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I am an HFT Programmer

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Re: I am an HFT Programmer

#131

Post by argv_empty »

iskander wrote: post #66
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 a…

This is why I'm skeptical of the claim that they're providing liquidity. If they can open and close a position in a matter of seconds, it sounds like they're mostly claiming credit for liquidity that was already present.

Re: I am an HFT Programmer

#132

Post by skrebbel »

18pfsmt wrote: post #86
[deleted] wrote: post #62

Earlier quoted context omitted.

[deleted]

I've never worked at anything but a company with "closed-source" code, but all engineers within the company had access to all product code via SVN. From reading other comments, it seems the quants are paid relative to their code's performance in the market, and this culture of not sharing code is probably understandable under those circumstances. In other words, Shaw doesn't seem to be recognizing the competitive nat…

I don't know, to cultivate a culture of absolutely not sharing sounds like bad business, to me. Sure it's good for each individual, but aren't you severely limiting the organization's product (let's call HFT software a product for lack of a better word) quality and competitiveness?

I'm not talking about whether or not I'd mind working in such a culture. I'm talking about how ridiculously stupid it is to encourage such a culture.

Isn't there some team of highly motivated, cooperative good engineers who are beating all the solo pilots, right now, somewhere?

Re: I am an HFT Programmer

#133

Post by stonemetal »

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…

What do non-trading engineers do?

Re: I am an HFT Programmer

#134

Post by AdamTReineke »

jrockway wrote: post #117
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.

Honest question. What is wrong with something like that? I could see it justified by saving the overhead of a complex Date class.

Re: I am an HFT Programmer

#135

Post by mdda »

prodigal_erik wrote: post #63
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.

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.

Front-running is a loaded term (I'm sure you know that), and isn't what is going on in HFT - since front-running is illegal, and these programmers are paid to be on exactly the right side of the law.

Re: I am an HFT Programmer

#137

Post by nagrom »

AdamTReineke wrote: post #134
jrockway wrote: post #117

Earlier quoted context omitted.

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.

Honest question. What is wrong with something like that? I could see it justified by saving the overhead of a complex Date class.

I had the same question. I had these thoughts:

It looks like python, so the semi-colons are unnecessary.

If you want to rid yourself of datetime for whatever reason, implement it as a list, returning name_of_day[x], so that you can start the week on a Sunday(=0) easily if you want to.

Beyond that, I'm stuck too :-(

Re: I am an HFT Programmer

#138

Post by skybrian »

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…

I've never bought the liquidity argument. Ordinary investors don't need to buy and sell at any time. They'd be happy buying and selling once a day (as with mutual funds).

What if the market consisted of a deep daily or hourly auction with lots of buyers and sellers matched up to discover a fair price? How is the current system better than that?

Re: I am an HFT Programmer

#139

Post by joshu »

skybrian wrote: post #138
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…

I've never bought the liquidity argument. Ordinary investors don't need to buy and sell at any time. They'd be happy buying and selling once a day (as with mutual funds). What if the market consisted of a deep daily or hourly auction with lots of buyers and sellers matched up to discover a fair price? How is the current system better than that?

Lots of low volume stocks actually do trade like that.

For NYSE stocks, a good chunk of the daily volume trades at the open and close auctions.

Re: I am an HFT Programmer

#140

Post by iskander »

Nrsolis wrote: post #126
iskander wrote: post #118

Earlier quoted context omitted.

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'…

1) There often isn't any sort of ideal price to discover at short timescales, just complicated interplay between HFT algorithms and the bizarre psychology of human traders (ie, "4th digit nearing zero, looks like it has momentum!"); both moving prices in ways unrelated to any fundamental value.

2) Just as no one is forced to do their weekly shopping at Yankee stadium, investors can choose which exchange to submit their orders to. Exchanges with shoddy market makers would lose customers.

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