4 ms·

Not every single aspect of HFT is insanely speed critical and even in non-critical areas we still don't use fixed decimal point arithmetic on principle. For exa

by Kranar 9y ago

Not every single aspect of HFT is insanely speed critical and even in non-critical areas we still don't use fixed decimal point arithmetic on principle. For example we do a lot of profit/loss reporting and analytics which are not speed critical, we write user interfaces and web apps in Javascript that work with money, so on so forth. I will agree BigDecimal is fine to use if speed really doesn't matter, it's at least correct even if it's a nuclear option of sorts. What I really want to discourage is using fixed integer to represent some smallest unit of money, like using an int where 100 = 1 dollar, 1010 = 10 dollars and 10 cents. That is fundamentally problematic and objectively worse than using a floating point value. But sure, if you genuinely don't want to think at all about the issue, use your language's BigDecimal. If you decide you want the much improved performance, then use a floating point value, either the IEEE decimal floating point standard or use binary floating point to represent some reasonably small unit fraction of a dollar, like 1.0 = 10^-6 dollars.

barbersturgeon 9y ago
Honest question - why is that something to avoid? What does the floating point representation buy you that say an int64 doesn't, with the same choice of units ie. 1 = 10^-6 dollars?
- DigitalJack 9y ago
  Tracking the decimal point is all that comes to my mind.
- nicky0 9y ago
  What if you need to calculate the percentage difference between two monetary values? Ints wont cut it there.
  - dragonwriter 9y ago
    Sure they will. To truncated whole percents, (N2-N1)×100÷N1, using integer ops, gets you that, to whole percents rounded half up, ((N2-N1)×100+50)÷N1 does it. For additional decimal places, increase the fixed multiplier (and added factor for round-half-up) by the appropriate power of 10. Even if you are dealing in units of hundreds of billions of dollars tracked to mils, this gets you up to, I think, a hundred-thousandth of a percent with int64.
    - nicky0 9y ago
      But with floats you just use a divide operation.
      - dragonwriter 9y ago
        “Won’t cut it” and “will require 1-2 more operations” are very much not the same thing.
Groxx 9y ago
To clarify for myself and maybe others: are you arguing against using a single integer scaled to the smallest precision someone thought they'd need N year(s) ago? If so: totally agreed. Inflexible single-scaled-ints have been a plague in nearly every piece of production code I've seen them in. I'll take floats (well, doubles) any day over this. Flexible scale tho (arbitrary precision / bigdecimal equivalents (I'd prefer bigdecimal over home-grown two-int variants, obv)) usually works out. And tends to avoid semi-frequent-though-usually-unimportant/unnoticed[1] issues with imprecise floats (~16 million for exact int representation[2] is awfully small, though doubles are generally Good Enough™). [1]: usually. adding doubles/fractions often produces garbage-looking output unless you remember to round. but in my lines of work, nobody cares[1.1] if it's a couple cents off in analytics. [2]: https://stackoverflow.com/questions/3793838/which-is-the-first-integer-that-an-ieee-754-float-is-incapable-of-representing-e https://stackoverflow.com/questions/3793838/which-is-the-fir... [1.1]: yet
- Kranar 9y ago
  Yes, we are on the same page. BigDecimal is appropriate for representing money, fixed point arithmetic is not. I simply argue that in situations where you care about performance, you can actually drop BigDecimal and use floating point decimal or even floating point binary and get perfectly good results that have exact precision so long as you model your domain.
  - Groxx 9y ago
    Yeah, if you know your domain and know you're creating only an acceptable amount of error, by all means float it up. Floats are easy to use and predictable nearly everywhere, since nearly everyone follows the same spec. Generally though, I think people don't quite do due-diligence here. And/or the domain changes enough that numbers get large enough to invalidate the earlier analysis. There are obviously exceptions to this though, and for them, they know what they're doing and why they're doing it and it's all good.

by Kranar 9y ago

barbersturgeon 9y ago

Honest question - why is that something to avoid? What does the floating point representation buy you that say an int64 doesn't, with the same choice of units ie. 1 = 10^-6 dollars?

DigitalJack 9y ago
Tracking the decimal point is all that comes to my mind.
nicky0 9y ago
What if you need to calculate the percentage difference between two monetary values? Ints wont cut it there.
- dragonwriter 9y ago
  Sure they will. To truncated whole percents, (N2-N1)×100÷N1, using integer ops, gets you that, to whole percents rounded half up, ((N2-N1)×100+50)÷N1 does it. For additional decimal places, increase the fixed multiplier (and added factor for round-half-up) by the appropriate power of 10. Even if you are dealing in units of hundreds of billions of dollars tracked to mils, this gets you up to, I think, a hundred-thousandth of a percent with int64.
  - nicky0 9y ago
    But with floats you just use a divide operation.
    - dragonwriter 9y ago
      “Won’t cut it” and “will require 1-2 more operations” are very much not the same thing.

Groxx 9y ago

To clarify for myself and maybe others: are you arguing against using a single integer scaled to the smallest precision someone thought they'd need N year(s) ago? If so: totally agreed. Inflexible single-scaled-ints have been a plague in nearly every piece of production code I've seen them in. I'll take floats (well, doubles) any day over this. Flexible scale tho (arbitrary precision / bigdecimal equivalents (I'd prefer bigdecimal over home-grown two-int variants, obv)) usually works out. And tends to avoid semi-frequent-though-usually-unimportant/unnoticed[1] issues with imprecise floats (~16 million for exact int representation[2] is awfully small, though doubles are generally Good Enough™). [1]: usually. adding doubles/fractions often produces garbage-looking output unless you remember to round. but in my lines of work, nobody cares[1.1] if it's a couple cents off in analytics. [2]: https://stackoverflow.com/questions/3793838/which-is-the-first-integer-that-an-ieee-754-float-is-incapable-of-representing-e https://stackoverflow.com/questions/3793838/which-is-the-fir... [1.1]: yet

Kranar 9y ago
Yes, we are on the same page. BigDecimal is appropriate for representing money, fixed point arithmetic is not. I simply argue that in situations where you care about performance, you can actually drop BigDecimal and use floating point decimal or even floating point binary and get perfectly good results that have exact precision so long as you model your domain.
- Groxx 9y ago
  Yeah, if you know your domain and know you're creating only an acceptable amount of error, by all means float it up. Floats are easy to use and predictable nearly everywhere, since nearly everyone follows the same spec. Generally though, I think people don't quite do due-diligence here. And/or the domain changes enough that numbers get large enough to invalidate the earlier analysis. There are obviously exceptions to this though, and for them, they know what they're doing and why they're doing it and it's all good.