On Saturday, 22 March 2014 at 00:34:22 UTC, TJB wrote:
On Saturday, 22 March 2014 at 00:14:11 UTC, Daniel Davidson
wrote:
On Friday, 21 March 2014 at 21:14:15 UTC, TJB wrote:
Walter,
I see that you will be discussing "High Performance Code
Using D" at the 2014 DConf. This will be a very welcomed
topic for many of us. I am a Finance Professor. I currently
teach and do research in computational finance. Might I
suggest that you include some finance (say Monte Carlo
options pricing) examples? If you can get the finance
industry interested in D you might see a massive adoption of
the language. Many are desperate for an alternative to C++
in that space.
Just a thought.
Best,
TJB
Maybe a good starting point would be to port some of QuantLib
and see how the performance compares. In High Frequency
Trading I think D would be a tough sell, unfortunately.
Thanks
Dan
Dan,
Why a tough sell? Please explain.
TJB
Well, I am a fan of D. That said, there is a ton of money that
goes into the HFT low latency arms race. I felt they were always
willing to spend whatever it takes - but they had to make
choices. First, I know for several firms there was a history the
C++ vs Java back and forth until it was clear that the lowest
latency systems were C/C++. The difference was attributed to many
causes, but garbage collection always came up as a big one. I
think just that association of C++ beating Java because of
garbage collection will be enough to prevent many HFT shops from
considering D for a long while, even if you could get rid of the
gc entirely. Additionally, many of the advantages firms get come
from dealing intelligently with the kernel and lowest level
networking techniques which implies expertise in C and that often
comes with a well-deserved pride in knowing how to make things
run fast in specific ways. Further they are pushing even lower
into custom hardware which is expensive. With the money to throw
at it and the various alternatives to choose from there is a go
big or go home mentality. They are not as worried about how fun
it is to code in, how ugly your templates are, or how it might
take longer to do something or to build something.
I agree if you could get the finance industry interested in D
that would be great. These are just my opinions and I left HFT a
couple years back now. But, in this field, to expect a firm to
get behind something like D you would need demonstrable
improvements in performance irrespective of cost to develop. If
they can do equivalent or better performance in C++ with more
time to develop - then C++ still wins. Now if D can actually beat
C++ significantly in quant programming performance things might
change. Do you have ideas on how that could be done?
If you consider automated, black box trading, most firms roll
their own options infrastructure and these days QuantLib would
not make the cut. But if you could demonstrate same functionality
with improved performance by using D you could make a case.
Thanks
Dan
