[erlang-questions] trading systems

Kenneth Lundin <>
Thu Oct 1 17:50:24 CEST 2009


Hi Joel,

As usual you are jumping right into low level optimizations without
explaining why that
would be necessary:).

It would be nice if you could explain what the system needs to do and after that
why you think it is a problem to store prices in an ETS-table.

I am sure there are other options as well.

At least for me it is not obvious what performance that is needed for
an application like this.

And pure performance might not be the only reason to use Erlang. It can also be
that it is so very simple to implement and maintain the solution and
that is scales very well over
multiple cores without extra work for the programmer.

Why are you talking about mmapped files? Please explain for a novice
in trading systems.

/Kenneth

On Thu, Oct 1, 2009 at 12:45 PM, Joel Reymont <> wrote:
> Has anyone used Erlang to backtest trading systems?
>
> This basically involves loading price and timestamp pairs
> and iterating over them calculating various things like
> moving averages, correlation, etc.
>
> Off the top of my head, Erlang does not seem to be the most
> efficient platform for this because prices would need to be
> stuffed into ETS or copied around otherwise.
>
> The most efficient way to manage price data is to simply keep
> appending quotes to the end of an mmap-ed file. I would love
> to represent the mmap-ed memory as a binary and I think it may
> even be possible. It would require some tricky work at the
> driver level, though.
>
> What do you think?
>
>        Thanks, Joel
>
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>
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