PROGRAMMING LANGUAGES FOR WHEN USING QUANT ANALYSIS FOR HIGH FREQUENCY TRADING

COVERING FOR BEST TRADING USES Notes Prototyping research and interpretive scripting languages Legacy compiled languages Why MATLAB is special CRITICAL Factors to consider for live trading

NOTES No comments on database or other coding applications

MODEL IDEA RESEARCH PROTOTYPING LANGUAGES R PYTHON MATLAB (left to end of presentation)

SCRIPTING AND INTERPRETIVE LANGUAGES: R Splintering into two versions of 2.15 and 3.xx? R packages are not compatible with each path so not future proof R packages can be broken for months with potential NO fix Transforming between data type for compatibility with other packages limits performance and simplicity of code

SCRIPTING AND INTERPRETIVE LANGUAGES: R Rstudio excellent IDE for self contained scripts but cannot extend Rjava and Rcaller seems to be riddled with complexity No order management Painfully slow but have fun

SCRIPTING AND INTERPRETIVE LANGUAGES: PYTHON Splintering into two versions of 2.7 and 3.xx? Splintering Too many options with IDEs which confuses with no standard Data packages stand outs like Pandas or Numpy S-l-o-w: No matter how they speed it up, still cryptic and painful Matlab 2015b and Visual Studio 2015 natively call it How to easily extend into a live trading app built in C++ or Java? Limited order management capability with no direct support for standard Interactive Brokers API

LEGACY LANGUAGES FOR LIVE OR PRODUCTION TRADING Java C#/.NET C/C++

LEGACY LANGUAGES FOR LIVE TRADING: JAVA Over engineered frameworks which become heavy and complex Write once deploy anywhere For ultra lowest frequency, many need to hack JVM for optimal performance GUI based is highly limited pretty well only on Java FX Performance out of box is peppy Extending into other languages can be limited New to programming? 2 nd language of choice to learn from nothing Performance COULD be limited by garbage collection

LEGACY LANGUAGES FOR LIVE TRADING:.NET/C# Best language to start with for Newbies since it is easy to grasp Visual Studio best IDE hands down Limited since you can run only on Windows exclusively for optimal performance GUI library choices is best for charting or front end design Advanced techniques do exist thanks to Microsoft Research Integrates nicely with C++ back end DLLs Multiple database integration Performance COULD be limited by garbage collection but optimal performance options available

LEGACY LANGUAGES FOR LIVE TRADING: C/C++ Complex but highly adaptable language Most optimal performing language for speed and memory management with no garbage collection Defacto language for both quant analysis and high frequency trading High end/High speed Institutional systems are Deployed on Linux with optimal integration with Kernel customization or hardware deployment (i.e. FPGA)

MATLAB IS UNIVERSAL WITH PROTOTYPING, SCRIPTING, AND EXTENDING TO LEGACY LANGUAGES All newbies should embrace this platform Powerful toolboxes to cover all universal needs of all aspects of trading including data acquisition, analysis, and extending for order management Ability to code generate certain toolboxes to C or C++ with strict compliance Ability to extend ANY M script to be directly called from Python, C++, C, Java,.NET, and even Excel addins

MATLAB IS UNIVERSAL WITH PROTOTYPING, SCRIPTING, AND EXENDING TO LEGACY LANGUAGES (CONT’D) Prototyping for research can access any Java,.NET, or Python component Advanced trendy support of machine language, quant, advance math support, etc Ability to embed scripts into a high performing web server (i.e. Matlab Production Server) which can be even run in a co-located on a trading exchange Visually design trading models with Simulink and Stateflow with code generation to C+, C, or even FPGA for ultra lowest latency (think HFT) Mupad used to verify any scientific notation equation Home Edition makes Matlab affordable

CRITICAL FACTORS FOR LIVE TRADING Your broker will limit you e.g. Interactive Brokers API is layered of confusion so I use TWSLink2 which is Windows only Data provider also limits but my choice of IQFeed works on Windows but can work within Linux using WINE Would prefer Linux since it is more lightweight and more control of experience Can move to pure Linux but trading account needs be significant for advanced broker options (i.e. >$500k for Lime etc) ATT NEWBIES: Windows is easier to use and make you more productive