Currently, I’m taking care of Learning Machine’s submission for Max Dama’s QuantCup. That requires optimising a “price-time goal limit order matching engine”. More simply, it means ‘making a process which matches buy and sell requests really fast’. *
As per the competition rules, I’m developing our entry in the C programming language. But when it comes to our own system, I’m likely to write it in something different.
Why? I want a terminology which balances ease of development with speedy end results. Although compiled C is very fast, it isn’t an object-oriented (‘OO’) language, which means it’s harder to represent the concepts I’m coding about in many ways which seems natural to humans.
The four most in-demand OO languages out there happen to be C++, C#, Java and Python, and in them, I am quite happily able to apply pretty much anything within the potential of my intelligence (we’re screwed - ed). Therefore which one did I decide on? Machine learning tecnologies
An additional consideration was the OO syntax in the language: I just don’t like it. It’s always thought tacked-on and feeble. Python is primarily a server scripting language, I guess.
Having said that, Python is my language of choice for scraping data from the web and for simple unit testing, so I may well come back to it later for a distinct purpose.
Java was another candidate that was quickly crossed off the list. Why? Because in terms of I know, Java doesn’t enable external functions to be named without piping a line into a program(if I’m incorrect about this, let us know via the reviews below! ) [Turns out I was indeed wrong, see http://java.sun.com/docs/books/jni/html/jniTOC.html]. Another issue is the existence of C#. Pretty much the same language, but with a superset of Java’s features (i. e. does indeed everything Java does, and more). And it has enhanced handling of datetime type (important! ).
In the four languages listed here, I am least comfortable in C++. I thus figured that Learning Machine would be a great way to extend my knowledge of the language.
At first, C++ seemed best: solid OO implementation, a fast, compiled language, the ability to publish Assembly language and C straight into a program, and wonderful IDEs (I’m a fan of Visual Studio - university students can easily download it free through Microsoft’s DreamSpark program). C++ was so perfect, in reality that I started programming in it right away.
However , as soon as I got the basic class structure down pat, it strike me: the compiler. Spending thirty minutes debugging a simple mistake such as missing a type shed is not an efficient make use of my time, particularly when aiming to do university study alongside programming for Learning Equipment.
C# (C Sharp)
In the four languages considered, one was left: C#. A perfect language, it has all of the advantages of C++ (bar the speed) and offers a huge normal library, with even more libraries available on the internet. It even lets you call external functions, and use pointers - features which place it in a category above Java. Not only that, although Microsoft seem to focus their particular documentation heavily on the dialect and their IDE, which smooths the ride somewhat.
Currently have I missed anything? Can i have included OCaml? Aim C? Erlang? Let us know inside the comments! (I’m seriously taking into consideration writing some external capabilities in OCaml…)
* This kind of matching task would normally be done within the exchange on its own, but for speed reasons it may be also done within a large number of high frequency trading firms to allow them to see the most up to date version of the order book and help to make orders accordingly.
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