Walter's DConf 2014 Talks - Topics in Finance

[Daniel Davidson]

On Saturday, 22 March 2014 at 00:34:22 UTC, TJB wrote:
> On Saturday, 22 March 2014 at 00:14:11 UTC, Daniel Davidson 
> wrote:
>> On Friday, 21 March 2014 at 21:14:15 UTC, TJB wrote:
>>> Walter,
>>>
>>> I see that you will be discussing "High Performance Code 
>>> Using D" at the 2014 DConf. This will be a very welcomed 
>>> topic for many of us.  I am a Finance Professor.  I currently 
>>> teach and do research in computational finance.  Might I 
>>> suggest that you include some finance (say Monte Carlo 
>>> options pricing) examples?  If you can get the finance 
>>> industry interested in D you might see a massive adoption of 
>>> the language.  Many are desperate for an alternative to C++ 
>>> in that space.
>>>
>>> Just a thought.
>>>
>>> Best,
>>>
>>> TJB
>>
>> Maybe a good starting point would be to port some of QuantLib 
>> and see how the performance compares. In High Frequency 
>> Trading I think D would be a tough sell, unfortunately.
>>
>> Thanks
>> Dan
>
> Dan,
>
> Why a tough sell?  Please explain.
>
> TJB

Well, I am a fan of D. That said, there is a ton of money that 
goes into the HFT low latency arms race. I felt they were always 
willing to spend whatever it takes - but they had to make 
choices. First, I know for several firms there was a history the 
C++ vs Java back and forth until it was clear that the lowest 
latency systems were C/C++. The difference was attributed to many 
causes, but garbage collection always came up as a big one. I 
think just that association of C++ beating Java because of 
garbage collection will be enough to prevent many HFT shops from 
considering D for a long while, even if you could get rid of the 
gc entirely. Additionally, many of the advantages firms get come 
from dealing intelligently with the kernel and lowest level 
networking techniques which implies expertise in C and that often 
comes with a well-deserved pride in knowing how to make things 
run fast in specific ways. Further they are pushing even lower 
into custom hardware which is expensive. With the money to throw 
at it and the various alternatives to choose from there is a go 
big or go home mentality. They are not as worried about how fun 
it is to code in, how ugly your templates are, or how it might 
take longer to do something or to build something.

I agree if you could get the finance industry interested in D 
that would be great. These are just my opinions and I left HFT a 
couple years back now. But, in this field, to expect a firm to 
get behind something like D you would need demonstrable 
improvements in performance irrespective of cost to develop. If 
they can do equivalent or better performance in C++ with more 
time to develop - then C++ still wins. Now if D can actually beat 
C++ significantly in quant programming performance things might 
change. Do you have ideas on how that could be done?

If you consider automated, black box trading, most firms roll 
their own options infrastructure and these days QuantLib would 
not make the cut. But if you could demonstrate same functionality 
with improved performance by using D you could make a case.

Thanks
Dan