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High-Frequency Programmers Revolt Over Pay

forbes.com

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Re: High-Frequency Programmers Revolt Over Pay

#151

Post by artsrc »

anamax wrote: post #25
jbooth wrote: post #14

Earlier quoted context omitted.

So? Let's say all subsecond trading is abolished tomorrow, and rather than a smooth curve, all asset prices step at 1-second intervals. What value was destroyed there? If none, what value are these guys creating? None?

> Let's say all subsecond trading is abolished tomorrow, and rather than a smooth curve, all asset prices step at 1-second intervals. That will tend to expand the bid-ask spread. That hurts both buyer and seller.

The typical trading range for the day is $100 to $110.

Scenario 1:

So someone offers (is willing to sell) a limit order at $100. Buyer bids at $110. They wait until the other order appears and cross according to some market rules (perhaps at $100, $105 or $110), no-one else gets anything.

Scenario 2:

HFC works out the trading is in range $100 to $110, puts bids in at $104, offers at $106, and makes $2. The sellers gets $104, the buyer pays $106 and both are better off than scenario 1?

Re: High-Frequency Programmers Revolt Over Pay

#153

Post by artsrc »

Maro wrote: post #58
drx wrote: post #5

Earlier quoted context omitted.

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".

You can't possibly argue that doing billions of trades a minute has anything to do with real-life liquidity. By real-life, I mean liquidity that's relevant to a bank's customer, eg. a private citizen who possibly even owns a trading account. And that's the only kind of liquidity I care about. It's just a game to extract money from the economy without doing real work.

It is real work, it just provides no real net value.

Re: High-Frequency Programmers Revolt Over Pay

#154

Post by sbaqai »

prog123hn wrote: post #144
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

same here. If you have some time, I have a few specific questions and my contact is in my profile. Thanks.

Re: High-Frequency Programmers Revolt Over Pay

#155

Post by vecter »

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.

At my firm, back office and trading are very, very different. I would advise you to stay away from back-office if you're not interested in that. YMMV

Re: High-Frequency Programmers Revolt Over Pay

#156

Post by vecter »

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…

Work at a prop shop that values programmers. You will feel valued.

Re: High-Frequency Programmers Revolt Over Pay

#157

Post by anamax »

jbooth wrote: post #100
anamax wrote: post #25

Earlier quoted context omitted.

> Let's say all subsecond trading is abolished tomorrow, and rather than a smooth curve, all asset prices step at 1-second intervals. That will tend to expand the bid-ask spread. That hurts both buyer and seller.

Even at subsecond intervals? (I'll note that the bid/ask spread becomes effectively zero every time an actual trade happens -- what if it actually reflected market prices rather than a bunch of video games competing against each other?). Does it hurt the buyer and seller more than the little nibbles these guys are taking to smooth out that curve? I see a lot of paychecks being cut in this industry and I don't see the…

> Does it hurt the buyer and seller more than the little nibbles these guys are taking to smooth out that curve?

Why are you assuming that the buyer and seller are hurt?

> I see a lot of paychecks being cut in this industry and I don't see the value being created. Looks like highway robbery to me.

I don't see the value in smurfs, but don't think that they're "highway robbery".

Liquidity, on the other hand, has huge value. Disagree? Try to sell an illiquid asset.

Re: High-Frequency Programmers Revolt Over Pay

#158

Post by analyst74 »

jacquesm wrote: post #77
sfk wrote: post #72

Earlier quoted context omitted.

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 standard…

While the comparison seems reasonable, it has one fatal flaw:

you are saying coders should be treated the same as bricklayers (salary); but are algorithm designers treated same as architects? I believe the former are paid percentage and later paid salary.

It seems financial sector do not follow the same rule as construction business.

Re: High-Frequency Programmers Revolt Over Pay

#159

Post by anonymousDan »

yummyfajitas wrote: post #92
anonymousDan wrote: post #87

Earlier quoted context omitted.

Can I ask you how this is physically laid out? Is there just a big centralized computer at the exchange with two input queues, one for buys and one for sells? What if I want to place an order at the best price across multiple different exchanges?

It's basically what you think; a computer system keeps a queue of buy and sell orders, sorted by price/time (i.e., best price wins, if prices is equal, earliest order wins). It then matches trades by popping the top of the queue. If you place an order on INET which can be filled at a better price on ARCA, then INET routes your order to ARCA and you are charged a small routing fee. This is required by RegNMS. (There i…

But how are prices synchronized between exchanges (if at all)? i.e. say the best chance for my order being filled is at ARCA, but I submit it at INET. Does the fact that it will most likely get routed to ARCA via INET imply there is a greater chance of the order not filling than if the order had been submitted to ARCA directly?

Re: High-Frequency Programmers Revolt Over Pay

#160

Post by jmillerinc »

coliveira wrote: post #119
jmillerinc wrote: post #98

Earlier quoted context omitted.

Of course, but the traders are taking risks in the sense that they can get fired for losing money. Programmers generally won't. They have a lower-risk, more secure job.

If it turns out that the reason for losing money is the faulty code from a developer, he can lose his job. So I don't see where the security is.

That's different. The security is: if a programmer implements the code correctly, but the market turns against the strategy and the strategy loses money, the programmer generally won't lose his job.
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