Latency Profiling in Python: From Code Bottlenecks to Observability (opens in new tab)

(quant.engineering)

45 pointsrundef6mo ago11 comments

11 comments

8 comments · 4 top-level

Veserv6mo ago· 2 in thread

Why even bother with sampling profilers in Python? You can do full function traces for literally all of your code in production at ~1-10% overhead with efficient instrumentation.

hansvm6mo ago

That depends on the code you're profiling. Even good line profilers can add 2-5x overhead on programs not optimized for them, and you're in a bit of a pickle because the programs least optimized for line profiling are those which are already "optimized" (fast results for a given task when written in Python).

Veserv6mo ago

It does not, those are just very inefficient tracing profilers. You can literally trace C programs in 10-30% overhead. For Python you should only accept low single-digit overhead on average with 10% overhead only in degenerate cases with large numbers of tiny functions [1]. Anything more means your tracer is inefficient.

[1] https://functiontrace.com/

2 more replies

abhashanand15016mo ago· 2 in thread

> The trading system reports an average latency of 10ms

Python is a bad choice for a system with such latency requirements. Isn't C++/Rust preferred language for algorithmic trading shops?

Quothling6mo ago

Why is Python automatically a bad choice? We've build some turbodbc + pandas which beats Go when dealing with a logic azure sql server for massive analtyic flows. I'm not sure if it's faster or slower than Rust, but it's basically C++ fast, though it obviously uses a lot more memory. Fortunately we live in a world where "a lot more" is like $5 a year.

I don't disagree with you that Python might be a wrong choice for algorithmic trading, but I do think it depends. We did our stuff with turbodbc rather than pyodbc which is used everywhere else, specifically because we analysed our bottlenecks.

alfalfasprout6mo ago

Depends... not all kinds of trading are THAT latency sensitive.

KeplerBoy6mo ago

What a weird AI generated blog.

What's the point of hosting a blog with a series of superficial posts? There's no promotion of anything, no personal brand, no advertising, just mediocre writing and AI graphics with no actual benchmarks or code.

irisflower956mo ago

This looks awfully AI-Generated

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