[erlang-questions] trading systems

Jayson Vantuyl <>
Thu Oct 1 20:49:06 CEST 2009


I would really recommend starting out with a naive implementation.  If  
anything it will give you something to use as a baseline for  
comparison and profiling will tell you how much you can eventually  
save with a more complex approach.

Also, play with HIPE.  It currently is a bit unstable for general use,  
but judicious HIPE compilation of key modules might be very helpful.

Out of curiosity, what features of Erlang make you want to try this?   
It would seem that it's made more for fault-tolerance / scalability  
and less for the absolute lowest-latency.

On Oct 1, 2009, at 3:45 AM, 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
>
> ---
> fastest mac firefox!
> http://wagerlabs.com
>
>
> ________________________________________________________________
> erlang-questions mailing list. See http://www.erlang.org/faq.html
> erlang-questions (at) erlang.org
>



More information about the erlang-questions mailing list