C++ vs Python in Algorithmic Trading

I am very much a C++ person. I warmed up to the language as it was warring with C for programmers and popularity. Although I used neither for my “day job” ex/cept on rare occasions, I jumped at opportunities to play with them.

After C and C++, I learned many other languages. I took deep dives into Java, C#, JavaScript, etc. But there were plenty that were (some still are) popular that I never had the opportunity to use much. Perl, awk/sed, regular expressions are some that come to mind.

Eventually I switched to using mainly C++, and then nearly 100% for a good while. After escaping the confines of my hard-core enterprise software experiences, I found the language world had twisted again. But this time was a bit different.

In areas of finance, vendors often had the upper hand. When some big name used some tool within their development area, the smaller ones followed suit, if they could afford it. If you were the lucky vendor, you sat back and waited for the orders to roll in.

But as the trading world evolved, the smaller, nimble organizations had unprecedented access to new tools at little to no cost. Metrics like performance and accuracy were comparable. And the young graduates were leaving their academic life with these skills already under their belts.

Language wars are far from over. But the voracity is dying down. Most developers understand that you should pick the right tool for the job. Consider what you are building up front, and make sure to leave room for flexibility.

C++ is still my language of choice. I use it daily. But it has flaws. And sometimes it is simply not the best language for the job. At the moment I am prototyping, and building some algorithms that crunch data from multiple sources in multiple ways. The sources, elements, and methods that I write tomorrow will probably not be used in the final product. But these cycles are necessary to figure out what the final product should do. Should I write that in C++? Not in this case.

Much of what I’m looking at has been looked at by others. Many used Python to grind through it. There are scripts, designs, and visualizations written in Python that help me understand the data that is running through the system. Do I want to rewrite that in C++? No thank you. The final product may be written in C++. But for now, I’m happily tweaking other people’s code for my own purpose.

I must give props to the mighty data scientists and financial wizards that wrote some of these Python libraries. Of course, the language itself permits C libraries to be used within the language. So some of them are simply using Python to access libraries written in other languages. But still, Python has carved out a good market share in the big-data areas of trading systems.

Will Python take over everything in the trading world? The odds are very slim. Entire trading systems have been written in it. Many of them in fact. But there are still good reasons to choose other tools that do a better job at some aspect of the cycle.

I have added Python to my language stack. I will probably never dive deep into the language. But after only a short while using it, I feel comfortable with it.

Should your system be written in Python? Perhaps. I wouldn’t hesitate if it fits. But I also wouldn’t recommend forcing it to fit when it doesn’t belong. Standardize across the board on it? Nope. Pick and choose. Choose wisely. Hybrid models are common, and often best.

That is my $0.02. YMMV

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