Quant development: Which programming languages are the most widely used in trading systems for conventional algorithmic )?

(Last Updated On: April 8, 2011)

Quant development: Which programming languages are the most widely used in trading systems for conventional algorithmic )?

Java, C++ and C# with extensive use of Python/Perl on Unix with Matlab

From what I know, functional languages such as Haskell, F#, SML etc are a nice fit in the financial sector in general, since you can mathematically prove program correctness which I assume is really helpful because a bug can cost you big time. That was a long sentence.

As an individual algo trader, i am using mql4 (similar to C) and mql5 (similar to C++) to develop automated trading program running on mt4 and mt5 platform. a

Definitely C++ on linux. I have heard of trading firms, that actually were trying to write everything on linux in C and use only pointer arithmetic to get away from even some latency found in the STL although I think you can have a i5 (sandy bridge) or better and do just fine with plenty of ram on C++ and linux. Also, python is great for simulations check out Longstaff Schwartz implemented in python. Very slick for backward analysis that forward analysis using monte carlo sims would just take forever. nd using Scilab (free language, similar to matlab) for data analysis….

• C# and NAG Fortran Libraries do everything I need

C# for client front end, C++ for backend.

VHDL/FPGA ?! For burning whole system in a FPGA chip?? But I though TI DSP has better solution for computing. More people use Verilog now for digital IC design. What matter most? Efficiency or crossing platform?

Really depends on what kind of results you want to achieve versus the best effort to develop. IMHO:

• C/C++ – Backend / Server Side Linux
• C# – GUI, Server Side Windows
• Java – Not a fan of event oriented language, but GUI and Some midware software (fast programming)
• Python, R, Matlab – Prototyping
• Flex – GUI / FrontEnd

If the application is not latency sensitive, I would recommend a large supported develop IDE like MS Visual Studio. You will find a large quantity of labor and easy debug.

On my personal softwares, I use C++ and QT.

have used R, C# and sql server 2008 at the backend for my trading models. I have build models based on machine learning algorithms. I have used the same for high frequency pair trading model. Which actually dynamically looks from more than 15000 pairs in a minute to find trading opportunities. It works well, but i must say that the architecture of the product has to be very robust to reduce the latency. But as of now it has been working fine for over 1.5 year now.

C++ seems to be popular going by the number of appearance in comments.

language #appearance
C++ 10
C# 6
C 4
R 3
MT5 1

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