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I am an HFT Programmer

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Re: I am an HFT Programmer

#171

Post by jpz »

ig1 wrote: post #167
jpz wrote: post #166

Earlier quoted context omitted.

It is rare these days in my experience - it creates an appropriate separation of concerns to have the management alignment distinct (that can be interpreted to be a Sarbannes Oxley requirement.) There can be budgeting for specific desk profits in the relative bonus pools decided in IT, but bonus makes up a smaller percentage of developer total comp generally unless you are approaching management. If you are desk dev…

This is from my experience in London, I guess NYC might be different due to regulatory concerns.

I am speaking of my last 15 years in London working in derivatives/front office IT, and interviewing for many jobs in front office IT. It is very exceptional to find banks that will organise IT to report into the front office structure - this doesn't occur, and I almost never hear of such a thing when I see job specs.

Re: I am an HFT Programmer

#172

Post by esrauch »

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…

That isn't how salaries work though. For most jobs, someone who works 25% longer is more than 25% better. Someone who works 80 hours is generally better than 2 people who work 40 hours because that one guy has all the aggregated contacts and operational knowledge that would otherwise be divided across two people which would come with the overhead of those two people syncing up and communicating with each other. If this wasn't true, then every company would hire 2 people to work normal hours rather than one person who works twice as much (doctors, HFT, whatever).

I actually think that a good model for the way salaries work is with regards $/hours^2. So $500k for 100hr, that means its $50 / hr^2, then 50 hour weeks would get paid $125k, and 25hr weeks would get you $32k. (I actually think that is breaking down once you get down to 25hr though) If you are able to pull $100k working 25 hrs / week then you could be making a lot more than double if you worked 50 hours per week.

(I'm assuming you are a software developer or related job. I actually think this is job dependent; eg CEOs and janitors probably don't follow that trend).

Re: I am an HFT Programmer

#173

Post by MisterMerkin »

libria wrote: post #26
gte910h wrote: post #5

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

From "Anonymous Cowards" calculations it was more like $74/hr if you consider overtime/oncall: $500,000 divide by 52 weeks = $9,615 / week $9,615 / (40 hours + (60 hours overtime x 1.5)) = $73.96 hourly wage

I like how you cite 'Anonymous Coward' as if there is only one. :)

Re: I am an HFT Programmer

#174

Post by locopati »

burgerbrain wrote: post #160
locopati wrote: post #154

Earlier quoted context omitted.

Experience programming does not necessarily translate to experience working with a team of developers within a business environment.

By the time I graduated I had already worked on 3 development teams in fortune 500 companies. As much experience as people who graduated years before me? No. More experience than people my age who were in just about any other discipline than me? Definitely. Young developer non-professional experience also commonly dwarfs what you'd expect in other industries. Try doing molecular biology at home.

I don't disagree that non-professional experience is valuable and that it certainly depends on the developer. For example, it's incredibly easy to work on open-source projects or have code on github that's in circulation and supported. And when hiring for a team, they're definitely good signs.

My main point was that the developing software on your own is very different from working with teammates and having deadlines and processes, where you're often required to choose the best of a set of bad options rather than having the time to do things right or where you're thrown into a legacy codebase that can't be broken but must be fixed.

Re: I am an HFT Programmer

#175

Post by TracyWilker »

I just paid $22.87 for an iPad2-64GB and my girlfriend loves her Panasonic Lumix GF 1 Camera that we got for $38.76 there arriving tomorrow by UPS. I will never pay such expensive retail prices in stores again. Especially when I also sold a 40 inch LED TV to my boss for $675 which only cost me $62.81 to buy. Here is the website we use to get it all from, GrabCent. çom

Re: I am an HFT Programmer

#176

Post by Nrsolis »

iskander wrote: post #140
Nrsolis wrote: post #126

Earlier quoted context omitted.

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 the…

1) You couldn't be more wrong. Moment by moment psychology is and had been a part of the market from the beginning. The market is about INFORMATION, namely who knows something and who doesn't. Adding computers to the mix might have sped things up but hasn't fundamentally changed the game that's played.

2) I dont see any fundamental difference between multiple exchanges each with a dominant market marker and multiple market makers within a single exchange. In practical matters, retail investors dont select their exchange, their broker does.

Re: I am an HFT Programmer

#177

Post by StavrosK »

tmsh wrote: post #122
sausagefeet wrote: post #113

Earlier quoted context omitted.

> 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 c…

My primary way of ascertaining how bug-free my code is, and the way I've never seen anyone mention, is by feel. Doesn't anyone else roughly know which code is likely to cause bugs and which isn't? Whenever I write some code without thinking it through or take my time, I know it's going to lead to bugs, even if it's very simple.

On the other hand, I have code I wrote that I trust completely. It turns out later that these metrics are, indeed, accurate. Does anyone else get this?

Re: I am an HFT Programmer

#178

Post by weicool »

orijing wrote: post #35

It's true, and it's somewhat discouraging. When I was in my last year in college, I applied to various types of companies, in different stages of life, plus a quant fund. In the end, while the salary/potential bonus for the fund was very enticing (despite not having graduated yet), I stuck with the middle-of-the-road tech company. (I also looked at Google and Dropbox but decided to go to FB). Google was desperate for…

With 500k a year, you could buy a lot of Priuses.

Re: I am an HFT Programmer

#179

Post by patrickk »

veyron wrote: post #102
patrickk wrote: post #94

Earlier quoted context omitted.

" And yes, I bootstrapped my own HFT " I would be interested in hearing your story. Would you like to share some details?

Realized this would be a much larger effort than a single HN reply or a single blog post would justify, so I am starting a blog series on this. First post: http://news.ycombinator.com/item?id=2829116

Thanks! The first post left me hungry for more :D

Re: I am an HFT Programmer

#180

Post by pbz »

tmsh wrote: post #124
Ganthor wrote: post #107

Earlier quoted context omitted.

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 n…

What kind of tools did you use? Was it all custom or some kind of system you tied in?
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