Hedge Fund Development Case Study

Abstract:  I'd like to share with you the role D has played in the recent re-architecture of a large-scale trading system within our hedge fund group. At first D was originally considered as a 'prototype' language but quickly gained favour and soon became a core part of the production trading system. D is being used for the following:

• Receiving real-time market data

  Market data is currently consumed via a C vendor API. Writing D wrapper code for this API proved relatively straightforward; the initial proof of principle was up and running in an afternoon. Having access to the full Posix API on Linux made the implementation in D relatively straightforward.

  The market data listener communicates with a trading strategy via a shared memory queue. Metrics provided by the API verify that D is more than capable of handling the data volume. When it came time to re-implement in C or C++ we were satisfied enough with the performance and maintainability of the D code that it was allowed to go into production.

• Electronic Trading

  To trade with the outside world, a firm-provided FIX-like C-API is used, so again the straightforward C linkage provided by D proved useful.

Speaker Bio: Andy is a quantitative developer specialising in financial analytics + real-time trading systems. He has over 18 years experience in the banking + hedge fund industries, both in London and New York. Prior roles include UBS, Deutsche-Bank, GSA Capital, Nomura and Goldman-Sachs.