Scripting language for trading strategy development

Question

I'm currently working on a component of a trading product that will allow a quant or strategy developer to write their own custom strategies. I obviously can't have them write these strategies in natively compiled languages (or even a language that compiles to a bytecode to run on a vm) since their dev/test cycles have to be on the order of minutes.

I've looked at lua, python, ruby so far and really enjoyed all of them so far, but still found them a little "low level" for my target users. Would I need to somehow write my own parser + interpreter to support a language with a minimum of support for looping, simple arithmatic, logical expression evaluation, or is there another recommendation any of you may have? Thanks in advance.

Answer 1

Mark-Jason Dominus, the author of Perl's Text::Template module, has some insights that might be relevant:

When people make a template module like this one, they almost always start by inventing a special syntax for substitutions. For example, they build it so that a string like %%VAR%% is replaced with the value of $VAR. Then they realize the need extra formatting, so they put in some special syntax for formatting. Then they need a loop, so they invent a loop syntax. Pretty soon they have a new little template language.

This approach has two problems: First, their little language is crippled. If you need to do something the author hasn't thought of, you lose. Second: Who wants to learn another language?

If you write your own mini-language, you could end up in the same predicament -- maintaining a grammar and a parser for a tool that's crippled by design.

If a real programming language seems a bit too low-level, the solution may not be to abandon the language but instead to provide your end users with higher-level utility functions, so that they can operate with familiar concepts without getting bogged down in the weeds of the underlying language.

That allows beginning users to operate at a high level; however, you and any end users with a knack for it -- your super-users -- can still leverage the full power of Ruby or Python or whatever.