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Jane Street and the OCaml Compiler (2018) [video]

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Re: Jane Street and the OCaml Compiler (2018) [video]

#11

Post by hendzen »

smabie wrote: post #2

i asked this question at my Jane Street interview, but never got a real answer: how does a market making latency arb firm handle GC pauses that are inherent with any GC language? OCaml is better in this regard than, say, the JVM, but it still seems problematic. I know they wrote some FPGA compiler stuff with OCaml, but I can't imagine that all of their execution is running through FPGAs. Even if it's possible, it see…

From what I've heard Jane Street's bread and butter isn't latency sensitive market making on public equities, but creation/redemption arbitrage on ETFs, especially ones that hold a lot of relatively illiquid stuff like various fixed income ETFs. Creating and redeeming those ETFs might involve pricing an emerging market sovereign or corporate bond that might have only traded a few times in the last year. So their expertise is more around smartly trading really weird stuff as opposed to the pure speed players like Jump, Citadel or Virtu Financial.

That said JS is probably in a lot of different products, some more latency sensitive than others, but speed isn't what they are known for.

Re: Jane Street and the OCaml Compiler (2018) [video]

#12

Post by wk_end »

smabie wrote: post #2

i asked this question at my Jane Street interview, but never got a real answer: how does a market making latency arb firm handle GC pauses that are inherent with any GC language? OCaml is better in this regard than, say, the JVM, but it still seems problematic. I know they wrote some FPGA compiler stuff with OCaml, but I can't imagine that all of their execution is running through FPGAs. Even if it's possible, it see…

Anywhere that's latency sensitive they write code carefully so that it doesn't trigger the GC.

Re: Jane Street and the OCaml Compiler (2018) [video]

#13

Post by whb07 »

smabie wrote: post #2

i asked this question at my Jane Street interview, but never got a real answer: how does a market making latency arb firm handle GC pauses that are inherent with any GC language? OCaml is better in this regard than, say, the JVM, but it still seems problematic. I know they wrote some FPGA compiler stuff with OCaml, but I can't imagine that all of their execution is running through FPGAs. Even if it's possible, it see…

They are market makers not those battling the swings at the micro second scale. Yaron Minsky replied this in some random video I saw a random night, though I cannot recall which.

So their edge isn’t based on speed. They gain more from correctness and ability to express these ideas.

Re: Jane Street and the OCaml Compiler (2018) [video]

#15

Post by lend000 »

throwaway992293 wrote: post #14

Interesting fact about the presenter (who is also my former boss) that I learned a few days ago: he recently gave $1,000,000 to an anti-Bernie Sanders super PAC. [redacted]

The prevailing wisdom on Wall Street is that an anti-capitalist would be devastating to the economy, so this should be no big news. Keep in mind that quant firms like Jane Street aren't necessarily long-biased on their positions, so it's likely ideologically motivated.

Re: Jane Street and the OCaml Compiler (2018) [video]

#16

Post by akhilcacharya »

lend000 wrote: post #15
throwaway992293 wrote: post #14

Interesting fact about the presenter (who is also my former boss) that I learned a few days ago: he recently gave $1,000,000 to an anti-Bernie Sanders super PAC. [redacted]

The prevailing wisdom on Wall Street is that an anti-capitalist would be devastating to the economy, so this should be no big news. Keep in mind that quant firms like Jane Street aren't necessarily long-biased on their positions, so it's likely ideologically motivated.

Also it is indeed possible to be pro-Biden and not just anti-Sanders.

Re: Jane Street and the OCaml Compiler (2018) [video]

#17

Post by throwaway992293 »

lend000 wrote: post #15
throwaway992293 wrote: post #14

Interesting fact about the presenter (who is also my former boss) that I learned a few days ago: he recently gave $1,000,000 to an anti-Bernie Sanders super PAC. [redacted]

The prevailing wisdom on Wall Street is that an anti-capitalist would be devastating to the economy, so this should be no big news. Keep in mind that quant firms like Jane Street aren't necessarily long-biased on their positions, so it's likely ideologically motivated.

I have no doubt that a Sanders presidency would have a negative effect on Wall Street profits (which is why you see people like Ron giving millions of dollars to prevent it) but that's hardly a measure of the health of "the economy."

Re: Jane Street and the OCaml Compiler (2018) [video]

#18

Post by typon »

throwaway992293 wrote: post #14

Interesting fact about the presenter (who is also my former boss) that I learned a few days ago: he recently gave $1,000,000 to an anti-Bernie Sanders super PAC. [redacted]

I love hearing rich people say stuff like "I can give $2800 max to any candidate". How super PACs are legal makes no sense to me.

Re: Jane Street and the OCaml Compiler (2018) [video]

#19

Post by riwsky »

helsinki wrote: post #6
smabie wrote: post #2

i asked this question at my Jane Street interview, but never got a real answer: how does a market making latency arb firm handle GC pauses that are inherent with any GC language? OCaml is better in this regard than, say, the JVM, but it still seems problematic. I know they wrote some FPGA compiler stuff with OCaml, but I can't imagine that all of their execution is running through FPGAs. Even if it's possible, it see…

Things to consider: The company is >20 years old. OCaml is a general purpose language that provides an equilibrium between the avoidance of bugs introduced by state (like all functional languages), speed, and polymorphic type inference. At the time of adoption, the other choices were Haskell (too academic, not practical), Erlang (no type inference, not suited for large code bases with complex business logic), and lis…

Yaron Minsky (speaker in the talk, and guy who introduced OCaml to Jane Street) wrote in detail about how the firm decided on this in ACM Queue: https://queue.acm.org/detail.cfm?id=2038036

Re: Jane Street and the OCaml Compiler (2018) [video]

#20

Post by cmrdporcupine »

tartoran wrote: post #9
helsinki wrote: post #6

Earlier quoted context omitted.

Things to consider: The company is >20 years old. OCaml is a general purpose language that provides an equilibrium between the avoidance of bugs introduced by state (like all functional languages), speed, and polymorphic type inference. At the time of adoption, the other choices were Haskell (too academic, not practical), Erlang (no type inference, not suited for large code bases with complex business logic), and lis…

Why C++ now but not then, 20+ years ago? And would F# be suitable for the task? Im genuinely interested

Everything in the C++ ecosystem is better now than it was 20 years go. The language, the tools, the libraries, the build systems. It's actually fairly pleasant to work in these days.
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