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I am an HFT Programmer

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Re: I am an HFT Programmer

#111

Post by Tharkun »

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.

The "dubious value" argument is a bit crap. I work in porn for one of my clients. That's of pretty dubious value as well. Is it of less dubious value to work in a hospital? What about a car manufacterer? Or the tobacco industry?

The only relevant values are 1) what the industry is willing to pay you and 2) whether you enjoy it. Anything else is just bullshit. If you won't enjoy a job in HFT because you think it's of dubious value, then don't get one.

There are plenty of things wrong with this HFT madness, but the programmers are not the problem, so there's really no point in questioning their value [or as the slashdot crowd is doing, blaming them for all sorts of crap].

Re: I am an HFT Programmer

#112

Post by cema »

georgieporgie wrote: post #16
wallflower wrote: post #3

I have a friend who works in trading. He's very sharp and very smart and has friends who work for D.E. Shaw. I used to ask why he didn't go work for D.E. Shaw and he said that he would never survive the interview gauntlet there. And most importantly, he would not be smart enough. Now, I know how good at math my friend is (he used to win Games t-shirts - from the magazine and studies math at graduate level). And now w…

Sounds like your friend might suffer from impostor syndrome.

Even so, had he joined DEShaw he would still have the syndrome which could easily affect his work there (as a self-fulfilled prophecy). Happens all the time.

Re: I am an HFT Programmer

#113

Post by sausagefeet »

tmsh wrote: post #76

I used to work in HFT. From about 1999 (right out of high school) until 2008. In response to the OP, zedshaw and a couple of others (who make good points), I'd say: * obviously if you're good at your job in HFT after a while you don't have to work 100 hour weeks. People wait for you. There are levels of support. You still get woken up once in a while, but not if the firm is well structured and the support training /…

> so ironically you have to slow down and really get to know how to do programming very carefully, and then scale that up so that you can react really quickly later (with something like binary search). this is a useful thing to practice in some ways.

Any tips on how to practice this? I have been slowly discovering, on my own, ways to write code so that when bugs appear it is apparent which portion of code it appeared in. This can be as simple as logging often or as complicated as trying to predict when I might be doing something wrong and put a funky error message in a place I don't understand so when a bug does happen I can go to, or rule out, that section of code. Any tips?

Re: I am an HFT Programmer

#115

Post by jsavimbi »

Maro wrote: post #23
gte910h wrote: post #5

That hourly rate is pretty crappy for that level and amount of work. (<$100)

Yes, consultants make more, but I'm under the impression that most consultants can't fill 8 (or more) hours a day?

We have lunch, meetings, smoke breaks and daydreaming to fill those hours.

Re: I am an HFT Programmer

#116

Post by gjm11 »

samlevine wrote: post #98
gjm11 wrote: post #28

Earlier quoted context omitted.

Value to whom ? Suppose you work for me. I pay you because your work has value to me. Congratulations: you aren't doing something no one cares about. But your work for me could be (1) finding a cure for cancer (hugely valuable to everyone if it works out), or (2) making my brand of smartphone 0.1% better than its rivals (hugely valuable to me, positive value to others but maybe not much), or (3) writing effective adv…

>Value to whom? In the case of the labor of an employee or a contractor, the person you're working for. Value is what someone is willing to pay, or trade, or work, for something. For example, diamonds aren't valuable because they are rare or hard to make (anymore), they're valuable because people are willing to pay large amounts of money to signal to loved ones how loved they are, to signal how rich someone is becaus…

I agree with much of the above, but:

> How valuable is Wikipedia to you? [...] You might try to calculate its value by summing the labor [...] but this would make it more valuable if people made it less efficient

No, it would make it more valuable if people made it less efficient and the same amount of content got added. In fact, if you couldn't edit Wikipedia without filling out hard-to-obtain forms in triplicate, scarcely anyone would bother. I'm not sure I'd actually want to endorse the LToV, but for something like Wikipedia it's at least a useful heuristic.

> You can't hope to solve these problems without understanding what value is.

This comment, plus the Economics 101 material that preceded it, suggests that you think I don't understand what value is. If you have evidence for that, I would be interested to see it. (Note: asking a rhetorical question is not the same as admitting ignorance about the subject of that question.)

> To defend people in marketing

I wasn't attacking them. Some advertising (and other marketing) has considerable value to the world at large as well as to the people who are paying for it. Some, not so much.

> Right.

In which case, we are agreed on the original point here: there is no incoherence or foolishness about saying "They get paid well, but they're also doing work of dubious value": the work can have clear (and large) value to the people writing the paychecks, but be of dubious (or indeed clearly negative) value to the world at large.

Re: I am an HFT Programmer

#117

Post by jrockway »

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 true. Finance attracts the most incompetent egomaniacs possible. I love getting lectures about how to design software from someone who has written:

    if x == 0:
        return "Monday";
    elif x == 1:
        return "Tuesday";
    ...
This should be a criminal offense.

Re: I am an HFT Programmer

#118

Post by iskander »

cletus wrote: post #80
iskander wrote: post #66

Earlier quoted context omitted.

>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 a…

The size of the spread and the liquidity of the market are inversely proportional. The spread on US government bonds is zero or close enough to be zero. The spread on the Swiss bond market is considerably higher. Market makers can't artificially widen the spread without taking a position--sometimes a significant position--which carries a lot more risk. Spread trading in its purest form is about holding enough stock m…

What I'm saying is that high frequency market makers are only need in very small numbers (if even that). When 2/3 of a market's volume is HFT position shuffling, you're not "improving liquidity" in a way that's meaningful or useful to anyone.

Re: I am an HFT Programmer

#119

Post by [deleted] »

cletus wrote: post #80
iskander wrote: post #66

Earlier quoted context omitted.

>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 a…

The size of the spread and the liquidity of the market are inversely proportional. The spread on US government bonds is zero or close enough to be zero. The spread on the Swiss bond market is considerably higher. Market makers can't artificially widen the spread without taking a position--sometimes a significant position--which carries a lot more risk. Spread trading in its purest form is about holding enough stock m…

[deleted]

Re: I am an HFT Programmer

#120

Post by [deleted] »

cletus wrote: post #80
iskander wrote: post #66

Earlier quoted context omitted.

>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 a…

The size of the spread and the liquidity of the market are inversely proportional. The spread on US government bonds is zero or close enough to be zero. The spread on the Swiss bond market is considerably higher. Market makers can't artificially widen the spread without taking a position--sometimes a significant position--which carries a lot more risk. Spread trading in its purest form is about holding enough stock m…

[deleted]
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