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

7 points by r614 4 years ago | 4 comments

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++?

wizzerking 4 years ago |

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

r614 4 years ago | |

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

high_byte 4 years ago |

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.

chas 4 years ago | |

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.