Usages of advanced C++

[Quant Guy]

Hey, guys! I have bought Advanced C++ and Modern Design(really hard). I wonder if I want to be a quant researcher in the future, what is advanced C++ mainly used for? As I know in most hedge funds, python is enough for research and analysis

 

[Daniel Duffy]

It's called experience. First we learn the fundamentals.
The last module is an application project.

Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

The GOF pattern is long overdue to be revamped, so I'm really excited to learn more on your research and thoughts. I am writing a book with co-author HK who took my patterns course in 1992. He is now a 30 year expert, so together 60 years. C++, C# and Python + applications Due Q3 2023.

quantnet.com

Numerical Methods in Computational Finance: A Partial Differential Equation (PDE/FDM) Approach

<p>This book is a detailed and step-by-step introduction to the mathematical foundations of ordinary and partial differential equations, their approximation by the finite difference method and applications to computational finance. The book is structured so that it can be read by beginners...

www.wiley.com

Books

www.datasim.nl

 

[Quasar Chunawala]

@Quant Guy - this video literally answers your question.

At any market-making firm, you have both a trading problem(finding alpha) and technological problem to be solved. Discovering alpha is one, but you want to generate signals and send orders to the exchange extra-ordinarily fast.

 

[Daniel Duffy]

@Quant Guy - this video literally answers your question.

yes and no.
This is Optiver which is a major user of C++.

To understand this you probably need quite a few years of industrial experience. A bit like martial arts belts
white -> yellow -> ... -> brown -> black 1 -> black 10.

 

[Quasar Chunawala]

yes and no.
This is Optiver which is a major user of C++.

To understand this you probably need quite a few years of industrial experience. A bit like martial arts belts
white -> yellow -> ... -> brown -> black 1 -> black 10.

The dude in the video worked for 10 years in the audio industry, and then another decade in automated trading; so I have no illusions about that.

 

[Daniel Duffy]

The dude in the video worked for 10 years in the audio industry, and then another decade in automated trading; so I have no illusions about that.

I don't doubt that.
What are the gems that new C++ programmers can take from this video. People ask us quite often

1. How to design a trading system in C++.
2. Which language features are useful.

Maybe I've missed something.

// There seems to be a trading module in one of the Baruch projects.