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Python toolkit for quantitative finance

github.com

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Re: Python toolkit for quantitative finance

#33

Post by richardw »

Rather than just dump on it, I’d find it more interesting to hear how it came to be and what it’s used for internally (if so).

I’ve seen surprising stuff that had rational reasons under closer investigation. Companies have cultures and internal priorities that make sense when you’re inside the bubble, but look weird from outside.

Re: Python toolkit for quantitative finance

#36

Post by snovymgodym »

data_ders wrote: post #35

Cool to see some "bank Python" that Cal Paterson had described previously is now open source https://calpaterson.com/bank-python.html

Nah this looks pretty orthogonal to that. This just looks like a collection of pure python libraries for doing common quant work. The thing Cal Peterson is describing (which is pretty transparently JP Morgan's Athena) would be SecDB at Goldman and would be running on their proprietary scripting language called "Slang". None of that is open source.

Goldman was the first place to do a system like that, and when it was copied at other investment banks like JP Morgan and Bank of America, they opted to use Python instead of an in-house language and so "bank python" was born. Actually, the banks all poached engineers from one another, so many of the people that built the system at one place ended up building it again at another, hence why there are so many similarities between the equivalent systems at all these US investment banks. Some of those people eventually went on to build it again as a SaaS offering: https://www.beacon.io/

Re: Python toolkit for quantitative finance

#37

Post by simonh »

1htfp wrote: post #13
scrlk wrote: post #12

Does GS still use their proprietary Slang language or has that been phased out in favour of Python?

Still very much present, it powers "SecDB" (which is pretty much the nervous system of the entire markets business). While there's certainly been openness to Python/etc and tech to integrate Slang into the 21st century, it's the kind of thing that's hard to imagine ever being phased out.

I worked at Bank Of America for a while on the Quartz platform, which is their Python based clone of SecDB. The lead architect was one of the founders of the Slang/SecDB platform at Goldman. It as great fun to work on. Incredible power at your fingertips.
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