Clojure for trading strategies

views:

130

answers:

+2 Q:

Clojure for trading strategies

Is anybody using closure for developing automated trading strategies? What is your experiences? I am anticipating learning clojure and wanted to know if i could use it in this context, if there are any resources to using it in this context pls provide a link. I am currently only using ruby and javascript for web development.

Kind Regards.

+5 A:

I haven't seen any clojure-specific work in this area, though that probably has more to do with clojure being a brand new language than anything else. Certainly, clojure's quantitative capabilities are growing -- have a look at incanter if you haven't already.

If it's low-latency/high-speed trading, then I have my doubts as to whether clojure would be appropriate (despite clojure being my favourite language). C++ really seems to be the best option in this regard.

Rob Lachlan 2010-08-19 04:29:25

Goldman Sachs uses Erlang, it can't be that much faster than Clojure, that is if it is even faster. Yest cpp rules in the HFT world, along with java, i have heard of python being used by some prop shops, but this is rare. I was looking at marketcetera the open source trading platform and their main language is ruby, thats surprising.

RubyGladiator 2010-08-19 05:18:54

I believe one of the big reasons why Java (and Clojure) can't be used for HFT is that the garbage collector can kick in at any time and cause delays.

Greg Harman 2010-08-19 06:09:25

Could we be more specific when talking about HFT, are we talking about sub 15min level or sub 1. I would like to isolate front running, flash orders, kick backs etc.. and not include them in the discussion. I would like to focus on pure alpha generating strategies between 15min and 10min. As no-one has proven that you can make money consistently after transaction costs at a frequency of higher than 15mins unless you are gaming the system as most current HFT systems do. Yes, cost have dropped but this is a whole other discussion.

RubyGladiator 2010-08-19 06:33:31

@RubyGladiator: I had in mind High Frequency trading, where I'm told that micro-seconds are the correct time scale. And I agree that it's gaming the system, I don't think that it provides any value to the economy in large. For anything reasonable, I think clojure can do very well. (My feeling is that it'll be faster than Erlang, but someone should really benchmark that).

Rob Lachlan 2010-08-19 06:48:50

ansaurus

tags:

views:

answers:

Clojure for trading strategies

related questions