Programming Skills for Finance Career
 

Short version: What computer languages are most valuable with respect to a finance career? VBA, Java, Perl, other?

Longer version: I have a background in applied stats (econ specifically). I am pretty decent w/ SAS, Stata, Fortran90. I also have done a little bit of Perl.

I am looking ahead to a possible career in finance most likely from a research or academic perspective. I may have some time in the near future to work on computer/programming skills and am wondering where would be a good place to focus.

I realize, of course, that I could end up somewhere such that I have to learn some specific language, and that can't be foreseen. What I am looking for are languages/skills that are pretty popular in finance today and ideally might also be useful in a broader sense (beyond finance).

Hope that makes sense, and thanks in advance.

Re: Programming Skills for Finance Career
 

When I programmed for the insurance industry it was all COBOL.

Re: Programming Skills for Finance Career
 

depends what type of job you wind up with:

VBA, MATLAB, C++
front office, quant, IT

Re: Programming Skills for Finance Career
 

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When I programmed for the insurance industry it was all COBOL.

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Geez, I am already embarrassed enough to admit I know fortran! [img]/images/graemlins/blush.gif[/img]

Re: Programming Skills for Finance Career
 

LOL yeah.

This was in '97 and I got out of it in '99. It was good pay and all but COBOL + Mainframe = dead end. I did a lot of work on ROTH IRAs which had just come out and annuities which was cool I guess.

Re: Programming Skills for Finance Career
 

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depends what type of job you wind up with:

VBA, MATLAB, C++
front office, quant, IT

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i just came from a headhunter and was told i'm "light on the programming" side of what they need.

i know matlab as a functionality but not user defined functions. i can write basic macros in excel.

top firms want new hires to be able to program at a high level (from the layman's perspective) and a low level (from a comp-sci programmer's perspective)

basically, you should be able to write a program in one of those languages that goes to bloomberg, gets data, inputs it into your model and updates the model.

you want it to be able to then trade on the outputs of that model.

Barron

Re: Programming Skills for Finance Career
 

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basically, you should be able to write a program in one of those languages that goes to bloomberg, gets data, inputs it into your model and updates the model.

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Right, this is probably a more specific way of asking my question. So what languages will be best to learn for this or does it not really matter which one?

I am not personally afraid to tackle this stuff as I am actually a decent programmer (from a layman's point of view) -- it's just that my skills are in frickin Fortran/SAS/Stata.

Re: Programming Skills for Finance Career
 

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basically, you should be able to write a program in one of those languages that goes to bloomberg, gets data, inputs it into your model and updates the model.

[/ QUOTE ]

Right, this is probably a more specific way of asking my question. So what languages will be best to learn for this or does it not really matter which one?

I am not personally afraid to tackle this stuff as I am actually a decent programmer (from a layman's point of view) -- it's just that my skills are in frickin Fortran/SAS/Stata.

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lol. i don't know..but i'd like to find out just as much as you.

Barron

Re: Programming Skills for Finance Career
 

In the old days SAS, now probably mix of SAS and Matlab shops are out. Also, knowing C++ and Perl always helps.

Re: Programming Skills for Finance Career
 

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In the old days SAS, now probably mix of SAS and Matlab shops are out. Also, knowing C++ and Perl always helps.

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do you have experience creating trading strategies that are automated w/ real time data (i.e. goes to data sources to get prices/reports and bring them into a model & then generate positions) and then produce return streams that are testable?

if so, how do you do it, step by step if possible.
thanks a ton,
Barron

Re: Programming Skills for Finance Career
 

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[ QUOTE ]
In the old days SAS, now probably mix of SAS and Matlab shops are out. Also, knowing C++ and Perl always helps.

[/ QUOTE ]

do you have experience creating trading strategies that are automated w/ real time data (i.e. goes to data sources to get prices/reports and bring them into a model & then generate positions) and then produce return streams that are testable?

if so, how do you do it, step by step if possible.
thanks a ton,
Barron

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Yes.

The answer to "how" is that it totally depends on the source of the data and the back end or broker API you are going to use. I wrote a complete system in C++. Other sets of requirements might be met with different choices of tools.

The answer to the original question is that C++ is the main skill you want to have for most positions that involve programming. Matlab, fortran, java, perl, less so VBA, and even less so Excel are nice extras but not good enough for most positions. Of course, that all depends on what exactly they want you to do.

eastbay

Re: Programming Skills for Finance Career
 

yikes, lookin kinda scary from here.

ok, so matlab was first on your list. i know how to use it to run statistical models/tests etc. but can you write data gathering programs w/ user generated functions?

so how long do you think an intelligent hard working individual would take to learn C++ enough to program a trading system?

thanks,
Barron

Re: Programming Skills for Finance Career
 

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yikes, lookin kinda scary from here.

ok, so matlab was first on your list. i know how to use it to run statistical models/tests etc. but can you write data gathering programs w/ user generated functions?


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I'm sure it's possible but it would be a weird thing to do. Matlab is best for number crunching. There may be some add-on toolkit for this for all I know (I don't use it often), but with vanilla Matlab it would be awkward at best.

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so how long do you think an intelligent hard working individual would take to learn C++ enough to program a trading system?


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Really hard to say, partly depending on the person and largely depending on the requirements of the system. There is a huge difference between a "sketch" of a trading system that might even work some of the time, and a real, hardened, fault tolerant system that would handle real money. The latter is probably 50x as hard as the first.

Also depends a lot on what you already know and even more on your aptitude/appetite for it. If you're over 30 I would basically say give it up. If you are 20-30 and love computers you could possibly hack something awful together that kind of works in a few months.

Serious programming like the kind that you would put real money on in a trading system is kind of like learning a musical instrument. You may be able to pick it up and make some noises with it after a few months but you won't make music people want to hear for a long time if ever, and it helps a lot to start young, some might even say it is necessary.

On the other hand, most finance jobs that require "some programming" are not going to require that kind of level of development skill.

eastbay

Re: Programming Skills for Finance Career
 

[ QUOTE ]
yikes, lookin kinda scary from here.

ok, so matlab was first on your list. i know how to use it to run statistical models/tests etc. but can you write data gathering programs w/ user generated functions?

so how long do you think an intelligent hard working individual would take to learn C++ enough to program a trading system?

thanks,
Barron

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Most guys with 5 years of hardcore C or C++ experience hired as programmers with computer science degrees couldn't do it.

If that's really what the employer wants, they are being cheap (don't want to hire real programmers) and unrealistic.

Re: Programming Skills for Finance Career
 

[ QUOTE ]
[ QUOTE ]
yikes, lookin kinda scary from here.

ok, so matlab was first on your list. i know how to use it to run statistical models/tests etc. but can you write data gathering programs w/ user generated functions?

so how long do you think an intelligent hard working individual would take to learn C++ enough to program a trading system?

thanks,
Barron

[/ QUOTE ]

Most guys with 5 years of hardcore C or C++ experience hired as programmers with computer science degrees couldn't do it.

If that's really what the employer wants, they are being cheap (don't want to hire real programmers) and unrealistic.

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Yea, this is not the kind of thing you need to worry about, Barron. Unless you've been really misleading about your background and what you want to do, no one in their right mind is going to hire you to do this kind of work. It would just be a gross mismatch of skills to requirements.

Re: Programming Skills for Finance Career
 

[ QUOTE ]
[ QUOTE ]
In the old days SAS, now probably mix of SAS and Matlab shops are out. Also, knowing C++ and Perl always helps.

[/ QUOTE ]

do you have experience creating trading strategies that are automated w/ real time data (i.e. goes to data sources to get prices/reports and bring them into a model & then generate positions) and then produce return streams that are testable?

if so, how do you do it, step by step if possible.
thanks a ton,
Barron

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Most of what I do involves using historic data and run them through SAS, for model building, backtest, simulations, etc...

But it's interesting that you asked about real time trading strategy, a couple guys at my firm recently did something like that, where the signals are updated every 15 min. So basically involveds Python to grab data from web (we don't have real-time data for research, ghetto huh) runs the necessary calculations, update the results to a html page, and trade according to the signals. I think the whole infrastructure took less than 2 days to setup.

But unless you are specifically interviewing for high frequency trading positions, you might not need these types of skill sets right away.

Re: Programming Skills for Finance Career
 

Just want to say thanks to everyone for the comments/advice. I know I was asking an overly general question, but it still helps to get a sense of the languages people are using.

And I am relieved no one suggested learning VBA which is the only thing I'm actively opposed to learning.

Re: Programming Skills for Finance Career
 

[ QUOTE ]
[ QUOTE ]
[ QUOTE ]
yikes, lookin kinda scary from here.

ok, so matlab was first on your list. i know how to use it to run statistical models/tests etc. but can you write data gathering programs w/ user generated functions?

so how long do you think an intelligent hard working individual would take to learn C++ enough to program a trading system?

thanks,
Barron

[/ QUOTE ]

Most guys with 5 years of hardcore C or C++ experience hired as programmers with computer science degrees couldn't do it.

If that's really what the employer wants, they are being cheap (don't want to hire real programmers) and unrealistic.

[/ QUOTE ]
Yea, this is not the kind of thing you need to worry about, Barron. Unless you've been really misleading about your background and what you want to do, no one in their right mind is going to hire you to do this kind of work. It would just be a gross mismatch of skills to requirements.

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that was my gut reaction.

when she said that to me "you are light on the programming side," i told her i think the specialization of skills & the difference in marginal cost of training in a new person in stats/finance/economics vs. programming overall i think work in my favor. i want to do research. if it involves doing the manual labor to test my own ideas, i can do that right now in matlab, excel, and with a small review, SAS. i just can't go through the programming to execute that system.

this caught me off guard and thus the post. i just want to get a sense of how much it would take to 'get there.'

thanks eastbay, as a stumbling piano player the music analogy hit home. i don't have a love of computers so it would immediately take me longer.

also evan, i have been absolutely forthright in my desires/abilities accross the board. under skills, my resume says:

Proficient in Matlab, SAS, Bloomberg and Excel (advanced functionality, basic macro)

anybody who reads that should know where i'm at.

thanks for all the responses guys.
Barron

Re: Programming Skills for Finance Career
 

I say the following as someone with 10 years of experience in "high end" software development working on "name brand" enterprise software that are often deployed as part of financial systems. Warning, this was written quickly on a break without spell or grammar checking. Still, I hope it will help.

Asking what skills you need for a programming/technical finance job is too broad. You are talking about an extrordinary array of systems and job descriptions. These include:

Working on trading systems where very top tier C++ skills and knowledge of messaging technology such as FIX or TIBCO is required.

Hedge fund/analytical programming requires good programming skills and often datamining or mathematical progrramming expertise along with some finance savey.

High end web development for large scale consumer applications. Mostly JAVA these days, still what I would call high end as these are the people who develop the very secure and high performance web applications that we all use when we bank, trade, check accounts etc online.

Then there are the jobs that I would characterize as lower lever IT development jobs that really aren't too different from the jobs outside of financial services. Here I'm talking about people supporting internal systems, databases etc.