C++ in Quant Finance

[Rohitbom]

Hi All,

I have a general question about C++ in the quant finance world. I like programming in C++ and I am fairly comfartable with the language but by no means an expert.

What is the desired skill level for a quant who majorly works on C++?..what aspects of the lang do you guys mainly work on? for example, is knowledge of multihreading in C++, Design patterns etc also very relevant?

Thanks

 

[Daniel Duffy]

Can you explaion what you mean by 'comfortable'?

 

[Rohitbom]

Can you explaion what you mean by 'comfortable'?

well.. I have an academic knowledge of C++, I have a bachelors degree in Computer Science..
I work for a tech firm ..but thats mainly using JAVA, J2EE ..JMS webservices etc..

 

[Daniel Duffy]

well.. I have an academic knowledge of C++, I have a bachelors degree in Computer Science..
I work for a tech firm ..but thats mainly using JAVA, J2EE ..JMS webservices etc..

To answer the original question based on your feedback: your current C++ knowledge will not be sufficient for quant dev work in C++.

And maths savvy is probably needed as well.

Multithreading and Design patterns are nice to know but not yet part of core C++ competency.

 

[Barny]

Can somebody spell out just what you need to know C++ wise to get into quant dev? If you learnt the material on this website: http://www.cplusplus.com/doc/tutorial/ for instance, would that be enough?

 

[Daniel Duffy]

Dominic Connor is a good person to ask.

 

[Daniel Duffy]

Can somebody spell out just what you need to know C++ wise to get into quant dev? If you learnt the material on this website: http://www.cplusplus.com/doc/tutorial/ for instance, would that be enough?

Feels a bit outdated. No STL, ...

BTW deriving Rectangle, Triangle from a Polygon is very incorrect...

 

[vincegata]

Can somebody spell out just what you need to know C++ wise to get into quant dev? If you learnt the material on this website: http://www.cplusplus.com/doc/tutorial/ for instance, would that be enough?

Their tutorial is nice as it gives a beginner a quick birds-eye view of language capabilities but it's not nearly detailed for the job. If you are a CS major it's all should be familiar to you. No tutorial on STL (as Duffy said). Their Reference section was very useful however they still haven't updated it with a new C++11 standard, and once you start learning STL it's better to start right from the new STL as its syntax is much nicer. Their forum is excellent - a good place to ask questions if you get stuck with something.

 

[ExSan]

"C++ is the differentiator between good and very good developers"

"From a signalling perspective, however, this doesn't matter. If only the smartest coders are proficient in C++, then you'll need to know the language to be considered a member of this elite group. At Baruch College, which runs one of the world's top Masters in Financial Engineering courses, the ability to code in C++ is a precursor to admission for this very reason. "Everyone knows Python," says course director Dan Stefanica. "- Even if a firm only needs Python programmers, having someone who is good at C++ is valuable. C++ is the differentiator between people who are good at programming and very good at programming."

 

[Daniel Duffy]

C++ forces you to become good. There is no half-way house.

 

[Cricket Freak]

I am working as a Strat and we use Java and Python to code Dynamic Index Strategies. I think that’s the case for many banks worldwide. The legacy systems of most banks is in Java as well.
Just wondering why it isn’t covered on Quant Net.

 

[Daniel Duffy]

You mean, Java?
I suppose there's zillions of Java courses.

 

[APalley]

I am working as a Strat and we use Java and Python to code Dynamic Index Strategies. I think that’s the case for many banks worldwide. The legacy systems of most banks is in Java as well.
Just wondering why it isn’t covered on Quant Net.

A good C++ developer can easily learn Java, the same cannot be said the other way around.

It's also worth noting that there is actually a resurgence of C++ in many firms. Java and C# were a fad that did not work out as many intended.

 

[Cricket Freak]

Yeah, i meant on Quant Net, i found C++ (which i already completed), Python and one more I guess, but not Java. But that said, could you please point me to some really nice course which could help me in my role?

 

[Daniel Duffy]

I reckon if you know C++ you can learn Java (not including libs) in a few weeks. Java Generics is (was?) awful.
I did Java in the 90s. Didn't like it .. that's just me. Not intellectually stimulating. It is useful for web apps but it won't teach a discipline of programming.

Java started life as applets

Java applet - Wikipedia

en.wikipedia.org

Java generics are implemented through type erasure, i.e. type arguments are only used for compilation and linking, but erased for execution. That is, there is no 1:1 correspondence between compile time types and runtime types.

Java is not worse/better than C++. Their strengths are othogonal.

 

[Daniel Duffy]

Regarding C# perspective., iis is so that many banls use it, e.g. fixed income (See Duffy/German 2013) . It is a poweful language + high productivity levels.
I have been using it siince 2000 (version 1.0) in client trainng and applications for PDE, CAD and holography/optics.
And C++/CLI is compatible with C# .Net.

For me, I find it easy to switch C# <-> C++.


C# grew out of Java. They are siimilar.

 

[PepeQuant]

i wish quant never code in C++ so i don't hv to debug mem issues for others LMAO

@Daniel Duffy Have you checked Rust? the program won't even compile for mem issues lol. but it is trait orientend. it doesn't support full spectrum of OOP. also. no downcasting~ lol (unless you do Any which is pain in the ass)

 

[Daniel Duffy]

Rust is not suitable for my applications .. for me it's just another (quiche) language. Not intellectually stimulating.

i wish quant never code in C++ so i don't hv to debug mem issues for others
How did you wrangle yourself into this awful predicament?
Somewrong wrong here.

 

[PepeQuant]

@Daniel Duffy
well once you are fed with a lot of coolaid (slowly drop by drop)

 

[Daniel Duffy]

@Daniel Duffy
well once you are fed with a lot of coolaid (slowly drop by drop)

Seriously, you can solve that problem by refusing to debug someone else's code.

C programmers have been writing code since the 80s. Memory is a non-issue.