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Trading Strategies >> Software Infrastructure >> The best language of choice for trading strategies
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Message started by Co0olCat on 06/25/08 at 15:07:37

Title: The best language of choice for trading strategies
Post by Co0olCat on 06/25/08 at 15:07:37

Help us to find the best language of choice for traiding strategies...

Title: Re: The best language of choice for trading strategies
Post by Co0olCat on 06/29/08 at 11:37:09

You can post any unlisted alternatives here...

Title: 'R' is the best language for statistical trading
Post by Maltamir on 06/30/08 at 22:26:15

I know a fund manager using 'R' to develop its algo, saying its faster than any other ! It is a purelly mathematical and statistical sintax.
Do you know some of yours developing with 'R' ?

Visit 'R' Projet Website...http://www.r-project.org/index.html

Title: Re: The best language of choice for trading strategies
Post by Algo Designer on 07/01/08 at 09:34:26

'R' is great for prototyping, but I would not use in any large-scale trading system in production.

Title: Re: The best language of choice for trading strategies
Post by Baltar on 07/06/08 at 19:00:47

For rapid prototyping, how about a Complex Event Processing (CEP) language like Corel8 CCL http://www.coral8.com/products/ccl.html?

Title: Re: The best language of choice for trading strategies
Post by Co0olCat on 07/06/08 at 20:15:29

I am working on CEP as we are speaking. Corel8 looks to be promising. Could somebody with actual experience comment on Corel8 and how user/programmer-friendly this language is? Debugging? Compiling? Performance...

Thank you.

Regards,
T.

Title: Re: The best language of choice for trading strategies
Post by Baltar on 07/07/08 at 02:00:00

Co0olCat wrote on 07/06/08 at 20:15:29:

...Could somebody with actual experience comment on Corel8 and how user/programmer-friendly this language is? Debugging? Compiling? Performance...

Well, I may not have any actual experience with Corel8 [smiley=smiley.gif] but a friend of mine was evaluating it very recently. He said it was extremely fast, but the downside was that, when he wanted to do something a little outside of the norm, it was difficult. I believe the developer evaluation is free to download if anyone wants to try it. I'd be interested in how easy/difficult it would be to write language extensions or plugins in C++.

Title: Re: The best language of choice for trading strategies
Post by Baltar on 07/13/08 at 08:23:45

How about some core component libraries written in C++ for performance, and tied together with a scripting language like Python? (I mention this because I know a quant desk at a major bank does exactly this very successfully.)

Title: Re: The best language of choice for trading strategies
Post by Co0olCat on 07/13/08 at 08:36:59

It is a good idea as long as one can avoid "bottleneck" of data transmission from one wrapped routine to another. This is the problem of R. Each routine is very fast and efficient. But the moment when one starts to combine them the overall speed is very slow. Another problem is memory limits of wrapped routines. Again, on the example of R one can see that reaching upper limit is not that difficult.
How it is handled in Python? How does compiling help to improve performance?

Title: Re: The best language of choice for trading strategies
Post by Algo Designer on 07/13/08 at 12:17:29

Another interesting combination could be Java for performance and Groovy for the flexibility of scripting. Groovy is a modern agile OO language with a fantastic support and great API.

For those interested, Groovy console can be launched in minutes by using Java WebStart technology from the following page:

http://docs.codehaus.org/display/GROOVY/WebStart

Title: Re: The best language of choice for trading strategies
Post by Z on 07/31/08 at 06:13:11

I am glad Java is winning!!! ;D

I am also very glad (especially for the support people) that there are ZERO votes for VBA!

I'd say I am a bit suprised that some people write "Trading Strategies" in C#... Completely client-side?!? (Oh-oh!) Or do people run those on NT servers (even a bigger Oh-Oh!!!)

Title: Re: The best language of choice for trading strategies
Post by sany on 08/06/08 at 21:14:29

I can't believe that Matlab is not even mentioned :)

Matlab by far is one of the fastest prototyping language. It has very comprehensive set of function: statistics, optimization, NN, database, IO, etc.

http://www.mathworks.com/matlabcentral/fileexchange/loadFile.do?objectId=18854&objectType=file

http://www.mathworks.com/industries/finance/
http://www.matlabtrader.com/

Title: Re: The best language of choice for trading strategies
Post by Co0olCat on 08/06/08 at 21:19:15

sany wrote on 08/06/08 at 21:14:29:

We are well aware of Matlab :)
You can now vote for Matlab

Title: Re: The best language of choice for trading strategies
Post by sany on 08/06/08 at 21:29:41

I can't vote for Matlab, since I already voted for C# :)

Title: Re: The best language of choice for trading strategies
Post by Co0olCat on 08/06/08 at 21:48:33

Matlab was "my weapon of choice" for prototyping before R. Which was recently replaced with Python. This "snake" can debug, compile and call all R functions... 8-)

Title: Re: The best language of choice for trading strategies
Post by Yury R on 08/08/08 at 13:53:54

Guys, you really have to check this out:

http://www.dangermouse.net/esoteric/ - a collection of esoteric languages (all turing complete!).

Title: Re: The best language of choice for trading strategies
Post by Max F Dama on 08/22/08 at 02:27:11

How's the learning curve on R?

Title: Re: The best language of choice for trading strategies
Post by Yury R on 08/22/08 at 14:51:05

Doesn't seem to be a big language, does it?

It is rather a set of skills/tests to run/use that you need to remember.

Title: Re: The best language of choice for trading strategies
Post by Co0olCat on 08/22/08 at 15:07:53

You are right. The language does not have that many commands: "There are usual suspects". What makes it interesting is the number of packeges to cover almost all statistical and econometric methods.

To start I would suggest Tinn-R for windows and RKward for Linux (Google for links). Within a week you will be up and running.

Title: Re: The best language of choice for trading strategies
Post by Yury R on 08/22/08 at 17:43:38

Tinn-R is cool, co0olCat!

Title: Re: The best language of choice for trading strategies
Post by Ricky Johnson on 07/15/10 at 11:59:37

;DI think Java and C++ are the best language of choice for trading strategies.

Title: Re: The best language of choice for trading strategies
Post by kai xin,yang on 09/05/10 at 05:53:03

Visual basic , connection with matlab through COM tunnel.
or Visual basic connection with SAS through IT bridge.
Sorry,my english is poor.may be you can try my system.i write myself.
no platform support. I write platform my self.
1 signal source ( free dynamic website)
2 trade stragegy.( mean reversion or regime swither,) pair trading
3 orders send( 1 .broke trade software and simulation their signal. and 2.use visual basic controls mouse and keybord)
4 operators optimization (vb connection with matlab and use matlab's optimization toolbox fminsearch() function)

Sorry my english is poor..... can't paste it

Title: Re: The best language of choice for trading strategies
Post by kai xin,yang on 09/05/10 at 06:05:31

if you know more about Visual basic ,you will found it is charming.
you can try my software in my public email : dzsw2010@yahoo.com.cn secreat code:111111

good luck , friends.

Title: Re: The best language of choice for trading strategies
Post by kai xin,yang on 09/05/10 at 06:23:57

Why? SAS was not mentioned.... SAS is powerful in write algo trading programs.

Title: Re: The best language of choice for trading strategies
Post by cjforex on 07/27/11 at 15:31:07

I found c# easier to integrate the api of the banks I trade with as I haven't made the leap to FIX yet. Since my time horizon isn't that short I am not suffering from slippage. All my slippage has been net zero so far ( half for me, half against me).

Cjforex

Title: Re: The best language of choice for trading strategies
Post by Algo Designer on 07/31/11 at 12:37:48

vvking wrote on 09/05/10 at 06:05:31:

if you know more about Visual basic ,you will found it is charming.

Somehow I missed its beauty! :-) It is not much of a language. Although, good old BASIC was good for learning to program.

cjforex: I am big fan of Java and find it one of the best languages for server-side apps.

Title: Re: The best language of choice for trading strategies
Post by Freq on 07/01/12 at 00:51:17

Greetings,

Great Forum! I am new here, this is my post, and I look forward to the experience. I am partial to writing in Delphi (OOP Pascal). At one time, it was the fastest compiler on the market, but I am not quite sure if that still holds true. I know Quote Tracker was written in Delphi. I actually use the same charting components as Quote Tracker. Trade Station's Easy Language is somewhat similar to Delphi. Anyway, I hope to meet some of you along this fine journey.

My best,
Freq