Greatest Programming Language for Trading Systems?
Currently, I’m taking care of Learning Machine’s submission for Max Dama’s QuantCup. That involves optimising a “price-time priority limit order matching engine”. More simply, it means ‘making a system which matches buy and sell orders placed really fast’. *
As per the competition rules, I’m programming our entry in the C programming language. But when it comes to our own system, I’m probably going to write it in different things.
Why? I want a vocabulary which balances ease of development with speedy end results. Even though compiled C is very quickly, it isn’t an object-oriented (‘OO’) language, which means it may be harder to represent the ideas I’m coding about in such a way which seems natural to humans.
The four most in-demand OO languages out there will be C++, C#, Java and Python, and in them, I’m quite happily able to apply pretty much anything within the capacity of my intelligence (we’re screwed - ed). Therefore which one did I pick? Machine learning tecnologies

Python Straight off the bat, I knew Python was unsuitable. Even though the language make it easy to pump out code at a ridiculous pace, it is terrifically slow (unless you write a library in C - but then that’s C, certainly not Python). That particularly holds true for large scale projects.
Another consideration was the OO syntax in the language: I just don’t like it. It’s always believed tacked-on and feeble. Python is primarily a server scripting language, I guess.
Having said that, Python is my language of preference 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
Java was another candidate that was quickly crossed off our list. Why? Because so far as I know, Java doesn’t let external functions to be known as without piping a cord into a program(if I’m wrong 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 concern is the existence of C#. Pretty much the same language, but with a superset of Java’s features (i. e. will everything Java does, and more). And it has better handling of datetime type (important! ).
C++
From the four languages listed here, I’m 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 produce Assembly language and C straight into a program, and superb IDEs (I’m a fan of Visual Studio - university students can easily download it free through Microsoft’s DreamSpark program). C++ was so perfect, actually that I started programming on it right away.
However , the moment I got the basic class composition down pat, it strike me: the compiler. Spending thirty minutes debugging a simple mistake such as missing a type solid is not an efficient by using my time, particularly when trying to do university study alongside programming for Learning Equipment.
C# (C Sharp)
On the four languages considered, a person was left: C#. An almost perfect language, it has all of the advantages of C++ (bar it is speed) and offers a huge standard library, with even more your local library 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, nevertheless Microsoft seem to focus their very own documentation heavily on the language and their IDE, which smooths the ride somewhat.
Have I missed anything? Should I have included OCaml? Purpose 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 alone, but for speed reasons it is also done within a large number of high frequency trading firms to allow them to see the most up to date version on the order book and produce orders accordingly.
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