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What languages, technologies and concepts should I learn to help get into Algo / HFT / UHFT?

(Last Updated On: August 2, 2011)

I’m a C# Developer in Derivatives IT at a Tier 1 Investment Bank. What languages, technologies and concepts should I learn to help get into Algo / HFT / UHFT?

Skills: C# 3.5, WPF, MVC3, Windows Server, HTML / CSS.

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there are few possible area where you can focus on OMS, EMS, HFT, UHFT, related to your skill set,
1: using C#, .net , win form, WPF etc you can build really nice fron end and which works really well on windows platform, same platform normally used by traders hence now a days architect prefer to build frontEnd of the system using above technologies.
2: Web Service [SOAP or REST]
2a: middle tier core engine generally build using java specific tech, java multithreads or C++, also good to know XML and XSL and SQL, good to have knowledge on algo’s try reading some books on Analysis of Algorithms
3: for Execution side: core Java, java multithreading and C++, havent seen great EMS build on C# yet., also you can learn FIX protocol, either you can fully get involved in writing EMS or you just stay at connectivity side,
4:back end side in-memory db or now a day’s IBM WebSphere eXtreme Scale is good.
5: common understading of business which comes w.r.t only,
6: so many things are available at algo or HFT/ UHFT, possibly you may end up by choosing something.

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Algorithmic Trading with Matlab
http://www.mathworks.com/matlabcentral/fileexchange/18854-algorithmic-trading-with-matlab

Automated Trading Language Documentation
http://www.mql5.com/en/docs

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I would also investigate R. I have just started to investigate this to develop some algorithmic trading models and so far I’m very impressed. Plus its free!

Depends what you want to do really, do you want to investigate and develop algorithms or write infrastructure to execute trades with existing algos? If the former then matlab or R would be your best port of call. If the latter, then C++, Multithreaded Java/C#, Fix protocol etc.. would be more applicable

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Call-and-return and OO code do not lend themselves to HFT due to limitations in parallel processing and pipelining. Although these coding paradigms can give you a basic understanding of algo’s, they would be substandard in application in comparison to FPGA’s and where the industry is (in my opinion) heading.

 

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