I am a pro tem moderator on the Quant Finance Stack Exchange.
This question was pretty contentious when it was asked. Worse still is that the current accepted answer came from someone who doesn't even work in quantitive finance.
Any argument about performance is totally incorrect. There are indeed a few areas of quant finance that require performance, but those are in the minority. Really, C++ is the top language because of culture. Ie, it's what everyone knows.
Just about every major programming language is used in finance, and each firm has its own preferences. But almost all of them will still interview in C++ because it's so widespread.
We were developing data stream processing software for companies in financial sector. We were unable to get performances and controllability/measurability of the system our customer wanted using java. So we end up with C/C++.
I do high-frequency trading. My feed handling and order routing logic is in C++ for the performance benefits. But my backtesting is in q/kdb+, my loading scripts are in Python, and my administrative tasks are in bash.
Some of my co-workers use Java because their models aren't as sensitive to latency as mine. My best friend does options pricing in VB/Excel. And I know tons of competitors who use R, MATLAB, OCaml, and Haskell.
Could you please give me a specific example of how you use Q (something more towards the language side, rather than the database side)? Also: How did you learn Q? I've been playing with it, and I've read "Q for Mortals", but I'd like to do more, although not in the field of finance. I find Arthur Whitney's journey from APL to J to A+ to K/Q quite interesting, and I'm trying to figure out just how powerful Q really is. Thanks in advance.
I work on a high frequency trading desk at a large bank. We do not use q for our trading models but just like the write of the parent comment, we use it for back testing / regression testing our models. Our quants also like writing / specifying the algo model in q and I or other developers would implement it in the language of our trading system.
IMHO, there are many resources for learning q on code.kx.com . I also went on a training course arranged by First Derivatives (they are the only vendor who offer formal training in q). I would say the best way of learning it is to practice! Use code.kx.com as a reference and download an evaluation copy of the runtime. You should be able to find open source / Free editors for q (QInsightPad, there is also an Eclipse plugin). Set up your environment and try to tackle the Project Euler question set in q.
Alternatively, get a linear algebra / machine learning text book and attempt to solve the exercises in q.
q may seem a little terse, but it is extremely expressive and once you get the hang of the syntax and error handling, it is a joy to use.
> I find Arthur Whitney's journey from APL to J to A+ to K/Q quite interesting
Arthur Whitney didn't do APL or J; those were from Kenneth Iverson with Roger Hui helping out on the later. A+ was Arthur's implementation of APL, from what I understand. K is entirely ASCII (none of the special APL characters) and q added reserved words plus the integrated kdb+ database.
> How did you learn Q?
I learned q as a quant for a trading desk that used it for most tasks. I've been using it ever since because it's very expressive and has great performance.
"Arthur Whitney didn't do APL or J; those were from Kenneth Iverson with Roger Hui helping out on the later."
I am familiar with the history. I meant "journey" as in "progression through APL and APL-like languages". Iverson showed APL to Whitney when he was only 11 years old. Whitney created the first version of J, but then moved on, leaving it to Hui.
"Work began in the summer of 1989 when I [Ken Iverson] first discussed my desires with Arthur Whitney. He proposed the use of C for implementation, and produced (on one page and in one afternoon) a working fragment that provided only one function (+), one operator (/), one-letter names, and arrays limited to ranks 0 and 1, but did provide for boxed arrays and for the use of the copula for assigning names to any entity. I showed this fragment to others in the hope of interesting someone competent in both C and APL to take up the work, and soon recruited Roger Hui, who was attracted in part by the unusual style of C programming used by Arthur, a style that made heavy use of preprocessing facilities to permit writing further C in a distinctly APL style. Roger and I then began collaboration on the design and implementation of a dialect of APL (later named J by Roger) ..." - from Hui's "Remembering Ken Iverson", referencing Iverson's "A Personal View of APL" (http://keiapl.org/rhui)
In Appendix A, on that same page, you can find Whitney's code. It shows how differently he thinks about coding, and is likely a good example of Q's roots.
I also noticed the answers here on HN are better quality and I didn't have to scroll past the usual parade of people arguing whether the thread should be closed...
Comments
I am a pro tem moderator on the Quant Finance Stack Exchange.
This question was pretty contentious when it was asked. Worse still is that the current accepted answer came from someone who doesn't even work in quantitive finance.
Any argument about performance is totally incorrect. There are indeed a few areas of quant finance that require performance, but those are in the minority. Really, C++ is the top language because of culture. Ie, it's what everyone knows.
Just about every major programming language is used in finance, and each firm has its own preferences. But almost all of them will still interview in C++ because it's so widespread.
We were developing data stream processing software for companies in financial sector. We were unable to get performances and controllability/measurability of the system our customer wanted using java. So we end up with C/C++.
I do high-frequency trading. My feed handling and order routing logic is in C++ for the performance benefits. But my backtesting is in q/kdb+, my loading scripts are in Python, and my administrative tasks are in bash.
Some of my co-workers use Java because their models aren't as sensitive to latency as mine. My best friend does options pricing in VB/Excel. And I know tons of competitors who use R, MATLAB, OCaml, and Haskell.
There are tons of languages used in finance.
Could you please give me a specific example of how you use Q (something more towards the language side, rather than the database side)? Also: How did you learn Q? I've been playing with it, and I've read "Q for Mortals", but I'd like to do more, although not in the field of finance. I find Arthur Whitney's journey from APL to J to A+ to K/Q quite interesting, and I'm trying to figure out just how powerful Q really is. Thanks in advance.
I work on a high frequency trading desk at a large bank. We do not use q for our trading models but just like the write of the parent comment, we use it for back testing / regression testing our models. Our quants also like writing / specifying the algo model in q and I or other developers would implement it in the language of our trading system.
IMHO, there are many resources for learning q on code.kx.com . I also went on a training course arranged by First Derivatives (they are the only vendor who offer formal training in q). I would say the best way of learning it is to practice! Use code.kx.com as a reference and download an evaluation copy of the runtime. You should be able to find open source / Free editors for q (QInsightPad, there is also an Eclipse plugin). Set up your environment and try to tackle the Project Euler question set in q.
Alternatively, get a linear algebra / machine learning text book and attempt to solve the exercises in q.
q may seem a little terse, but it is extremely expressive and once you get the hang of the syntax and error handling, it is a joy to use.
> I find Arthur Whitney's journey from APL to J to A+ to K/Q quite interesting
Arthur Whitney didn't do APL or J; those were from Kenneth Iverson with Roger Hui helping out on the later. A+ was Arthur's implementation of APL, from what I understand. K is entirely ASCII (none of the special APL characters) and q added reserved words plus the integrated kdb+ database.
> How did you learn Q?
I learned q as a quant for a trading desk that used it for most tasks. I've been using it ever since because it's very expressive and has great performance.
"Arthur Whitney didn't do APL or J; those were from Kenneth Iverson with Roger Hui helping out on the later."
I am familiar with the history. I meant "journey" as in "progression through APL and APL-like languages". Iverson showed APL to Whitney when he was only 11 years old. Whitney created the first version of J, but then moved on, leaving it to Hui.
"Work began in the summer of 1989 when I [Ken Iverson] first discussed my desires with Arthur Whitney. He proposed the use of C for implementation, and produced (on one page and in one afternoon) a working fragment that provided only one function (+), one operator (/), one-letter names, and arrays limited to ranks 0 and 1, but did provide for boxed arrays and for the use of the copula for assigning names to any entity. I showed this fragment to others in the hope of interesting someone competent in both C and APL to take up the work, and soon recruited Roger Hui, who was attracted in part by the unusual style of C programming used by Arthur, a style that made heavy use of preprocessing facilities to permit writing further C in a distinctly APL style. Roger and I then began collaboration on the design and implementation of a dialect of APL (later named J by Roger) ..." - from Hui's "Remembering Ken Iverson", referencing Iverson's "A Personal View of APL" (http://keiapl.org/rhui)
In Appendix A, on that same page, you can find Whitney's code. It shows how differently he thinks about coding, and is likely a good example of Q's roots.
I also noticed the answers here on HN are better quality and I didn't have to scroll past the usual parade of people arguing whether the thread should be closed...