Hi Dan,
On Saturday, 22 March 2014 at 12:56:03 UTC, Daniel Davidson wrote:
On Saturday, 22 March 2014 at 12:35:50 UTC, Saurabh Das wrote:
You are absolutely correct - the finance industry _wants_ to
switch away fromC++. I work in a fledgeling HFT startup firm
and
we are actively pursuing D. We have tested it out in a live
trading environment and the results are very promising.
Well, the finance industry is pretty big and therefore diverse.
By, "the finance industry _wants_ to switch away from C++" I
assume you mean on average or maybe those you work with. Glad
to hear you are having promising results with D.
Yes. The finance industry is very big and diverse. I am in
particular referring to the parts of the industry that work
heavily in C++ currently. Maybe my sample set is skewed because
of the segment I work in - but there is a lot of enthusiasm that
I have seen from those I am in contact with.
1. We are measuring better latency numbers in D (As compared to
the older C++ systems). This is good enough reason to switch :)
You should share some of the numbers and analysis - maybe some
techniques as well. Where do you suspect that edge comes from
and would it be possible to duplicate the improvements by
changing/improving the C++ - (not that you would want to)?
I don't think I would be allowed to share numbers :( I will check
and get back on that. We have been debating about starting a blog
where we can share techniques with the wider world. Unfortunately
we are just so overloaded currently that getting down to doing
this may take some time.
The edge for D in our case comes from 3 factors -
1. A lot of statistical data from older C++ systems means better
assumptions and decisions in the new D system; and
2. 20% of the system is latency-critical and 80% is not. D allows
us to quickly finish 80% and really concentrate on the critical
20%. I must also comment upon how much more productive it is to
write a new system in D as compared with C++ - gives us more time
to think about the actual problem than try to jump through the
C++ hoops.
3. A much better type system - some checks can be moved to
compile time. Major benefit.
2. After much testing, we concluded that fear-of-GC-collects is
overblown. Avoid allocating in the main loops as far as
possible.
Really? Why is that... because it has no noticeable effect in
your system?
Yes. I am commenting about our systems - we disable the GC during
critical periods and then go back and collect collect collect
later when things calm down. And as such there is minimal
allocation in critical sections - we try to ensure all allocation
is done beforehand. We followed a similar approach in C++ too
since malloc/new is so slow.
3. Code is _much_ more maintainable and easier to understand.
I would bet so.
4. It's fun to code again - and this point cannot be stressed
enough. C++ is a major headache but earlier we had no choice.
Fun is important - especially at an HFT startup. Just imagine
the pain endured by new hires at firms with mounds of C++.
I'm quite confident that D is going to make good inroads into
the
financial industry in the coming years.
My bet is it will make inroads in finance but more on the
infrastructure, web, general programming side and less on the
HFT, low-latency side. Probably less on the Quant side as well
without something compelling. Julia is compelling with its
focus on math and clear benefits over current RAD alternatives
numpy, R, Matlab, etc. I don't yet see where D adds distinction
to that game yet - other than being a great language. We'll
see.
Yes - R, Matlab et all won't be replaced by D most likely. Let's
wait and watch. However I disagree about the HFT/low-latency
side. Ofcourse there's no way to say for sure. Let's check again
in a year :)
Thanks
Dan
Saurabh
