[python-uk] London Python Roles

Katie T katie at coderstack.co.uk
Wed Dec 15 21:10:48 CET 2010


On Wed, Dec 15, 2010 at 2:02 PM, Jonathan Hartley <tartley at tartley.com> wrote:
> Can I ask you to clarify one thing you mentioned? My understanding was that
> speed of numerical modelling was only of such vital import if you are doing
> low-latency automated trading, in the sort of scenario where you need to be
> on a box placed on a LAN in proximity to the trading server, in order to
> make sub-millisecond trades. On the other hand, if you're running across the
> internet, then any slowdown due to using Python verses another language
> would be vastly swamped by network and other IO delays. Am I very much
> mistaken?

You're right that a lot of financial calculations are used in areas
outside of low-latency, but even for end of day batch procedures these
things need to be optimized purely because we're talking about huge
amounts of computation here. Calculations that can take hours even in
fortran or c. Plus due to the large amount of legacy libraries in
Fortran/C++ it tends to mean those languages are favoured even when
speed isn't critical.

Most Python usage I've seen in finance has been as a glue language
often replacing Perl or Bash scripts or to do rapid prototyping,
especially in conjunction with tools like QuickFix.

Katie
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