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Shameless plug, I made hobbes and used it in high volume trading systems at Morgan Stanley: https://github.com/Morgan-Stanley/hobbes https://github.com/Morgan-
by kthielen 6y ago
Shameless plug, I made hobbes and used it in high volume trading systems at Morgan Stanley:
https://github.com/Morgan-Stanley/hobbes https://github.com/Morgan-Stanley/hobbes
It’s kind of a structurally-typed variant of Haskell, integrates closely with C++, produces very fast code.
- oddthink 6y agoThat looks super fun! Are they still using this? I was at MS a few years before that, still dealing with a few legacy things in A+. There were hopes that we'd switch to something like F#, but we ended up just re-doing most of the mortgage analytics in kdb/q, which was fun in its own way.
- kthielen 6y agoYep still used (pre and post trade, processing millions of orders and billions of market data events per day). I'd like to grow it into a successor to kdb, though kdb is very entrenched in finance and the company is extremely litigious (they threatened to sue me). F# is great too, and all of the other ML variants. We'll get there eventually, it's inevitable, but there's a lot of institutional inertia.
- einpoklum 6y agoToo bad you put interesting technology to use for financial speculation.
- kthielen 6y agoNo it's used for a much more basic purpose than that, efficient order execution (which investors need as much as speculators). Anyway, it's generic and open source, so can be used for anything. I use it at home to make little video games for my son.