Algorithmic Trading Group Forum - The best language of choice for trading strategies

Co0olCat Forum Moderator Offline Posts: 128 Gender:	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 Forum Moderator Offline Posts: 128 Gender:	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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Maltamir Newbie Offline I like this forum ! Posts: 36 Paris Gender:	'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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Algo Designer Forum Administrator Offline Nihil desperandum Posts: 181 Sydney Gender:	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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Baltar Newbie Offline Posts: 11 Tokyo Gender:	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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Co0olCat Forum Moderator Offline Posts: 128 Gender:	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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Baltar

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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

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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Baltar Newbie Offline Posts: 11 Tokyo Gender:	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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Co0olCat

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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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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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Z Newbie Offline Reality is not your friend. Posts: 8 London Gender:	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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sany

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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

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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"However beautiful the strategy, you should occasionally look at the results." - Churchill

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Co0olCat

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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

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

You can now vote for Matlab

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"Yesterday is history. Tomorrow is a mystery. But today is a gift, and that is why it's called the present."

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sany Newbie Offline The only true wisdom is in knowing you know nothin Posts: 6 Greenwich, CT Gender:	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#
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Co0olCat Forum Moderator Offline Posts: 128 Gender:	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...
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Poll
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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