Hacker News Board Hacker News, browsed like a classic message board
Live data from Hacker News

High-Frequency Programmers Revolt Over Pay

forbes.com

Post reply on HN
Print view View original

141–150 of 175 posts

Re: High-Frequency Programmers Revolt Over Pay

#141

Post by kingcub »

mahmud wrote: post #94
ryoshu wrote: post #29

Earlier quoted context omitted.

That's an easy problem to solve. The people with the trading algorithms can just learn to program. No worries about programmers stealing trading secrets that way.

HFT financial engineers can not necessarily learn software engineering in their operating time-frames. There is no "High Frequency Learning"; by the time they learn to configure a development environment they could have lost the edge.

It's a lot easier for a good programmer to learn how to trade than for a good trader to learn how to be a programmer. Though most programmers make terrible traders and most traders make terrible programmers. A lot of depends on the company you are at, the more foresighted ones, were grooming guys for this role 5-10 years ago. And more importantly establishing a tradition of `trade developers.` Typically though the traders that become good enough programmers took an engineering discipline in college. Also, some of them are just so smart / driven that coding something good enough to make money is something they trudge through, but their code usually the ugliest thing you'd ever see this side of php.

Re: High-Frequency Programmers Revolt Over Pay

#142

Post by kingcub »

jacquesm wrote: post #54

The value created by the work that you did for hire does not have to translate in to your salary at all, just like you're not going to have to share in the losses if the project turns out to be a dud. When a welder helps to put together an oil rig that then either makes millions of dollars or explodes, sinks and causes billions in damage the fact that he did it as a salaried employee shields him from the damage just…

It's a hybrid of programmer, trader, and quant. The article doesn't mention this, but they know how to program and how to trade. They come up with, code, and write the algorithms. At a prop firm it is usually used by a desk of clerks / traders at that point, who tweak dials on the software depending on market conditions. It's a lot more than just writing code. Going the startup route requires adding on the businessman, sales, negotiating hats as well as taking management of the desk and the traders / clerks. It's a not a trivial step by any degree, however compared to the value the trade developers are adding to the trade versus how they are being compensated, some how been willing to take on that extra burden to get a chance at a better deal.

Re: High-Frequency Programmers Revolt Over Pay

#143

Post by kingcub »

starkfist wrote: post #135
kingcub wrote: post #130

Earlier quoted context omitted.

Personally, I started in 03 programming C++ for an, at the time, small Chicago Prop trading firm. Prop firms tend to be in smaller than larger banks / hedge funds and that is the route I would try to take. There are several of them around the Chicago area. I never took an "MFE" class in college. I graduated with a CompE degree, taking most of my electives in CS. Math is important, primarily statistics. Being a good c…

Thanks for the insight. I have an interview at one of the NYC prop shops, but it's for something more back office-y. Would it be a mistake to take this job, thinking I could move into something closer to the trading later? I've got mixed advice. Some people say it isn't too hard to shift, others say it's impossible.

It's really hard to say without knowing the position. I've seen it go both ways. Some places it's the entry level get in the door while we evaluate you position and if you're good we'll move you over to trading. Some places it's all they ever want you to do with no opportunity to move to the trading side.

Re: High-Frequency Programmers Revolt Over Pay

#144

Post by prog123hn »

kingcub wrote: post #126

I'm Jeff's business partner / fellow programmer. We do both algorithms and infrastructure. The markets continuously adapt. It's a constant balance between writing the code you need right now, managing the code you wrote a bit ago, tweaking your existing strategies / finding new ones. We have to know how to trade, come up with new strategies, and write fast solid software that can adapt to get a new strategy to market…

kingcub, would like to speak to you briefly over email. Do you have a preferred address for me to contact you? You could also email me at prog123hn@gmail.com

Re: High-Frequency Programmers Revolt Over Pay

#146

Post by yummyfajitas »

[deleted] wrote: post #145
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.

[deleted]

Utterly and completely wrong.

The exchanges are not allowed to fill a sell order at $9.99 with a buy at $9.99 if there is a public buy order for $10.00 on another network - that would violate RegNMS. This is called "crossed markets" and no trades can occur in this situation.

Re: High-Frequency Programmers Revolt Over Pay

#147

Post by artsrc »

yummyfajitas wrote: post #34
neilk wrote: post #26

Earlier quoted context omitted.

I'm not an expert, but how does HFT increase liquidity? One definition of liquidity is when you can sell something without affecting the price much. Most people on Wall Street will tell you their job somehow increases liquidity -- connecting buyers and sellers in more and more efficient ways. HFT seems different. It is comparable to front-running other people's orders. Someone tries to buy an item for $1.00, and the…

Someone tries to buy an item for $1.00, and the HFT algorithm tries to grab the item first and resell it to our original buyer (and other people in the market) for just a tiny bit more. No. The matching engine will match first the highest priced order, and in the case of orders at the same price, whichever order was placed first. You can't jump ahead in the queue, no matter how fast your algorithm is [1]. [1] This st…

Current price $100. Firm puts in order to buy at any price up to $110. The HFC algorithm puts small volume sells to work out that they are doing that, then sell to them at $109.99. They then turn around and fill their position at any lower prices. If the HFC was not there the limit order would be filled more slowly at lower prices.

Re: High-Frequency Programmers Revolt Over Pay

#148

Post by takrupp »

The article is only looking at a few of the shops. The good ones pay their developers based on performance with some tied directly in to their group's PnL (top firms like Getco, Goldman [on their HFT platform only], Jump, etc) pay their experienced guys over $500k, with some of those guys on over $1MM. The Sergey A. case, where a guy makes over $1MM guaranteed, is not that uncommon. Of course, right out of school they pay low 6-figures, but after 4-5 years of proven track record, if the firm doesn't want to pay $300k+ in compensation, their competitors will. Then its the developer's fault for not making sure they are in the market and getting compensated market rate.

Re: High-Frequency Programmers Revolt Over Pay

#149

Post by artsrc »

drx wrote: post #5
parallax7d wrote: post #4

A market for trading perception of value should be regulated to increments of days or weeks, not minutes. The current structure for valuating securities does absolutely no good for our society. Not that it's overly evil or anything, it's just pointless, a massive waste of time and money, and is a cancer on our economic system. It's got to be a thrilling thing to code for though.

Minute trading introduces very high levels of liquidity to the market. Your thinking represents a common fallacy: "I cannot immediately see any benefit to X, therefore X is pointless / should be abolished".

I can see an obvious cost to X, after many years no-one has produced any evidence of value to X, therefore X should be abolished, if it can be done at reasonable cost.

Investors providing capital should not care what time of day their trade goes through because it will settle at the same time anyway. So this 'liquidity' is worthless.

The purpose of shares is to raise capital for productive investment, in return for income to long term investors who provide the capital.

Both non-computerized traders, and computerized HFC traders have an obvious cost, they extract return from the markets that would otherwise go to investors. This reduces the returns for investors.

What if we create an exchange where market participants submit orders which are crossed once a day? You establish a fair matching system and clearing price algorithm. In that environment there is less money going to minute traders and so there would be better returns for investors.

Re: High-Frequency Programmers Revolt Over Pay

#150

Post by artsrc »

yummyfajitas wrote: post #35
mailanay wrote: post #10

Earlier quoted context omitted.

Imagine liquidity as tank full of fuel in your car. The possibilities of going with a full tank are endless. More fuel than tank's holding capacity is pretty much useless.

No, imagine liquidity as a keg of beer. If you drink some, it tastes great. If you drink some more, you feel dizzy, and eventually you wake up with a really ugly girl in your bed. When using analogies, some explanation is helpful.

If there are 10 people who want move to street x, having 14 sellers all selling identical apartments, at identical prices is no different than having 50 people selling identical apartments at identical prices or 200.

The difference with HFC is they don't provide any actual liquidity that matters. They don't hold the apartments across different move in dates.

Post reply on HN