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HFT: Linux vs Windows
- Thread starter GreenMan
- Start date
you can do sub millis within thread, but if you do any context switching, your stuck with os granularity, which as the poster you responded to said, is around 10-15ms depending on which flavor you're running.Quote from Big:
That is so untrue that I can't begin to tell you how wrong that is.
I write professionally "sub millisecond" algo trading software (yes, that is a latency expressed in micro seconds) on Windows.
That notion of "quantum of time" is ridiculous, whatever you are smoking, I want some of that to help my horse get high.
windows isn't an rtos, sorry.
C# is not genrally slower than C++. C++ just offers higher potential for optimisation. So, specific algorithms like hashmaps with string keys can be implemented substantially faster in C++. Copying long C++ strings using Intel MKL is an order of magnitude faster than C#. The thing is in many trading algorithms these specific scenarios will contribute single percentage improvement, which is immaterial.Quote from RedEyeFly:
How much slower is C# than C++ as it's much easier to program?
As Big mentioned, garbage collection effectively freezes a NET application till it's finished. This freeze may last hundreds of miliseconds or even seconds in some cases. So, one has to use a number of workarounds to minimise the effect of garbage collection.
Another issue is if you have to use a specific "native" library, calls from "native" code to NET and vice versa carry a performance penalty. Even with safety checks disabled using a simple "native" operation in NET code may become the single most important bottle neck.
Can anyone name a market data source that works with linux?
To me, this would be the biggest problem as no data provider seems to cater to this market.
To me, this would be the biggest problem as no data provider seems to cater to this market.
Interactive Brokers offer data via Java API which works on most platforms including Linux. As a data source it's not perfect but it does the job.Quote from Runningbear:
Can anyone name a market data source that works with linux?
To me, this would be the biggest problem as no data provider seems to cater to this market.
Quote from LeeD:
Interactive Brokers offer data via Java API which works on most platforms including Linux. As a data source it's not perfect but it does the job.
If you were going to build a High Frequency Trading system on a custom linux solution, I think you would need a data source that was a lot more advanced. You'd need full time & sales as well as level 2 depth.
This is my point. The options appear to be really limited.