Ask HN: If you were building a HFT system today, what language would you use?

#1

Post by bbryant » Wed, May 08, 2019, 3:50 AM UTC

Back in 2003 I wrote my first high frequency trading system -- we used a mix of C and C#. Java was also a popular choice at that time.

Much has changed since then!

If you were building an order book or trading system today, what would be your goto language and why?

Re: Ask HN: If you were building a HFT system today, what language would you use?

#2

Post by wglb » Wed, May 08, 2019, 3:50 AM UTC

Lisp

Re: Ask HN: If you were building a HFT system today, what language would you use?

#3

Post by bbryant » Wed, May 08, 2019, 3:55 AM UTC

wglb wrote: post #2

Lisp

Lisp seems great for describing certain classes of trading algorithm, but what about the underlying platform?

Re: Ask HN: If you were building a HFT system today, what language would you use?

#4

Post by CyberFonic » Wed, May 08, 2019, 3:57 AM UTC

Golang. For performance with support for coroutines and garbage collection. The other choice would be C++ since tooling has improved greatly since 2003.

Re: Ask HN: If you were building a HFT system today, what language would you use?

#5

Post by CyberFonic » Wed, May 08, 2019, 3:59 AM UTC

wglb wrote: post #2

Lisp

Perhaps Common Lisp? But why and how?

Re: Ask HN: If you were building a HFT system today, what language would you use?

#6

Post by bbryant » Wed, May 08, 2019, 4:11 AM UTC

CyberFonic wrote: post #4

Golang. For performance with support for coroutines and garbage collection. The other choice would be C++ since tooling has improved greatly since 2003.

Thanks -- yeah, Golang GC seems very performant.

Re: Ask HN: If you were building a HFT system today, what language would you use?

#7

Post by wglb » Wed, May 08, 2019, 4:13 AM UTC

CyberFonic wrote: post #5

wglb wrote: post #2

Lisp

Perhaps Common Lisp? But why and how?

Why not? It is at least as fast as Java has all the networking tools. Yes common lisp.

Re: Ask HN: If you were building a HFT system today, what language would you use?

#8

Post by wglb » Wed, May 08, 2019, 4:15 AM UTC

bbryant wrote: post #3

wglb wrote: post #2

Lisp

Lisp seems great for describing certain classes of trading algorithm, but what about the underlying platform?

Underlying platform? Since it does sockets nicely no need for more.

Re: Ask HN: If you were building a HFT system today, what language would you use?

#9

Post by synack » Wed, May 08, 2019, 4:18 AM UTC

Ada/SPARK for anything that modifies a currency value, because safety is worth a few microseconds overhead.

Re: Ask HN: If you were building a HFT system today, what language would you use?

#10

Post by bbryant » Wed, May 08, 2019, 4:29 AM UTC

wglb wrote: post #8

bbryant wrote: post #3

Earlier quoted context omitted.

Lisp seems great for describing certain classes of trading algorithm, but what about the underlying platform?

Underlying platform? Since it does sockets nicely no need for more.

Yeah -- I can see what you're getting at.