Coders who trade: Wall Street designs its staff for the future • Hacker News Board

Re: Coders who trade: Wall Street designs its staff for the future

#131

Post by alexcnwy » Sat, Nov 18, 2017, 7:13 PM UTC

monkeyshelli wrote: post #125

odonnellryan wrote: post #62

Earlier quoted context omitted.

What are you using to backtest? Data you gathered yourself? Hardest part with backtesting in my experience has been trying to simulate successful buy/sell orders and the fees.

You can query Bittrex for some data, or you can find some data and a script from here https://github.com/gcarq/freqtrade/tree/master/freqtrade/tes... Couldn't you bake the fee into the application logic e.g. https://github.com/gcarq/freqtrade/blob/master/freqtrade/mai...

Fee isn't limited to what you're paying the exchange, you have to take into account slippage - the price you use in your backtests is NOT the price you could actually realistically buy at because as soon as you buy, you move the price (especially in size).

Strictly speaking, you should be incorporating level 2 order book data to properly gauge fees and simulate real world profits from your backtests.

Re: Coders who trade: Wall Street designs its staff for the future

#132

Post by hopemonster » Sat, Nov 18, 2017, 7:17 PM UTC

colordrops wrote: post #64

chollida1 wrote: post #2

I liked this article because the roll of the programmer on wall street has been going down recently from my perspective. Programmers used to work along side quants and were well respected. This was generally because practicing quants didn't used to be able to program. This was especially true in the 80s and 90's where programmers and quants where almost valued identically as one required the other to make things happ…

I apologize for the off the wall comment. Every time I read about wall street programming, I've got this subliminal voice in the back of my head wondering how anyone could find the motivation to do this work. I'm obviously revealing my biases against the financial industry here. Also, I'm unable to make myself do work if I don't see it contributing to some greater vision or cause. Are there people out there who love…

> how anyone could find the motivation to do this work

There a lot of challenging problems in the finance. Some people like the problem solving and $$

> I just can't understand why anyone would want to put so much effort and skill into making bots for farming money for a bunch of questionable people

Its making money for yourself as well. Many jobs in Wall Street at % of profits based rather than a fixed salary.

Re: Coders who trade: Wall Street designs its staff for the future

#133

Post by [deleted] » Sat, Nov 18, 2017, 7:51 PM UTC

colordrops wrote: post #64

chollida1 wrote: post #2

I liked this article because the roll of the programmer on wall street has been going down recently from my perspective. Programmers used to work along side quants and were well respected. This was generally because practicing quants didn't used to be able to program. This was especially true in the 80s and 90's where programmers and quants where almost valued identically as one required the other to make things happ…

I apologize for the off the wall comment. Every time I read about wall street programming, I've got this subliminal voice in the back of my head wondering how anyone could find the motivation to do this work. I'm obviously revealing my biases against the financial industry here. Also, I'm unable to make myself do work if I don't see it contributing to some greater vision or cause. Are there people out there who love…

[deleted]

Re: Coders who trade: Wall Street designs its staff for the future

#134

Post by makrolof » Sat, Nov 18, 2017, 7:55 PM UTC

otakucode wrote: post #52

Are there any automated trading firms that are specifically focused on exploiting the unintended combined behavior of multiple systems operating in an environment where they modify both their own and each others environment (the stock market being that environment)? While it might be tractable for an organization to construct their system such that it can project its own consequences to its own sphere of interest, on…

Hi. Well, yes, lots of people has come across that fact. But the guys able to exploit it are market makers. They look for kinds of repeated patterns in the form of orders, stops, time of day... And they later trick on them until they stop working. As you noticed, knowing you'll get someone to buy your thing at a relative price at some specific time and day can be very profitable. Still, it's difficult to read something "worthwile" about this.

Re: Coders who trade: Wall Street designs its staff for the future

#135

Post by spaced-out » Sat, Nov 18, 2017, 8:41 PM UTC

cm2187 wrote: post #124

scrumper wrote: post #113

Earlier quoted context omitted.

Re your AI thesis, I think it’s the exact opposite. Deterministic, rule-based processing applied to lots of similar data are perfect for AI-fication. It’s all in the computer, and you can kick out to a human-driven exception process when required. All that physical, real-world stuff you mentioned (cleaning, cooking etc) is vastly more complicated, riddled with experience-driven subjective judgements (is this paper on…

Most of the complex accounting and legal questions that these departments are doing manually aren't completely trivial either (we are not talking about just adding assets). But the determination of whether the paper on the floor is trash or not is something that pretty much any AI professional can apply his mind on (and will likely do given the size of the market), whereas very few will apply their mind on how IFRS s…

>Most of the complex accounting and legal questions that these departments are doing manually aren't completely trivial either (we are not talking about just adding assets).

These are exactly the types of problems that machine learning is perfect for. Problems which involve chains of nebulous decisions that would be difficult to program traditionally.

Re: Coders who trade: Wall Street designs its staff for the future

#136

Post by praulv » Sat, Nov 18, 2017, 8:42 PM UTC

aaronchall wrote: post #114

praulv wrote: post #102

Counter view: I only work in the field because it's the only way in tech to pay rent where I live. I actually hate it, it's of zero value to society and frankly the trading/business side are real assholes under pressure

> zero value to society What value are financial services? Do you - have a bank account? checking? savings? money markets? - monitor your accounts online? do transfers? - have an investment account? save for retirement? - have life or disability insurance? pool risks and hedge against them? - have a city or country that needs to raise money, borrow from others? - have a company that needs to issue stock for capital i…

I think you're slightly confused at the distinctions between prop shops, hedge funds, asset managers, and model driven quant desks at investment banks. Having worked at at least 3 of these, I can tell you again:

On the sell side, it's just pricing and hedging out each other's increasingly complex structures. HFT Market makers have some merit in providing tight liquidity and low spreads. Don't even get me started on buy side speculation.

Re: Coders who trade: Wall Street designs its staff for the future

#137

Post by praulv » Sat, Nov 18, 2017, 8:49 PM UTC

rch wrote: post #12

naturalgradient wrote: post #3

Can anyone comment on how competitive salaries are there actually? Right now, for top tier PhD graduates in machine learning, it's about 300-400k at big tech companies starting out, and ~200k for master's degrees. From what I read and heard, banks are not really willing to pay up competitively for software?

I've seen claims of $1M base salaries in NYC, and seven figure bonuses are certainly possible (in HFT). $300K+ (incl. bonus) is no problem, but ML is less of a factor than FPGA and C++ experience.

Complete nonsense. Plus note the intersection between FPGA dev and ML is likely to be practically zero and equally useless at quant firms unless you're in an AI firm building ML on chip. Far easier to go from FPGA to ML than the other way round.

Re: Coders who trade: Wall Street designs its staff for the future

#138

Post by praulv » Sat, Nov 18, 2017, 8:50 PM UTC

throwaway_hft wrote: post #123

rch wrote: post #12

Earlier quoted context omitted.

I've seen claims of $1M base salaries in NYC, and seven figure bonuses are certainly possible (in HFT). $300K+ (incl. bonus) is no problem, but ML is less of a factor than FPGA and C++ experience.

I work in prop trading and I've never seen that kind of guaranteed salary offered. Maybe as a one time signing bonus to poach someone from a competitor. Typical base salaries for traders/quants/engineers are in the low six figures. I'm head of a small team running high frequency strategies. I control parameters/portfolio/risk, design/fit predictive models, code C++ for simulation and live trading, and spec out design…

Finally, some common sense and a realistic response.

Re: Coders who trade: Wall Street designs its staff for the future

#139

Post by cleetus » Sat, Nov 18, 2017, 8:52 PM UTC

colordrops wrote: post #64

chollida1 wrote: post #2

I liked this article because the roll of the programmer on wall street has been going down recently from my perspective. Programmers used to work along side quants and were well respected. This was generally because practicing quants didn't used to be able to program. This was especially true in the 80s and 90's where programmers and quants where almost valued identically as one required the other to make things happ…

I apologize for the off the wall comment. Every time I read about wall street programming, I've got this subliminal voice in the back of my head wondering how anyone could find the motivation to do this work. I'm obviously revealing my biases against the financial industry here. Also, I'm unable to make myself do work if I don't see it contributing to some greater vision or cause. Are there people out there who love…

My feeling is that most criticisms of finance are based on a combination of a lack of understanding of what finance is and does, and indignation about how much money some people in the industry get paid. It's any easy target. Absolutely there are 'questionable people' in it, but are programers focused on getting users to click on more ads or spend time on a given app any better? Is tech really saving the world? There is so much more to tech than that, and most people in tech don't feel that's a fair representative of what they do. I think finance is similar, but I don't work in it so maybe I'm wrong...

Re: Coders who trade: Wall Street designs its staff for the future

#140

Post by hacker_9 » Sat, Nov 18, 2017, 8:56 PM UTC

blunte wrote: post #98

jabretti wrote: post #61

Earlier quoted context omitted.

Yes, but step back and consider the immense intellect and creativity being devoted to getting laid, or speculating about what's going to happen on Game of Thrones, or thinking up clever things you should have said half an hour ago, or complaining about what's wrong with Star Wars these days. Or arguing on the internet. Just a teeny portion of our species' intellectual output winds up creating or discovering anything…

I don't think intellect is much of a factor in getting laid. My bet here is that intellect, or at least use of intellect, has an inverse effect on success in that area :). The biggest difference between my example and your examples is that it's a job. This talent pool is using their working hours (and quite often most of their waking hours) pursuing a goal that provides almost nothing to society. The "finance industr…

This is unfair, finance is basically an abstraction over our resource constrained world. We didn't get to choose not to live in a world with limited supplies of everything, and removing money from the equation doesn't change that constraint.

Given that we've chosen money as our method of resource allocation, it makes sense people who want access to more resources would try to optimise their profit building strategies, and smarter people are going to make better choices. It is why financial hubs, such as London or New York, have more resources to play with and so can provide a higher quality of living.