3 ms·

how often does it happen that your interns work on the hot path of your trading systems, which is where I assume you care the most about avoid syscalls like mal

how often does it happen that your interns work on the hot path of your trading systems, which is where I assume you care the most about avoid syscalls like malloc?

cycloptic 6y ago
Nit pick: On modern systems malloc isn't a syscall, it's implemented in userspace. (Sorry, I couldn't help it) That's not to say you're safe to call other syscalls, many of them either require memory allocations in-kernel (see ENOMEM) or can block indefinitely.
- fanf2 6y ago
  Never mind modern systems, malloc() was never a syscall :-) One of the great things about K&R is that it shows you how to implement parts of the C library, including a simple malloc(), demonstrating that the library does not need to be magical.
  - petr_tik 6y ago
    Thanks you and your parent for pointing this out! I should be more precise, sbrk is the underlying system call that might be invoked inside malloc
    - voldacar 6y ago
      mmap usually these days
    - fanf2 6y ago
      Yes, and often mmap() for large allocations and other parts of the heap. There has been an interesting discussion about memory management in Ritchie’s PDP11 C compiler on the TUHS list this month https://minnie.tuhs.org/pipermail/tuhs/2020-August/thread.html https://minnie.tuhs.org/pipermail/tuhs/2020-August/thread.ht... from the era when large programs could not necessarily afford the overhead of malloc() so sometimes used sbrk() directly.
logicchains 6y ago
Literal interns are not very likely to work on it, but juniors might, and the junior's probably not going to know much more than an intern.
dcolkitt 6y ago
To be honest, I'd be a lot more worried about physics PhDs then I would interns. I've seen plenty of 20 year-old engineering students write solid low-latency code. I can't say the same thing about string theorists. It'd be pretty unusual for junior or non-technical people to write code in "core" components of the system. Things like datafeed parsers, order handlers, inventory management, safety checks, networking libraries, exchange connections, etc. But even with all these layers in place, you still need an actual strategy to run at the end of the day. Everything in the quoter can be optimized to hell, but if the strategy module is spinning for 1000+ microseconds because it's running some bloated ML model, then none of that really matters. Usually the system engineers and the strategists are different people. Not always. Especially in the case of more straight-forward mechanical strategies. But anything reasonably complex usually requires dedicated quants with different skillsets than profiling C code.
- petr_tik 6y ago
  > But even with all these layers in place, you still need an actual strategy to run at the end of the day. Everything in the quoter can be optimized to hell, but if the strategy module is spinning for 1000+ microseconds because it's running some bloated ML model, then none of that really matters. From what I have heard, Optiver have a performance lab, which replicate real conditions with an exchange replayer and they can measure wire-to-wire latency for every release. Hiring people for their maths chops as quants, you probably don't expect them to know about HW-level optimisations at the beginning of their finance careers, which, I guess, is the reason for such a performance lab. Build tools that help people bring their best skills to the table and catch regressions.
- rhodysurf 6y ago
  This is exactly my experience working on CFD software with hydrodynamics phds haha they don’t care about the “little” things and will allocate and copy shit everywhere

how often does it happen that your interns work on the hot path of your trading systems, which is where I assume you care the most about avoid syscalls like malloc?

cycloptic 6y ago

Nit pick: On modern systems malloc isn't a syscall, it's implemented in userspace. (Sorry, I couldn't help it) That's not to say you're safe to call other syscalls, many of them either require memory allocations in-kernel (see ENOMEM) or can block indefinitely.

fanf2 6y ago
Never mind modern systems, malloc() was never a syscall :-) One of the great things about K&R is that it shows you how to implement parts of the C library, including a simple malloc(), demonstrating that the library does not need to be magical.
- petr_tik 6y ago
  Thanks you and your parent for pointing this out! I should be more precise, sbrk is the underlying system call that might be invoked inside malloc
  - voldacar 6y ago
    mmap usually these days
  - fanf2 6y ago
    Yes, and often mmap() for large allocations and other parts of the heap. There has been an interesting discussion about memory management in Ritchie’s PDP11 C compiler on the TUHS list this month https://minnie.tuhs.org/pipermail/tuhs/2020-August/thread.html https://minnie.tuhs.org/pipermail/tuhs/2020-August/thread.ht... from the era when large programs could not necessarily afford the overhead of malloc() so sometimes used sbrk() directly.

logicchains 6y ago

Literal interns are not very likely to work on it, but juniors might, and the junior's probably not going to know much more than an intern.

dcolkitt 6y ago

To be honest, I'd be a lot more worried about physics PhDs then I would interns. I've seen plenty of 20 year-old engineering students write solid low-latency code. I can't say the same thing about string theorists. It'd be pretty unusual for junior or non-technical people to write code in "core" components of the system. Things like datafeed parsers, order handlers, inventory management, safety checks, networking libraries, exchange connections, etc. But even with all these layers in place, you still need an actual strategy to run at the end of the day. Everything in the quoter can be optimized to hell, but if the strategy module is spinning for 1000+ microseconds because it's running some bloated ML model, then none of that really matters. Usually the system engineers and the strategists are different people. Not always. Especially in the case of more straight-forward mechanical strategies. But anything reasonably complex usually requires dedicated quants with different skillsets than profiling C code.

petr_tik 6y ago
> But even with all these layers in place, you still need an actual strategy to run at the end of the day. Everything in the quoter can be optimized to hell, but if the strategy module is spinning for 1000+ microseconds because it's running some bloated ML model, then none of that really matters. From what I have heard, Optiver have a performance lab, which replicate real conditions with an exchange replayer and they can measure wire-to-wire latency for every release. Hiring people for their maths chops as quants, you probably don't expect them to know about HW-level optimisations at the beginning of their finance careers, which, I guess, is the reason for such a performance lab. Build tools that help people bring their best skills to the table and catch regressions.
rhodysurf 6y ago
This is exactly my experience working on CFD software with hydrodynamics phds haha they don’t care about the “little” things and will allocate and copy shit everywhere