **FDAXHunter** » Wed Nov 21, 2018 5:22 pm

One data point about using Python in production:

A friend of mine built his fund with Python as the underlying language and a good portion of the core infrastructure. (Fund is about 2 billion USD and employs about 80 people). He started 11 years ago.

He really regrets using Python and really wishes he hadn't done it. As you can imagine, it's a bit late to switch the whole tech stack now, but he laments the choice almost daily.

Jurassic · Post by **Jurassic** » Wed Nov 21, 2018 5:51 pm

@FDAXHunter did he specify the reasons for the regrets?

mtsm · Post by **mtsm** » Wed Nov 21, 2018 5:54 pm

That sounds like an idiotic opinion to me. I am sorry. I would not trust your friend. Most places that are somewhat tech savvy operate on a hodge podge of shit and it's typically fairly doable to switch stuff around and things evolve.

Whoever claims that their life is miserable based on some decision that was made 11 years ago is a bit of an idiot I am sorry to say.