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If they use Numpy in Python they surely use Fortran under the hood. Did you work in HFT? I would be very surprised if they used Python for that, and almost equ

If they use Numpy in Python they surely use Fortran under the hood. Did you work in HFT? I would be very surprised if they used Python for that, and almost equally surprised if they all dismissed Fortran as an option. Besides the things you named, quants also use Excell (of course) but probably less known is K, which is an APL type language

Galanwe 3y ago
> If they use Numpy in Python they surely use Fortran under the hood. Even that is disappearing. It was common practice even 10 years ago to use MKL as backend. > Did you work in HFT? Yes, I've done (and still do) HFT and mid freq since around 15 years. > I would be very surprised if they used Python for that Surprise! Nobody would dare do any heavy computation in e.g. C++ or Fortran or Cobol. It's just too unpractical, and slow to develop. You calibrate your models in Python/pandas/... , offline on historical data, and just use the prebuilt model to make the real-time prediction in C++, which doesn't involve much more than simple linear algebra. I would estimate conservatively that 80% of quants use Python, in both HFT and mid freq. There should be some niche where they use matlab, R, kdb or stata, but that's definitely a small fraction.
- medo-bear 3y ago
  > Even that is disappearing. It was common practice even 10 years ago to use MKL as backend. Sorry I just saw this. And what do you think MKL does?
bitcharmer 3y ago
I still work in HFT yes. A sibling comment lays it out better than I could, and I'm surprised that so many people here insist on Fortran's popularity when it's clearly absent from whole industries where you guys would expect to see it. Python is very widely used for prototyping and there's nothing anyone can do about it. In production the algos would be implemented in Cpp though. I'm merely stating a fact, not here to argue about anything. Raw K is almost never used but there's a lot of Q, depending on the shop.
merolish 3y ago
Live trading systems are in C++ or Java, but like others have said Python is used for day-to-day research, sometimes R if the particular quant likes it. I never saw any Fortran in my time at Bloomberg in the 2010s but allegedly there was still a lot of it running in the nether regions.

Galanwe 3y ago

> If they use Numpy in Python they surely use Fortran under the hood. Even that is disappearing. It was common practice even 10 years ago to use MKL as backend. > Did you work in HFT? Yes, I've done (and still do) HFT and mid freq since around 15 years. > I would be very surprised if they used Python for that Surprise! Nobody would dare do any heavy computation in e.g. C++ or Fortran or Cobol. It's just too unpractical, and slow to develop. You calibrate your models in Python/pandas/... , offline on historical data, and just use the prebuilt model to make the real-time prediction in C++, which doesn't involve much more than simple linear algebra. I would estimate conservatively that 80% of quants use Python, in both HFT and mid freq. There should be some niche where they use matlab, R, kdb or stata, but that's definitely a small fraction.

medo-bear 3y ago
> Even that is disappearing. It was common practice even 10 years ago to use MKL as backend. Sorry I just saw this. And what do you think MKL does?

bitcharmer 3y ago

I still work in HFT yes. A sibling comment lays it out better than I could, and I'm surprised that so many people here insist on Fortran's popularity when it's clearly absent from whole industries where you guys would expect to see it. Python is very widely used for prototyping and there's nothing anyone can do about it. In production the algos would be implemented in Cpp though. I'm merely stating a fact, not here to argue about anything. Raw K is almost never used but there's a lot of Q, depending on the shop.

merolish 3y ago

Live trading systems are in C++ or Java, but like others have said Python is used for day-to-day research, sometimes R if the particular quant likes it. I never saw any Fortran in my time at Bloomberg in the 2010s but allegedly there was still a lot of it running in the nether regions.