Why is C++ still a very popular language in quantitative finance?
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Why is C++ still a very popular language in quantitative finance?
1–10 of 51 posts
Re: Why is C++ still a very popular language in quantitative finance?
#2It always amuses me the way people treat C++ like it's some kind of dark, corrupting magic that no right thinking person would use.
Re: Why is C++ still a very popular language in quantitative finance?
#3The article states that C++ is no better for the average user. How many people in QF are average?
Re: Why is C++ still a very popular language in quantitative finance?
#4And by the way, for the typical user, the performance difference between C++ and, say, C# won't be as pronounced (F# is another matter, though).
If you include memory usage in your performance comparison (which is very important for parallel programming), C++ is leagues ahead.
Re: Why is C++ still a very popular language in quantitative finance?
#5For applications bottlenecked by memory performance, like most analytical databases, C++ will often be faster than a language like Java by an integer factor. When people assert Java is about as fast as C++ they are talking about CPU-bound tight loops and similar. It is difficult to make languages like Java approach the memory efficiency of C++, hence why C++ is significantly more performant for applications bottlenecked on the memory subsystem.
These days, more performance-sensitive codes are bottlenecked by memory performance than by CPU performance. The throughput of CPUs has grown faster than our ability to keep those CPUs fed from memory. In the supercomputing world this started to become evident years ago; memory benchmarks like STREAM became more closely correlated with real-world performance than CPU benchmarks like LINPACK for a great many algorithms. The resurgence of C++ is partly driven by this reality since it makes memory optimization relatively straightforward.
Re: Why is C++ still a very popular language in quantitative finance?
#6There are a bunch of really expensive, really useful, 3rd party libraries for financial modeling that are written in C++.
A great many languages have support for calling external code, but debugging the interaction tends to be more trouble than it is worth.
Re: Why is C++ still a very popular language in quantitative finance?
#7I'm pretty sure this exact Stack Exchange post was linked on HN before.
Re: Why is C++ still a very popular language in quantitative finance?
#8C++11 is a very modern language. It seems to be moving faster than Java these days.
Re: Why is C++ still a very popular language in quantitative finance?
#9It appears to be mostly inertia. People learned C++ and a few relevant specialized libraries, so they keep on them.
Outside of a few relatively narrow topics like high frequency trading, trading algorithms for direct market access and solving optimizations, the speed of C++ is not needed. As a result I am observing more code development occurring in higher level languages such as Python, R, Matlab and SecDb/Slang. Extremely time or latency sensitive tasks are offloaded from these scripting languages onto broker algorithms or other third party libraries.
Re: Why is C++ still a very popular language in quantitative finance?
#10And by the way, for the typical user, the performance difference between C++ and, say, C# won't be as pronounced (F# is another matter, though). If you include memory usage in your performance comparison (which is very important for parallel programming), C++ is leagues ahead.
I totally agree, and I have complained about Java's lack of structured value types many times before because they are the main reason for Java's crazy memory usage.
However, the gap has narrowed significantly with the introduction of pointer compression in Java. It only works up to 32GB though, so this is going to be a temporary boost for Java I guess.