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Closed 11 years ago.
Is anyone knowledgeable on programming language implementation of algorithmic trading?
I am going to propose a research project on functional programming and algorithmic trading.
My proposal is here: http://pastebin.com/wcigd5tk
Any comments would be very appreciated.
What do you think the future of functional languages in the financial field is? I see many job postings that ask for experience in java and C++, and i dont understand why.
Jane Street is very well known for using OCaml for their trading software. Here you can find some reasons why they decided to use functional languages rather than imperative ones. They also have a blog describing several specific solutions to problems they encountered during development.
C++ is the most popular in that field.
java , python ,haskall ,c# are all runners up
haskall and c# are functional with haskell being purely functional
eventually the field will move to a more "modern language" like c# or haskall but right now c++ has so much support the libraries are already made and its implementation is the easiest .
For Trading application, it usually has Real time, multithread, low latency, high availability to consider too. I was working in a company developing a trading application using both(mixed) C++ and Java as it fit with the behaviour of the application.
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Closed 9 years ago.
Recently I started looking at functional languages to make some algorithmic parts of my application more reliable. Of course I bumped into Haskell. But it prepared too many surprises for me with its laziness. Sometimes simple things become very and very slow.
So I'm wondering is there a language I can use to write small algorithms in functional style but without unnecessary laziness which causes more problems then helps.
The program should be compiled into Win32/64 native code (preferably dll) and have comparable performance with C++.
OCaml is probably the closest to Haskell, but it's strict and impure. It's a successor to ML.
OCaml, ML, and Haskell can all be compiled to machine code on any common platform.
In my experience, though, laziness is usually a great feature once you get a sense for how it works.
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Closed 9 years ago.
I am interested in learning more about SOA. Most of the explanations I see have little code and a lot of chatter, philosophy and rambling. I am a kind of person that learns best when I have code to look at (it does not have to be perfect or 100% right, just a good example). Does anyone know of good and simple coding examples of SOA?
SOA is an architecture (not a framework), you can't simply code entier SOA. It involves lot of factors, that is why you see lot of chatter, but I know the confusion you are having (which is same for people with coding background).
Real SOA implementation involves lot of co-ordination, integration and maintenance than coding. Coding will be small part, which is writing services. If you can write any webservice, then you learned required coding for SOA. So, read about Web Services (REST WS and JAX-WS (assuming java background) etc.,) using any programming language.
Once you are done with service writing, it will be integrators part, which also involves little bit coding (lot of integration tools are there by Oracle and other vendros), so little coding here.
Only these two layers really involve coding part in SOA.
In a nutshell, come out from programmer perspective, if you want to enter SOA world. Programming is small part in SOA world.
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Closed 11 years ago.
More of a side thing I want to learn since they never really went much over it in college, and yes im sure this has been asked plenty of times but Books/Algorithms get updated. So I wanted to most updated opinions/reviews of it.
I am less concerned about the history of it, but more concerned about actual implementation. And maybe by the end of the book implementing my own pseudo encryption algorithm.
I recall hearing something about Crpytool being a good learning program. I don't know if that is still true or not.
I am guessing typical encryption algorithms can be pretty much implemented in most languages right? Like MD5 in php and c?
http://www.schneier.com/book-practical.html
And please don't use your pseudo-encryption algorithm for anything more important than your own love letters. It's probably best not to use your own implementations of standard algorithms either.
Here is Cryptography for Developers and Cryptography in C and C++ books which I advise you much
The handbook of applied cryptography is worth to read, especially chapter 14.
http://www.cacr.math.uwaterloo.ca/hac/
Wikipedia has a good bibliography page on the subject which history page shows frequent updates.
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Closed 12 years ago.
Not a book that talks about how to code but more high level organization of software.
General Responsibility Assignment Software Principles and Domain Driven Design are in my opinion are the next must have things you should get familiar with after learning to code. API Design is also a good read, especially when you are developing the software that will be used/extended by multiple people.
I am not in favor of learning patterns as it is EASIER to misuse them if the intention is not understood correctly. (Everything seems like a nail if you have a hammer kind of thing). I have nothing against patterns but I have seen it mostly misused by the junior developers thus creating hard to maintain products.
My Professor at RWTH recommended these:
Jacobson, I., et al (1992): Object Oriented Software Engineering
Meyer, B. (1997) : Object Oriented Software Construction,2nd edition, Prentice Hall, ISBN 0-136-29155-4
Though perhaps it is not strictly architecture-related (although I believe you'll find that most prescriptions of architecture patterns are mere guidelines at best, and far from comprehensive), Steve McConnell's Code Complete is truly required reading. More importantly than teaching you design patterns, it will teach you to be a better programmer so that you can make these kinds of decisions for yourself.
I really like Fowler's Design Patterns. Deep stuff, some of it's hard to get through, but yum.
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Closed 12 years ago.
I have recently attended a lecture about functional programming by the CEO of a very successful company. The company relies very heavily (almost exclusively) on functional programming. The actual language they use is F#.
This man claims that functional programming is poised to take over as the next big thing. I have heard similar claims about this in the past but it never seemed to happen.
Because functional programming is very different from imperative programming, and would take a considerable amount of time to become fluent in, is it worth it? Do you think that there is a big future for functional programming?
It is worth getting to know a functional language but not because it will get big in the future or land you a good job, but rather because you'll become a better programmer by knowing something besides OOP and procedural languages.
There are almost as many different opinions on this as there are readers of stackoverflow. Everybody has their own crystal ball :-)
Elements of functional programming will be (are) included in mainstream languages. The next COD won't be written in Haskell though.
I certainly think that functional programming will always have a place. I don't know if it will be the next big thing, considering that it's been around for 50 years. I do think that it's worth it to learn a functional language. As ESR has said:
"Lisp is worth learning for the profound enlightenment experience you will have when you finally get it; that experience will make you a better programmer for the rest of your days, even if you never actually use Lisp itself a lot."
Source: How To Become A Hacker by Eric S. Raymond