Java or C++ for HFT?

Discussion in 'Automated Trading' started by ppy93, Oct 29, 2021.

  1. ppy93

    ppy93

    Correct me if I am wrong but I believe Lime only offer FIX and C++/Java wrapper. Out of curiosity, what is the preferred solution for HFT if not using FIX?
     
    #21     Oct 29, 2021
  2. ppy93

    ppy93

    Thank you. I guess I will give a try to boost.python. Once everything is up running, I will rewrite all my code in C++.
     
    #22     Oct 29, 2021
  3. sandy_s

    sandy_s

    Native api or protocols designed for hft like ouch for nasdaq order entry and itch for market data. I hope you realise there is not going to be any benefit for hft unless you place your server in colo. The pure speed play for hft has long been dead...
     
    #23     Oct 29, 2021
    YuriWerewolf and qlai like this.
  4. Sig

    Sig

    You have to ask yourself what type of trading you would be doing where FIX isn't fast enough but something short of FPAGs is fast enough? That's a pretty tiny window of trading, I doubt someone asking if java is a good choice for HFT is operating in that window.
     
    #24     Oct 29, 2021
    sandy_s likes this.
  5. kmiklas

    kmiklas

    Not sure how much experience you have in C++, but it's got a fairly steep learning curve.

    Especially if you're doing HFT, where you'll be pretty much brought down to the C level, and may not be able to use some std:: stuff (like smart pointers) because of the overhead. Say hello to segfaults.

    You'll be working with something closer to a machine language. It can be tedious. Make sure you get the best tools on the market.
     
    #25     Oct 29, 2021
  6. qlai

    qlai

    Right, Lime used to allow sending messages in native exchange formats. Generally, I prefer a format where fields of no interest can be skipped (fixed length format like ouch). With FIX, I have to parse useless fields sequentially to extract a few I care about.
     
    #26     Oct 29, 2021
    sandy_s likes this.
  7. Metamega

    Metamega

    The big boys I believe are in FGPA chips. Screw software and just build it into the chip.

    Pretty tough side of the market to compete with.
     
    #27     Oct 30, 2021
  8. sandy_s

    sandy_s

    You should ask them if that unit is profitable without being funded from the agency flow.

    Anyway, a retail trader don’t even need to think on those lines..let alone tread that path..
     
    #28     Oct 30, 2021
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  9. ppy93

    ppy93

    Thanks guys for all the insightful information. As a startup hedge fund, our AUM is around $2M. Managing a small AUM makes it relatively easy to stay profitable because we can capitalize on opportunities the bigger institutions can not capitalize on or do not even care for. In other words, being small makes it possible to focus on competing with retail traders.

    We are not doing HFT at the moment and I evaluating whether it is even worthwhile to get into it. I assume HFT is significantly more competitive due to competitors being institutions instead of retail traders. Besides many technical advantages such as lower latency and faster computers, I would also assume most HFT funds hires many IQ-top-percentile people for strategy development who are equally smart if not smarter than us(me and a few other IQ 130+ guys). For example, a few of my college classmates who I consider equally smart or smarter than me are now working for funds like Citadel. What is my edge against these bigger institutions other than managing a small AUM or having good luck?

    Besides, I have heard a rumor that there are only a few guys in Medallion's core team responsible for strategy development and they do not use more than high-school Math. Is this true? If yes, does Medallion use in HFT strategies?
     
    Last edited: Oct 31, 2021
    #29     Oct 31, 2021
    qlai likes this.
  10. sandy_s

    sandy_s

    If you are a startup hedge fund who knows what you are doing and being profitable, you should continue doing more of the same...
     
    #30     Oct 31, 2021