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200 points jorangreef | 1 comments | | HN request time: 0.213s | source
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logicchains ◴[] No.24293046[source]
I work in HFT, and one of the key concerns when writing low-latency code is "is this code allocating memory, and if so, how can I stop it?" Zig is the perfect language for this use case as none of the standard library implicitly allocates, rather for anything that allocates, the caller must pass in an allocator. The stdlib also provides a handy arena allocator, which is often the best choice.

This is a huge advantage over C++ and Rust, because it makes it much harder for e.g. the intern to write code that repeatedly creates a vector or dynamically allocated string in a loop. Or to use something like std::unordered_map or std::deque that allocates wantonly.

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petr_tik ◴[] No.24293382[source]
how often does it happen that your interns work on the hot path of your trading systems, which is where I assume you care the most about avoid syscalls like malloc?
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dcolkitt ◴[] No.24293926[source]
To be honest, I'd be a lot more worried about physics PhDs then I would interns. I've seen plenty of 20 year-old engineering students write solid low-latency code. I can't say the same thing about string theorists.

It'd be pretty unusual for junior or non-technical people to write code in "core" components of the system. Things like datafeed parsers, order handlers, inventory management, safety checks, networking libraries, exchange connections, etc.

But even with all these layers in place, you still need an actual strategy to run at the end of the day. Everything in the quoter can be optimized to hell, but if the strategy module is spinning for 1000+ microseconds because it's running some bloated ML model, then none of that really matters.

Usually the system engineers and the strategists are different people. Not always. Especially in the case of more straight-forward mechanical strategies. But anything reasonably complex usually requires dedicated quants with different skillsets than profiling C code.

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1. petr_tik ◴[] No.24294998[source]
> But even with all these layers in place, you still need an actual strategy to run at the end of the day. Everything in the quoter can be optimized to hell, but if the strategy module is spinning for 1000+ microseconds because it's running some bloated ML model, then none of that really matters.

From what I have heard, Optiver have a performance lab, which replicate real conditions with an exchange replayer and they can measure wire-to-wire latency for every release.

Hiring people for their maths chops as quants, you probably don't expect them to know about HW-level optimisations at the beginning of their finance careers, which, I guess, is the reason for such a performance lab. Build tools that help people bring their best skills to the table and catch regressions.