I am an HFT Programmer • Hacker News Board

Re: I am an HFT Programmer

#121

Post by ZephyrP » Sun, Jul 31, 2011, 7:34 PM UTC

wyclif wrote: post #88

rgrieselhuber wrote: post #73

Earlier quoted context omitted.

Agreed, however, the shelf life of a programmer is very short compared to other career paths. It all depends on your industry, of course, but once you hit 40-50, you're competing with younger developers who have more energy and require far less compensation. Hence the need to make "real money" before you hit the age ceiling.

You're forgetting one crucial problem. Younger developers may or may not have more energy, but one thing they don't have is experience. Never, ever, underestimate experience.

Something of a false mutual-exclusion. Due to the massive influx of cheap computing hardware in the late 90s, There are 17-22 year old people who have been programming and studying math & CS for 10 years.

10 years is a lot of experience.

Re: I am an HFT Programmer

#122

Post by tmsh » Sun, Jul 31, 2011, 7:37 PM UTC

sausagefeet wrote: post #113

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…

Good, stringent mentors (esp., good, rigorous code reviews) are key.

Theoretically, depending on which language you choose, you should be able to rewrite a bit of code until there is literally not a single character that you could improve to make it clearer or more efficient.

It's good practice to do this -- eventually it becomes habitual. However, that doesn't save one from other people's code.

But yeah, there are certain virtuous cycles that work to your advantage if you take the extra time to try to improve even the most basic code (save one line here; make one idiom clearer, etc.) -- cascades over time...

Re: I am an HFT Programmer

#123

Post by rayiner » Sun, Jul 31, 2011, 7:43 PM UTC

Astrohacker wrote: post #109

Jd wrote: post #78

Earlier quoted context omitted.

Currency is regulated into existence. Someone has to print it. Like it or not, there are all sorts of natural monopolies which exist in nature. The first and foremost is a monopoly on violence by the state. This is, in fact, demanded by the citizens who have a lot to lose if companies et al. were also allowed to pursue their interests by brandishing weapons. Thus, the first regulation is that companies cannot pursue…

> Currency is regulated into existence. Nope. Gold and bitcoins come from the market.

So the purpose of currency is to serve as a proxy for goods and services. The basic question of monetary regulation is: "how much currency do we need?"

The Fed system actually somewhat regulate the currency supply based on the market. When you take a loan to start a business, new currency is created at the same time that a new productive enterprise is created. Gold and Bitcoin don't come from the market at all. The amount of Bitcoin added to the economy has nothing to do with the underlying economy --- its based on an arbitrary formula.

Re: I am an HFT Programmer

#124

Post by tmsh » Sun, Jul 31, 2011, 7:55 PM UTC

Ganthor wrote: post #107

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 /…

How did you manage to work in HFT straight out of high school?

Had an uncle in the industry (with wall street experience who was (re)starting an algorithmic shop for the first time in the late 90s). Sometimes I think I would've saved more time if I had stayed in the Bay Area and not gone into HFT (in Chicago), but I definitely appreciate the rigorousness of some of the mentors I had there.

I didn't go right into writing backend matching engines for HFT though. Took time. Maybe not ten years, but maybe something like five years to come across good mentors that insisted I relearn everything (and get into the thick of HFT).

One mentor I had used to say he was going to crucify me at my desk, etc. (somewhat jokingly) in response to code reviews. It's a little bit annoying, but good practice.

I definitely still make mistakes (I am somewhat absent-minded). But I've learned to build protection around code, and to make checks and elegantly scale in things like test cases as unobtrusively and quickly (but as carefully) as possible. So maybe I make a bit fewer mistakes than some of my colleagues without that background.

Re: I am an HFT Programmer

#125

Post by jpz » Sun, Jul 31, 2011, 8:04 PM UTC

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#…

There is a lot of crappy developers that's true.

If you look at the serious pieces of infra inside the front offices for pricing and risk however, there are some smart people that have done some good software.

Quite often however those projects are degraded as stewardship of these projects is inconsistent, and long tenure is not always there, so you don't get continuity in terms of engineering talent.

Frequently this is due to the fact that IT is treated as a cost rather than an enabler of profit, and salary increases do not keep pace with the market worth of fulltime employees - leading to job hopping.

For the non-managerial part of the financial developer's career, it is often a better trade to be an independent contractor on a good daily rate with tax breaks, than take the chance upon fluctuating market conditions and bonuses.

As software developer bonuses are not tied to material outcomes like the front office but are generally more qualitatively judged, this leads to insecurity.

The developers that hang around for many years and end up being the stewards of these good systems that slowly rot, are quite often the ones that are incurious about contracting or moving, or have no better options.

We are routinely picking the top few percentile from the best colleges - the banks don't lack talent - but what they lack is management with good engineering discipline, and good projects sometimes turn bad.

For the professional developer who is actually skilled, this provides unbounded opportunities - it is often easier to make a really big impact with relatively little effort by pruning an overrun garden than rebuilding a very large amount of function points from scratch.

Finally, it is incorrect to say that version control systems are not used. Simply not the case.

Re: I am an HFT Programmer

#126

Post by Nrsolis » Sun, Jul 31, 2011, 8:05 PM UTC

iskander wrote: post #118

cletus wrote: post #80

Earlier quoted context omitted.

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.

So you'd prefer a single market-maker to control price discovery rather than have several parties compete to do the job?

You can argue that /liquidity/ is fine if you have a small number of market-makers but price discovery (otherwise known as "value") is something altogether different.

To put it another way, I can get all the $8 hotdogs and $12 beers at Yankee stadium I like. The liquidity is fine but the VALUE isn't.

Re: I am an HFT Programmer

#127

Post by Nrsolis » Sun, Jul 31, 2011, 8:14 PM UTC

drp wrote: post #13

samlevine wrote: post #11

Earlier quoted context omitted.

>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.

I believe the "value" being referred to here is social rather than financial.

Ya know, most people would agree for you until you ask them to pay for the stuff they call a "social good."

I went with my fiance last Christmas to donate food and money to a local food bank. She got teary when she saw were so many people waiting to get a basket of food.

I saw a bunch of people playing games on smartphones.

Re: I am an HFT Programmer

#128

Post by [deleted] » Sun, Jul 31, 2011, 8:14 PM UTC

Cushman wrote: post #85

rgrieselhuber wrote: post #57

Earlier quoted context omitted.

"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.

I think engineers have a different idea of what constitutes "real money". I'm imagining my graduating classmates who are out interviewing for "good jobs" with salaries in the mid-five figures. It makes me remember how slightly awkward I felt every fall semester— I kept my mouth shut when talking about summer jobs, just because everyone else would talk about their minimum-wage gig at the ice cream shop or the kayak pl…

[deleted]

Re: I am an HFT Programmer

#129

Post by Cushman » Sun, Jul 31, 2011, 8:19 PM UTC

[deleted] wrote: post #128

Cushman wrote: post #85

Earlier quoted context omitted.

I think engineers have a different idea of what constitutes "real money". I'm imagining my graduating classmates who are out interviewing for "good jobs" with salaries in the mid-five figures. It makes me remember how slightly awkward I felt every fall semester— I kept my mouth shut when talking about summer jobs, just because everyone else would talk about their minimum-wage gig at the ice cream shop or the kayak pl…

[deleted]

I was hoping that wouldn't come off as elitist in this crowd— it's really just an observation on the difference between technical and non-technical people.

Which I guess highlights why I kept my mouth shut in school. When your job involves doing something that strikes you as straightforward and intuitive, but is bizarrely valued at several times, or tens of times, the labor of your peers, it's pretty hard to talk about without sounding just a little elitist.

Edit: I think I get why you took it the wrong way, though, and I'll clarify. I don't mean to say that non-coders will never be able to figure programming out. Of course any reasonably intelligent person could have it explained, pick it apart, figure out how it works. What they will never understand is how we get it so intuitively— not unless they put in the decades we did to get there.

Re: I am an HFT Programmer

#130

Post by bignoggins » Sun, Jul 31, 2011, 8:20 PM UTC

This is slightly OT, but can anyone recommend a good book for understanding the modern finance industry (IB, quant, trading) and its impact on the economy? Finance in general is just a giant black box to me.