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Question: What is the language of choice for trading strategies?

Java  
  10 (23.2%)
C/C++  
  10 (23.2%)
C#  
  8 (18.6%)
VBA  
  1 (2.3%)
Python  
  3 (6.9%)
Proprietary packages  
  1 (2.3%)
It is not listed here... Add below  
  7 (16.2%)
Matlab  
  3 (6.9%)




Total votes: 43
« Last Modified by: Co0olCat on: 08/06/08 at 21:17:12 »

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The best language of choice for trading strategies (Read 51303 times)
Co0olCat
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The best language of choice for trading strategies
06/25/08 at 15:07:37
 
Help us to find the best language of choice for traiding strategies...
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Co0olCat
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Re: The best language of choice for trading strategies
Reply #1 - 06/29/08 at 11:37:09
 
You can post any unlisted alternatives here...
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'R' is the best language for statistical trading
Reply #2 - 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
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Re: The best language of choice for trading strategies
Reply #3 - 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.
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Re: The best language of choice for trading strategies
Reply #4 - 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?
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Re: The best language of choice for trading strategies
Reply #5 - 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.
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Re: The best language of choice for trading strategies
Reply #6 - 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 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++.
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Re: The best language of choice for trading strategies
Reply #7 - 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.)
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Re: The best language of choice for trading strategies
Reply #8 - 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?
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« Last Edit: 07/13/08 at 12:19:11 by Algo Designer »  

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Re: The best language of choice for trading strategies
Reply #9 - 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
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Re: The best language of choice for trading strategies
Reply #10 - 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!!!)
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Re: The best language of choice for trading strategies
Reply #11 - 08/06/08 at 21:14:29
 
I can't believe that Matlab is not even mentioned Smiley

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&o...

http://www.mathworks.com/industries/finance/
http://www.matlabtrader.com/
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Re: The best language of choice for trading strategies
Reply #12 - 08/06/08 at 21:19:15
 
sany wrote on 08/06/08 at 21:14:29:
I can't believe that Matlab is not even mentioned Smiley

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&o...

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


We are well aware of Matlab   Smiley
You can now vote for Matlab
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Re: The best language of choice for trading strategies
Reply #13 - 08/06/08 at 21:29:41
 
I can't vote for Matlab, since I already voted for C# Smiley
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Re: The best language of choice for trading strategies
Reply #14 - 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...   Cool
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