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High-Frequency Programmers Revolt Over Pay

forbes.com

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Re: High-Frequency Programmers Revolt Over Pay

#71

Post by jacquesm »

sfk wrote: post #69
jacquesm wrote: post #57

Earlier quoted context omitted.

> You clearly haven't worked in finance. Chase Manhattan bank, the Netherlands branch, formerly the Nederlandse Crediet bank, about 3 years from when I was 19 to when I was 21, both as a systems level programmer as well as an application programmer. > However they are conflating programmers and quants here Yes, but I didn't, I only spoke about the programmers. They do not come up with the models, they just lay the br…

Please refrain from using the bricklayer image here. It is demeaning, silly and wrong. In order to implement a mathematical model, a programmer has to: a) Understand the model. b) Come up with a fast algorithm for the specification. c) Prove the algorithm correct. d) Make no mistakes implementing the algorithm. All of this has nothing to do with bricklaying. Moreover, it's quite ironic that the geniuses who come up w…

Try putting up a brick wall before you class the comparison as demeaning.

Re: High-Frequency Programmers Revolt Over Pay

#72

Post by sfk »

jacquesm wrote: post #71
sfk wrote: post #69

Earlier quoted context omitted.

Please refrain from using the bricklayer image here. It is demeaning, silly and wrong. In order to implement a mathematical model, a programmer has to: a) Understand the model. b) Come up with a fast algorithm for the specification. c) Prove the algorithm correct. d) Make no mistakes implementing the algorithm. All of this has nothing to do with bricklaying. Moreover, it's quite ironic that the geniuses who come up w…

Try putting up a brick wall before you class the comparison as demeaning.

You were the one who said just lay the bricks. This clearly implies that laying bricks is an inferior task compared to coming up with models.

EDIT:jacquesm, do you have a voting ring or why are your posts at 2 points (and mine at 0) the instant you post?

Re: High-Frequency Programmers Revolt Over Pay

#73

Post by jteo »

SwellJoe wrote: post #46
nphase wrote: post #28

When they do, the security of their old, relatively low-paying gigs might start to look pretty good. The condescending tone of this line really bugs me.

Exactly! My immediate thought was, "You smug bastard." This is why I would never take a job as a programmer in the trading industry working for the big firms. I have dignity, and it would never cross my mind to put up with smug bastards taking this attitude with me all day, no matter how high the salary. It's not that the software is making people tons of money, it's that nobody respects that the software is making p…

If you want to work as a programmer in the finance industry, work for a finance software firm, as opposed to a bank. At least you'll be a first class citizen.

Re: High-Frequency Programmers Revolt Over Pay

#74

Post by Elite »

ssp wrote: post #42

Can someone explain in simple terms why high-frequency trading actually works? I can't understand how trading at a high frequency provides any advantage at all, except in a Martingale-fallacy way.

Caveat, I'm not a finance guy, but my understanding is that on a short time scale you can predict the price direction of stocks under certain conditions.

For example, if I notice that there are several large orders buying a stock, I can assume that a large institution is trying to purchase a position. If you reach this conclusion quickly enough, you can buy up enough stock, temporarily hiking the price, and selling the stock back to the large institution as they are trying to fulfill their purchase order. Do this enough times, and for large enough orders, and you can make money.

Re: High-Frequency Programmers Revolt Over Pay

#75

Post by Dilpil »

ssp wrote: post #42

Can someone explain in simple terms why high-frequency trading actually works? I can't understand how trading at a high frequency provides any advantage at all, except in a Martingale-fallacy way.

Certain trades are obvious winners- index funds available for less than the sum of their component parts for example. Everyone on the street knows they are obvious winners, so usually the trade isn't available for long. Firms have computers set up to constantly scan the markets for these opportunities. Whoever sees the trade first and gets to the exchange first ends up making all the money.

Re: High-Frequency Programmers Revolt Over Pay

#76

Post by davemabe »

ssp wrote: post #42

Can someone explain in simple terms why high-frequency trading actually works? I can't understand how trading at a high frequency provides any advantage at all, except in a Martingale-fallacy way.

Here's a very good presentation that describes what HFT is and how it works (and some of the myths):

http://www.tradeworx.com/TWX-SEC-2010.pdf

Re: High-Frequency Programmers Revolt Over Pay

#77

Post by jacquesm »

sfk wrote: post #72
jacquesm wrote: post #71

Earlier quoted context omitted.

Try putting up a brick wall before you class the comparison as demeaning.

You were the one who said just lay the bricks . This clearly implies that laying bricks is an inferior task compared to coming up with models. EDIT:jacquesm, do you have a voting ring or why are your posts at 2 points (and mine at 0) the instant you post?

On the contrary, I think laying the bricks is plenty difficult in and of itself. But it's like wanting a share of the rent as a bricklayer of the apartment building that you are putting up.

I can do both (lay bricks and code), and I think there is a distinct parallel between laying bricks and writing code. Both use simple, re-usable building blocks to create very complex systems that need to be built to high standards if they are expected to stand the test of time.

The equivalent between the architecture and the algorithm designer is a similar one.

To demand a share of the cake just for laying the bricks tells me that you should not be doing work for hire but that you should be working as an independent contractor or as a starter-upper. You can't expect 'none of the risks and some of the gains' in a position like that.

A 'mere' programmer, just like a 'mere' bricklayer can be replaced by another programmer or bricklayer.

An architect or an algorithm designer contributes something uniquely theirs without which an endeavour might not happen at all.

Programmers are a rare profession in that they seem to think that somehow their contribution to a project is unique enough that they by the simple act of transcribing a specification to a working prototype have become co-owners, no other discipline suffers from this misconception.

If you want a slice of the action put up your money, but don't just put in your time, expect a paycheck and a slice of the cake if all you do is code, you are more than likely to be found 'expendable'.

Re: High-Frequency Programmers Revolt Over Pay

#78

Post by wglb »

noname123 wrote: post #27
patio11 wrote: post #20

Earlier quoted context omitted.

I would have agreed with you prior to hearing this argument: if someone's pension fund wants to trade 10,000 shares of a stock with a 2 cent spread, then in the next few seconds market makers are going to make $200, guaranteed. The only thing HFT changes is who the marketmaker that pockets the $200 is going to be: some day trader in the bathrobe, market maker at the exchange, automated proptrading strategy, or a sick…

Umm, yes and no. Example, I'm Fidelity Bob Fund Manager; after extensive research, I decide to make a decision to buy 200,000 shares of AAPL. So I enter my buy order into my OMS screen, which slices and dices these 200,000 shares into blocks of 100 shares (as for traders not to front-run me, because a naked buy order of 200,000 shares will drive the price up and I'll overpay long after my transaction is completed). H…

But HFT dealers stopped trading that day is not entirely true. Some HFT traders (not dealers) stopped at the flash crash, but others stayed in, partly because they were obligated to due to their liquidity agreements with the exchanges, and partly in retrospect to make bags and bags of money. If the latter were not in the market, you would not have seen the flash-uncrash that was the recovery, and it would have been 1987 all over again.

Re: High-Frequency Programmers Revolt Over Pay

#79

Post by Dilpil »

Nwallins wrote: post #50
noname123 wrote: post #27

Earlier quoted context omitted.

Umm, yes and no. Example, I'm Fidelity Bob Fund Manager; after extensive research, I decide to make a decision to buy 200,000 shares of AAPL. So I enter my buy order into my OMS screen, which slices and dices these 200,000 shares into blocks of 100 shares (as for traders not to front-run me, because a naked buy order of 200,000 shares will drive the price up and I'll overpay long after my transaction is completed). H…

> However, the other counter argument against HFT is that it actually doesn't really provide liquidity to the market, as evident by the June flash-crash. As far as I can tell, this is the only argument presented against HFT. > But HFT dealers stopped trading that day, triggering a lot of people's stop-market orders Are there other factors involved in this outcome, or is this a canonical HFT failure?

On the topic of the Flash Crash:

Arguing that HFT is bad because people sometimes stop doing it abruptly kind of suggests that HFT is good when people are doing it.

Re: High-Frequency Programmers Revolt Over Pay

#80

Post by jacquesm »

sfk wrote: post #72
jacquesm wrote: post #71

Earlier quoted context omitted.

Try putting up a brick wall before you class the comparison as demeaning.

You were the one who said just lay the bricks . This clearly implies that laying bricks is an inferior task compared to coming up with models. EDIT:jacquesm, do you have a voting ring or why are your posts at 2 points (and mine at 0) the instant you post?

Why should I have a voting ring? If the situation would have been reversed would it be ok with you if I accused you of having a voting ring? I don't think so.

If there is anybody on HN that has an aversion against voting rings it probably is me, and I wouldn't ever stoop so low as to cheat on something as silly as a conversation on a website (or anywhere else for that matter).

Whoever voted for me is free to step forward, I swear I haven't a clue who voted me up and you down.

edit: This sort of ticks me off by the way, within two days I first get this character calling me a troll: http://news.ycombinator.com/item?id=1556756 , now I have a voting ring? Way to go).

edit2: and if I had a voting ring my posting http://news.ycombinator.com/item?id=1560732 would not be stuck at 3 votes ;)

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