I am an HFT Programmer • Hacker News Board

Re: I am an HFT Programmer

#61

Post by frou_dh » Sun, Jul 31, 2011, 5:24 PM UTC

DasIch wrote: post #42

jasonkester wrote: post #37

Quick quiz: Given the ability to charge $100/hr for your time (which is what this guy's rate works out to), would you prefer to make: a.) $500,000 by working 100hr weeks b.) $250k by working 50hr weeks Me? I tend to lean toward secret option c: make $100k by working 25 40hr weeks, then spend the rest of the year squandering it on a beach with tall cold beers, good surfing/climbing and good wifi. Gotta keep them prior…

Indeed. What is the point of making so much money if you don't have time to spend it or have anything that resembles a life for that matter.

The savings account that still exists after you quit.

Re: I am an HFT Programmer

#62

Post by [deleted] » Sun, Jul 31, 2011, 5:25 PM UTC

zedshaw wrote: post #58

apaprocki wrote: post #47

Earlier quoted context omitted.

So one takeaway from this gem of a post is that if you don't write open-source code you're a shitty programmer?

Funny, I didn't use open source at all in that post. I said, they don't show it to anyone and I meant even other employees at the bank . Some of those dudes guarded their secret sauce like crazy, even when I was asked to help them improve it. When I finally got in to see it, it was a nasty horrible mess. But hey, good lame-troll attempt.

[deleted]

Re: I am an HFT Programmer

#63

Post by prodigal_erik » Sun, Jul 31, 2011, 5:25 PM UTC

samlevine wrote: post #11

MarkPNeyer wrote: post #2

they get paid well, but they're also doing work of dubious value. i left trading because i wanted to do something that i knew would make a positive impact on the world.

>they get paid well, but they're also doing work of dubious value. Unless they're getting paid at a rate determined by regulations, by definition the value of their work is what their employer is willing to pay.

Actual value is what people are knowingly and voluntarily paying for your work. Front-running trades that were about to happen in milliseconds only produces "value" by exploiting flaws in the way the market clears. Muggers don't get to claim their income represents a contribution to society either.

Re: I am an HFT Programmer

#64

Post by skorgu » Sun, Jul 31, 2011, 5:25 PM UTC

apaprocki wrote: post #47

zedshaw wrote: post #34

This is a huge load of bullshit. 99% of the "banking programmers" are some of the worst coders in the world. A vast majority of them just babysit a Bloomberg terminal, barely understanding the supposed math they use all day. Others just babysit an Excel spreadsheet, or worse, develop whole applications in Excel then try to get a real programmer to "build it". The lower echelons are even worse and just make shitty C#…

So one takeaway from this gem of a post is that if you don't write open-source code you're a shitty programmer?

Flippancy aside I'd say if good coders aren't reviewing your code you have a good chance of being a shitty programmer. Open source is a great way to achieve that but certainly code review is prevalent in other places.

Re: I am an HFT Programmer

#65

Post by Astrohacker » Sun, Jul 31, 2011, 5:27 PM UTC

Jd wrote: post #46

Astrohacker wrote: post #31

Earlier quoted context omitted.

Fun fact: Everyone knows the finance industry is highly corrupt, but point out the mechanism of the corruption and you will be downvoted.

Your analysis is a bit superficial. The government connections keep them from being regulated but don't adequately explain how they can skim so much off the top. For instance, how do the big firms (e.g. Goldman) manage to get into oil futures, create new fangled products that others will buy, get everyone to follow them into the same market sector, raise the price of oil, pocket billions of dollars, and leave the mar…

I agree with everything you said with one important exception: The finance industry is not corrupt because of a lack of regulations. It is corrupt because of the regulations. The fact that Federal Reserve has been regulated into existence is a very deep problem, as is the fact that fractional reserve banks are always protected from failing by regulations. Regulations are the problem, not the answer.

Re: I am an HFT Programmer

#66

Post by iskander » Sun, Jul 31, 2011, 5:27 PM UTC

cletus wrote: post #39

I worked for a time in finance and investment banking. Problem-wise it can be pretty interesting but it's important to distinguish between two classes of developers. 1. Traders; and 2. Non-traders. Engineers who are traders are typically called "quants" (quantitative traders) as they write software that employs trading strategies to make money, as one or more of spread trading (trading between the bid-ask spread), pr…

>Spread trading (or "market making") is also misunderstood. People see market makers as scalpers when in fact they're providing a valuable service: they're creating liquidity. The reason you can buy or sell shares at any time (rather than waiting for a seller or buyer to show up) is because of market makers.

Except market makers generally target markets which are already highly liquid, so I would guess most of them aren't providing a tangible service to anyone working at human timescales. I remember reading that Chi-X had only 1 (!) high frequency market maker for the first 1.5 years they were open and liquidity there was just fine.

(link to the Chi-X paper: http://www.tinbergen.nl/discussionpapers/11076.pdf)

Re: I am an HFT Programmer

#67

Post by thinkbohemian » Sun, Jul 31, 2011, 5:28 PM UTC

TIL slashdot commenters are fairly mean and biter. Good post, and thanks for the intelligent and well reasoned comments HN.

Re: I am an HFT Programmer

#68

Post by [deleted] » Sun, Jul 31, 2011, 5:29 PM UTC

cletus wrote: post #39

I worked for a time in finance and investment banking. Problem-wise it can be pretty interesting but it's important to distinguish between two classes of developers. 1. Traders; and 2. Non-traders. Engineers who are traders are typically called "quants" (quantitative traders) as they write software that employs trading strategies to make money, as one or more of spread trading (trading between the bid-ask spread), pr…

[deleted]

Re: I am an HFT Programmer

#69

Post by paganel » Sun, Jul 31, 2011, 5:31 PM UTC

> Another HFT programmer here. I once had to make a run-time modification to an algorithm to keep about $100 million from going at a lower price than what the traders wanted. Sometimes market conditions change so fast that the traders demand the ability to make rapid adjustments to the algorithm. They're willing to take the risk. They can't wait for the safe development cycle.

Someone should post this next time the issue of "TDD and sudoku-solvers" comes up on HN.

Re: I am an HFT Programmer

#70

Post by sage_joch » Sun, Jul 31, 2011, 5:31 PM UTC

rgrieselhuber wrote: post #57

cletus wrote: post #39

I worked for a time in finance and investment banking. Problem-wise it can be pretty interesting but it's important to distinguish between two classes of developers. 1. Traders; and 2. Non-traders. Engineers who are traders are typically called "quants" (quantitative traders) as they write software that employs trading strategies to make money, as one or more of spread trading (trading between the bid-ask spread), pr…

"The only way for an engineer to make real money is to be a quant, found a startup or join an early stage startup." This statement should be included in every CS curriculum.

Even normal developer salaries amount to a lot of money compared to median household incomes. I'm known as the "rich one" in my family, and I haven't taken any risks at all. It's all relative, I guess.