Ask HN: Low-level C++ for Quant/HFT

Posted by r614 on Sunday October 17, 2021 @04:00PM
from the ask-hn dept.

Hey HN!

I am in my final year of undergrad. Just started a quant software dev job, working on trading systems in Python. Its super interesting and I want to dip my toes into some C++. I was wondering if you guys could point me towards any resources to learn more about C++ compilers/optimization.

I can write C++ pretty well (DS/Algos/STL library) but my systems exposure is limited to Arduino/C and trying to write a hobby OS in Rust. Is there anything in particular you guys think I should focus on when it comes to the rest of the stack, besides just C++?

( 4 comments | 7 points | on HN )

Re:Ask HN: Low-level C++ for Quant/HFT by wizzerking on Sunday October 17, 2021 @07:02PM (#28900558)

Search through a book site Ace the Trading Systems Developer Interview (C++ Edition): Insider’s Guide to Top Tech Jobs in Finance by Dennis Thompson Length: 128 pages Edition: 1 Language: English Publisher: Independently published Publication Date: 2020-08-05 ISBN-10: B08F6R3Z7T ISBN-13: 9798672671543

Ace the Trading Systems Engineer Interview (C++ Edition): Insider’s Guide to Top Tech Jobs in Finance by Dennis Thompson Length: 128 pages Edition: 1 Language: English Publisher: Independently published Publication Date: 2020-06-12 ISBN-10: B08B39QL9K ISBN-13: 9798653485053

Should provide some interesting insites

[ Parent | on HN ]

Re:Ask HN: Low-level C++ for Quant/HFT by r614 on Sunday October 17, 2021 @08:39PM (#28901067)

I'll check it out, thank you so much!

[ Parent | on HN ]

Re:Ask HN: Low-level C++ for Quant/HFT by high_byte on Monday October 18, 2021 @03:59PM (#28910800)

is HFT really measured by assembly op-level performance? I'd assume the algorithms efficiency is a magnitude more crucial than branch-stuff optimization and the likes. better hardware, better parallelism. lots of ground to cover before LIKELY/UNLIKELY macros are likely (lol) to contribute. at least to my educated (but unfamiliar with HFT) experience.

[ Parent | on HN ]

Re:Ask HN: Low-level C++ for Quant/HFT by chas on Monday October 18, 2021 @09:19PM (#28913850)

I also don't have any direct HFT experience, but I do know that HFT firms hire FPGA designers (https://www.indeed.com/q-Fpga-Engineer-Trading-jobs.html) which suggests they really care about counting cycles and basically everything in is play from a performance perspective.

To contribute to the OP, https://godbolt.org/ is indispensible for high-performance C++ development. In specific, you can see under what circumstances the compiler optimizations apply to your code.

[ Parent | on HN ]